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I don't think it can be done (short of writing special code inside the Custom Backtester).
Every time I try to change/manipulate the WorstRankHeld option, I get an "invalid type" error.
Some workarounds, which might get you closer but not all the way there, include:
1) The ScoreNoRotate method that Tomasz described
2) Using stop-losses to exit current position and rotate into new one (not the same as a #15 ordinal rank but will get you out mid-month under the defined conditions)
3) Special coding of PositionScore when not at month end (again, not the same as a #15 ordinal rank but will get you out mid-month under the defined conditions)
I am interested in this also, so let me know if you find an answer!
--- In amibroker@xxxxxxxxxxxxxxx, "bistrader" <bistrader@xxx> wrote:
>
>
> On last day of month I want MaxOpenPositions and WorstRankHeld at 3, which I have. I do not want scoreNoRotate for other days in the month. Rather, for other days in the month I want WorstRankHeld set at 15, leaving MaxOpenPositions at 3, so that system will rotate if any position held drops to below 15th in the ranking. How do I do this?
>
> The idea is to buy on the last day of the month the top 3 ranked and to hold them until the end of the next month, but only if the ranking does not fall a large amount (say, to 15 as I stated above) during the month.
>
>
> Thanks
>
> Bert
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko \(groups\)" <groups@> wrote:
> >
> > Hello,
> >
> > Set both MaxOpenPositions and WorstRankHeld to 3
> > AND
> > set PositionScore to scoreNoRotate value for every day BUT the one
> > you want rotation to occur.
> >
> > SetOption("MaxOpenPositions", 3 );
> > SetOption("WorstRankHeld", 3 );
> >
> > PositionScore = IIF( Month() != Ref( Month(), 1 ), ...your original score here.., scoreNoRotate );
> >
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "bistrader" <bistrader@>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Wednesday, May 27, 2009 8:45 PM
> > Subject: [amibroker] WorstRankHeld Help
> >
> >
> > >I am working on an afl that rotates into the top 3 ETFs on the last trading day of the month. Here, I set MaxOpenPositions and
> > >WorstRankHeld to 3. I understand how to do this, but would like the afl to set WorstRankHeld to say 15 for any other day in the
> > >month. That is, if the ranking of an owned ETF falls to below 15, on any other market day in the month, then I want to sell the
> > >ETF and buy the next ranked (at that point in time) ETF.
> > >
> > > Does anyone have sample code for this?
> > >
> > > Thanks
> > >
> > > Bert
> > >
> > >
> > >
> > > ------------------------------------
> > >
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> > >
> > >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
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