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Thanks Bruce.
--- In amibroker@xxxxxxxxxxxxxxx, "bruce1r" <brucer@xxx> wrote:
>
> Bert - your choice, but you might be looking for a while. I found this
> link on my disk to one of Tomasz's old posts on this. I think that if
> you change only TWO lines like I indicated in #3 of my original reply,
> you'll be able to move on.
>
> http://finance.groups.yahoo.com/group/amibroker-beta/message/1653?thread\
> ed=1&l=1
> <http://finance.groups.yahoo.com/group/amibroker-beta/message/1653?threa\
> ded=1&l=1>
>
> -- Bruce R
>
> --- In amibroker@xxxxxxxxxxxxxxx, "bistrader" <bistrader@> wrote:
> >
> > Hoping to do without backtester. Will read Help and see if I can do
> this. I have Howard Brandy's book, Into to AmiBroker, and will see if
> something is in there as well. Thanks Bruce.
> > --- In amibroker@xxxxxxxxxxxxxxx, "bruce1r" brucer@ wrote:
> > >
> > > 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@> 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 ****
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> > > > > > >
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> > > > > > >
> > > > > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
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> > > > > > >
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> > > > > > >
> > > > > > > Yahoo! Groups Links
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
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