Hello, Not true - if you set positionscore to ZERO - then it means do NOT open position for that ticker. You can also use scoreNoRotate - to stop rotation (entering new positions) on all symbols.
This is documented in the EnableRotationalTrading function docs. WorstRankHeld works so that if you already entered position in the past then it will NOT be exited UNTIL given symbol rank drops below WorstRankHeld (ordinal position in a table sorted by absolute value of PositionSocre) For example if MaxOpenPositions is 10 and WorstRankHeld is 20 the trade will be open if stock ranks in TOP TEN and then this position will be kept UNTIL stock rank drops below 20. Note that WorstRankHeld MUST be greater or equal then MaxOpenPositions. If you specify that WorstRankHeld is less than MaxOpenPositions it will use WorstRankHeld = MaxOpenPositions anyway. And last thing is that values of PositionScore do not need to be inside any specific range. Regards, Tomasz Janeczko amibroker.com --- In [email protected], "MailYahoo" <[EMAIL PROTECTED]> wrote: > > Another issue that I think is with Rotational trading is that is always > wants to be in a position no matter what > > > > > > Mark > > > > > > _____ > > From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf > Of msc626 > Sent: Friday, June 23, 2006 5:08 PM > To: [email protected] > Subject: [amibroker] Re: Question about rotational mode trading... > > > > 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.amibroke > <http://www.amibroker.com/guide/afl/afl_view.php? enablerotationaltrading> > r.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 --------------------~--> Great things are happening at Yahoo! Groups. See the new email design. http://us.click.yahoo.com/TISQkA/hOaOAA/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/
