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[amibroker] Re: Rotational Systems



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I think Ron is right - I'm not in front my AB system today - but the
way I'd do it in normal system is to use:

Lag = BarsSince(Buy);

But there is no buy in the rotational backtester.

--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> 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@> 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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