You need to understand how rotationaltrading works. In the help
file under ENABLEROTATIONALTRADING:
Rotational
trading is popular method for trading mutual funds. It is also known as
fund-switching or scoring&ranking. Its basic permise is to rotate symbols
all the time so only top N issues ranked according to some user-definable score
are traded. The number of positions open depend on "Max. open positions" setting
and available funds / position size. Once position is entered in remains in
place until security's rank drops below WorstRankHeld (settable via
SetOption("WorstRankHeld", 5 ) ). Regular buy/sell/short/cover signals are not
used at all.
The rotational mode uses only score variable (PositionScore)
to rank and rotate securities. This idea has been implemented earlier in
PortfolioTrader AFL formula written by Fred Tonetti with GUI written by Dale
Wingo.
In other words it does NOT use signals but stays in the
market all the time. As tickers with positionscore bubble to the top they
replace the ones that float to the bottom.
d
> -----Original
Message-----
> From: [email protected]
> [mailto:[email protected]] On
Behalf Of [EMAIL PROTECTED]
> Sent: Sunday, June 11, 2006 1:39
AM
> To: [email protected]
> Subject: [amibroker] How to
backtest in rotational mode?
>
> All,
>
> I'm building a
rotational trading system and can Explore
> groups of stocks using the
PositionScore criteria. Good so
> far. But, if the securities are being
"rotated" in the
> ranking, AMIBroker must be initiating long and short
signals.
> I would like to see these long and short signals, but
since
> rotation mode doesn't let you define Buy/Sell arrays, you
>
can't Scan and that means no list of signals. Huh...
> Backtesting and
Report generation won't work either. And
> without those Buy/Signals
exposed, I can't Optimize either.
>
> To get around this, I thought
of using rotation mode to do
> explorations and then use a separate
trading system based on
> Buy/Sell signals in the usual way, but wouldn't
I also have
> to fold in the rotation signals that AMIBroker is
generating
> behind the scenes?
>
> And Optimization is still
out of my control without Buy/Sell signals.
>
> So how should I
backtest, optimize and view the list of
> trading signals that result from
rotational trading?
>
> --
John
>
>
>
>
>
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