[amibroker] Re: Fund Rotation and Foreign

["donald_brown_48367" <donald_brown_48367@xxxxxxxxx>]

Steve,

This will rotate your funds at the beginning of the month if SPY is above it's 200 day moving average. It will pick the 3 strongest performers over the last 120 days.

SetBacktestMode(backtestRotational);
SetTradeDelays(1,1,1,1); // everything delayed 1 day
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("MinShares", 10);
SetOption("AllowPositionShrinking",True);
SetOption("AccountMargin",100);

Totalpositions = 3;

MAFilter = Foreign("SPY","C") > MA(Foreign("SPY","C"),200);

PositionScore = MAFilter * ROC(C,120);
PositionSize = -100/Totalpositions;

SetOption("WorstRankHeld", Totalpositions + 1);
SetOption("MaxOpenPositions", Totalpositions );

m = Month();
newMonth = m != Ref( m, -1);
PositionScore = IIf(PositionScore < 0, 0, PositionScore); // Long only
PositionScore = IIf(newMonth, PositionScore, scoreNoRotate);


--- In amibroker@xxxxxxxxxxxxxxx, "Steve_Almond" <me@xxx> wrote:
>
> I'm able to use the backtester for Fund rotation (and I understand the use of 'Foreign' symbols.
> I cannot seem to combine the two, though.
> 
> I want to invest in 3 funds from a group of 10 using the best 6 month return to select the top 3. I use PositionScore =  C/Ref(C,-6);
> 
> BUT, I only want to invest in those funds if the ETF SPY is above its 10 month MA.
> 
> Can anyone suggest how to accomplish this?
> 
> Below is my attempt. It correctly invests only when SPY is above its 10 month MA, but ALWAYS selects the first 3 funds in the list.
> 
> Steve
> 
> EnableRotationalTrading(); 
> SetOption("WorstRankHeld",3); 
> 
> j=Foreign("SPY","C");
> PositionSize = -100/3;
> PositionScore =  C/Ref(C,-6)AND  j>MA(j,10);
>




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