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Hi gmorlosky,
Here is a starting rotational system you can build on. It runs.
I didn't take time to notate it but I will be happy to try to answer
any questions. fcastner@xxxxxxxxxxxx
//ROTATIONAL Generic
//IO: Fitness: CAR/MDD
//IO: Save Cancelled: Y
//IO: BegISDate: 01/03/2001
//IO: EndISDate: 05/27/2006
//IO: EndOSReal: 05/28/2006
//IO: EndOSReal: 02/06/2009
//OptimizerSetEngine("spso");
//OptimizerSetEngine("trib");
//OptimizerSetEngine("cmae");
EnableRotationalTrading();
a = Optimize("a", 15, 2, 20, 1);
b = Optimize("b", 25, 10, 350, 2);
hmb = Optimize("hmb", 0, 0, 30, 1);
posqty = 1;//Optimize("PosQty", 1, 1, 2, 1);
wrh = Optimize("wrh", 2, 1, 2, 1);
SetBacktestMode( backtestrotational );
PositionSize = -100/PosQty; //Invest 100% of equity div by max.
position count.
SetOption("MaxOpenPositions", posqty );
SetOption("AllowPositionShrinking",True);
SetOption("HoldMinBars",hmb);
SetOption("WorstRankHeld", wrh );
SetOption("InitialEquity",100000);
SetOption("MinShares",0);
SetOption("InterestRate",0);
SetOption("commissionmode",2);//1 = % of trade, 2 = $ per trade.
SetOption("Commissionamount",14);
SetTradeDelays(1,1,1,1);
d = EMA(C, a) / EMA(C, b);
g = IIf( d >= 0 ,d ,0);
PositionScore = g;
SetCustomBacktestProc("");
if(Status("action")==actionPortfolio)
{
bo=GetBacktesterObject();
bo.Backtest();
st = bo.GetPerformanceStats(0);//gets stats for all trades
//chi squared with one degree of freedom, with the Yates correction
wi=st.GetValue("WinnersQty");
Lo=st.GetValue("LosersQty");
Chi = (abs(wi-Lo)-1)^2/(wi+Lo);
bo.AddCustomMetric( "Chi-Squared modif.: >10.83: very
significant(1000:1), >6.64: significant (100:1) , >3.84: probably
significant (20:1), <3.84: significance doubtful", Chi );
expectancy =
st.GetValue("WinnersAvgProfit")*st.GetValue("WinnersPercent")/100 +
st.GetValue("LosersAvgLoss") *st.GetValue("LosersPercent")/100;
bo.AddCustomMetric( "Expectancy ($)", expectancy);
AddToComposite(Foreign("~~~EQUITY","C"),
"~~ROT Generic","X",
atcFlagDeleteValues|atcFlagEnableInPortfolio);
bo.AddCustomMetric( "Add Name","" );
bo.AddCustomMetric( "Add WL Number & Description","" );
}
~~~Equity = !Equity;
------------------------------------
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