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Thanks for your suggestions Ron. I will revisit the custom
backtester. If I could use buy/sell signals the problem would be
easy. I'm using EOD data.
--- 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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