My understanding is that it is based upon your Positionscore = xxx
statement :
Positionscore = ROC(C,10); // for example
posqty = 1;
SetOption("WorstRankHeld",3);
SetOption("MaxOpenPositions",posqty);
Positionsize = -100/posqty;The stocks you are trading are ranked by their score. The #1 stock on the list is purchased and held until its positionscore rank is below #3. Then the #1 stock on the list according to ROC(C,10) is purchased. Pretty straightforward. The only caveat is that Positionscore returns the _absolute value_, so a score of -100 is greater than a score of 90. Unless you really want to do this, do something like score = ROC(C,10); Positonscore = score + 1000; //OR score = ROC(C,10); positonscore = IIf(score > 0, score, 0 ); This will insure that negative scores are lower ranked. dale b > All, > > I believe I fully understand the procedure that Tomasz is using to > implement rotational trading,except for one detail described in the online guide... > > "Exits are generated automatically when security's rank drops below 'worst > rank held'" > http://www.amibroker.com/guide/afl/afl_view.php?enablerotationaltrading > > This is a vague statement as it does not mention any specific units of > measure. Is WorstRankHeldmeasured in percentile ranking of the PositionScores? Is there a > constraint that Position Scores mustbe in a specific range (-100 - 100)? > > Can anyone give me a specific example to clarify this point? > > -- John > ------------------------ Yahoo! Groups Sponsor --------------------~--> See what's inside the new Yahoo! Groups email. http://us.click.yahoo.com/2pRQfA/bOaOAA/yQLSAA/GHeqlB/TM --------------------------------------------------------------------~-> Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
