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If your rotation out was the result of being stopped-out, then you
can specify the number of days to wait for re-entry in the stop-loss
expression.
Other than that, I do not know of any "easy" way to do what you are
trying to accomplish.
If you are using e-o-d data and only making trading decisions once
per day, then you might want to consider the possibility that your
ranking and scoring system is too sensitive to short-term flucuations.
For example, if you have a universe of 100 funds and buy the top 5 as
long as they remain in the top 20, then the chances of something
dropping out of the top 20 and reappearing in the top 5 three days
later suggests you are not looking at enough data points (history)
for scoring purposes.
If your system is truly that short-term oriented, then perhaps you
should allow it to go back into the same fund whenever the system
says it should.
However, to answer your question, I think you will need to use custom
backtester to look at closed trades and set positionscore to zero for
all symbols sold in the past 30 days.
If you develop such a routine, I would be very interested in looking
at it. Good luck.
--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> Well, you could do something like:
>
> dy = Day();
> FirstDayOfMonth = IIf(Day() < 2,1,0);
>
> PositionScore = IIf(FirstDayOfMonth, PositionScore, scoreNoRotate);
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fcastner" <fcastner@> wrote:
> >
> > My rotational trading systems sometimes rotate out of a specific
fund
> > and then one or two three days later will rotate back into the
same
> > specific fund. Can someone tell me how I can specify the minimum
time
> > (such as 30 days) after rotating out of a specific fund before
the
> > system can rotate back into it. Any coding clue would be
appreciated.
> >
> > Thanks
> >
>
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