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Bert -
I think that it isn't trivial, but is reasonably straightforward.
1. Set worst rank held to 15.
2. Use mid-level backtester.
3. On the first of the month, walk the signals and set the PosScore of
signals 4 - 15 to 0.
Remember, you are doing it on the first of the month if BuyDelay is 1.
This is because rotational mode shifts the rank signals by the delay and
executes.
-- BruceR
--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> 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@ 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
> > > >
> > > >
> > > >
> > > > ------------------------------------
> > > >
> > > > **** 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
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> > > >
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> > > >
> > > > Yahoo! Groups Links
> > > >
> > > >
> > > >
> > >
> >
>
------------------------------------
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