|
PureBytes Links
Trading Reference Links
|
Yes and this is what the example code I posted does. I had to do this so that rankings (for each watchlist position) were available for ALL market days. Unfortunately, uncommenting this makes the rankings available for just the first market day of the month.
I was thinking that I could get the CBT code to just use the ranking levels to exit a position when its ranking fell below 10, rather than exit and rotate into a new position which is what it does.
Can't figure out how to just exit on other than the first day of the month when ranking for that position (for that day) drops below 10.
--- In amibroker@xxxxxxxxxxxxxxx, "Paolo Cavatore" <pcavatore@xxx> wrote:
>
> Have you tried uncommenting the following line?
>
> PositionScore = IIf( firstofmonth, Rank, scoreNoRotate );
>
> paolo
>
> --- In amibroker@xxxxxxxxxxxxxxx, "bistrader" <bistrader@> wrote:
> >
> > Need help with CBT. Want to buy from a watchlist on First of Month with delay =1, MaxOpenPos of 3 and Worst1 of 6. This works fine.
> >
> > On other than First of Month, want to sell a ticker if ranking drops to below Worst2 which is 10 and not replace ticker until next First of Month. I can not get this to work. Sell example code below. Help appreciated.
> >
> > ***********
> > // Rotation_with_MidLevelCBT_v2.0.afl
> >
> > // An example using Mid Level CBT
> >
> > MaxOpenPos = 3;
> > Worst1 = 6;
> > Worst2 = 10;
> >
> > BuyPrice = SellPrice = ShortPrice = CoverPrice = Close;
> >
> > Delay = 1;
> > SetTradeDelays( Delay, Delay, Delay, Delay );
> >
> > SetOption("MaxOpenPositions", MaxOpenPos );
> > SetOption("WorstRankHeld", Worst2 );
> > EnableRotationalTrading( True );
> > PositionSize = -100/GetOption("MaxOpenPositions");
> >
> > firstofmonth = Month() != Ref( Month(), -1 );
> > firstofmonth2 = Ref(firstofmonth,-Delay);// Need for Mid Level Backtester
> >
> > Rank = 1/RSI(14);
> > PositionScore = rank;
> > //PositionScore = IIf( firstofmonth, Rank, scoreNoRotate );
> >
> > // THIS IS MID LEVEL BACKTESTER
> > // Want to buy on First of Month with delay =1, MaxOpenPos of 3
> > // and Worst1 of 6.
> > // On other than First of Month, want to sell a ticker if ranking
> > // drops to below Worst2 which is 10 and not replace ticker
> > // until next First of Month
> >
> > SetOption("UseCustomBacktestProc", True );
> > //SetOption("UseCustomBacktestProc", False );
> >
> > barDates = DateTime();
> >
> > // FirstOfMonth with MaxOpenPos of 3 and Worst1 of 6.
> > // This section of code works just fine.
> > if( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> > bo.PreProcess();
> >
> > for( bar = 0; bar < BarCount; bar++ )
> > {
> > barDate = barDates[bar];
> > if( firstofmonth2[ bar ] )
> > {
> > TopSymbols = "";
> > for( i = 0, sig = bo.GetFirstSignal( bar );
> > sig AND i < Worst1;
> > sig = bo.GetNextSignal( bar ), i++ )
> > {
> > TopSymbols += sig.Symbol + ",";
> > }
> >
> > _TRACE(NumToStr(barDate, formatDateTime) + " Top " + Worst1 + " Symbols: " + TopSymbols );
> >
> > for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() )
> > {
> > if( NOT StrFind( TopSymbols, pos.Symbol + "," ) )
> > {
> > _TRACE("Exiting position not found in top list: " + pos.Symbol );
> > // exit the position
> > bo.ExitTrade( bar, pos.Symbol, pos.GetPrice( bar, "C" ), 9 ); // modify price field if needed here
> > }
> >
> > }
> > }
> >
> >
> > // On other than FirstOfMonth, want to sell a ticker if ranking falls below
> > // worst2 of 10 and not replace it until next FirstOfMonth. THE FOLLOWING
> > // DOES NOT WORK AS IT ROTATES INTO THE NEXT TICKER RATHER THAN JUST
> > // SELLING THE TICKER.
> > if( NOT firstofmonth2[ bar ] )
> > {
> > TopSymbols = "";
> > for( i = 0, sig = bo.GetFirstSignal( bar );
> > sig AND i < Worst1;
> > sig = bo.GetNextSignal( bar ), i++ )
> > {
> > TopSymbols += sig.Symbol + ",";
> > }
> >
> > _TRACE(NumToStr(barDate, formatDateTime) + " Top " + Worst2 + " Symbols: " + TopSymbols );
> >
> > for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() )
> > {
> > if( NOT StrFind( TopSymbols, pos.Symbol + "," ) )
> > {
> > _TRACE("Exiting position not found in top list: " + pos.Symbol );
> > // exit the position, but do NOT replace position
> > bo.ExitTrade( bar, pos.Symbol, pos.GetPrice( bar, "C" ), 8 ); // modify price field if needed here
> > }
> >
> > }
> > }
> >
> > bo.ProcessTradeSignals( bar );
> > }
> > bo.PostProcess();
> > }
> >
> > // The End
> >
>
------------------------------------
**** 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/
|