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Amibroker has a unique backtesting mode for system such as this called Rotational - plenty of examples on this board if you do a search.
--- In amibroker@xxxxxxxxxxxxxxx, "googool123123" <bfallahi@xxx> wrote:
>
> Hi,
>
> I would like to write a simple backtest that would rank a watchlist
> based on a certain criteria and buys any neww addition at the end of the
> month and sells any one that goes out of previous top 5, can someone
> please help me to the right direction? Thanks
>
> something like this pseudo code assuming RSI is used for ranking
>
> maxPositions = 5
> minPositions = 5
>
> stockArray = rankRSI(watchList)
> rankArray = sort(stockArray)
>
> if( now is endOfMonth)
> {
> for i = rankArray[0] to rankArray[4]
> {
> if(rankArray[i] not in openPositionsArray
> {
> buy rankArray[i]
> openPositionsArray.add(rankArray[i])
> }
> }
>
>
> for i = openPositionsArray[openPositionsArray.length] to
> openPositionsArray[0]
> {
> if(openPositionsArray[i] is not in rankArray[0] to
> rankArray[4]
> {
> sell(openPositionsArray)
> openPositionsArray.remove[openPositionsArray[i])
> }
> }
> }
>
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