PureBytes Links
Trading Reference Links
|
I've always been quite sceptic about EnableRotationalTrading() and I've often preferred to go through the more flexible standard backtest mode including my rotational logic within the buy/sell/short/cover conditions.
This time I wanted to give it a try since I wanted to test a quite simple rotational strategy.
The logic is: buy the 2 stocks with the lowest RSI and short the 2 with the highest with a quarterly rebalancing, as simple as that.
Unfortunately the below code doesn't provide the expected quarterly rebalancing even if the ranking is correctly updated quarterly (blue line in the chart).
I believe this is related to the EnableRotationalTrading logic since I had correct results with standard backtest mode when using similar quarterly rebalancing with such ranking variable.
Anyone had similar issues?
----------------------------------------
//Test AB Rotational.afl
SetChartOptions( 0, chartShowArrows );
SetChartOptions( 0, chartShowDates );
SetChartOptions( 2, chartWrapTitle );
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, Name(), ParamColor( "Color", colorWhite ), ParamStyle( "Style" ) | styleCandle );
SetBacktestMode(backtestRotational);
MaxOP = Param("Open Positions", 4, 1, 600, 1);
SetOption("SeparateLongShortRank", True );
SetOption("MaxOpenPositions", MaxOP );
SetOption("MaxOpenLong", MaxOP/2 );
SetOption("MaxOpenShort", MaxOP/2 );
SetOption("WorstRankHeld", MaxOP/2);
Ranking = ValueWhen(Month() != Ref(Month(),1) AND (Month() == 12 OR Month() == 3 OR Month() == 6 OR Month() == 9) , 50-RSI(14));
PositionSize = -(100/MaxOP);
PositionScore = Ranking;
Plot(Ranking, "Ranking", colorLightBlue, styleLine|styleOwnScale);
------------------------------------
**** 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/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|