Re: [amibroker] Rotational Trading - WorstRankHeld

[Joe Landry]

Hello Sidney -  For the statements below, the number of positions held by AB/your system will be, say 5 mutual funds.  And when these positions are filled these five will be taken from the top ranked.    Lets say the score on one of these,  Fund C,  drops to where it's no longer in the top 5, but on this bar it is now ranked 8th.  The position will continue to be filled with Fund C until it's rank is falls below 10.  Setting the margin like this between 5 and 10 allows some wiggle room and will reduce the number of whipsaws, early redemption fees and may improve your performance.  You can optimize on these parameters and see.      You should be able to look at the detailed log or trade list and see what's happening.   Guidelines - 3 to 5 positions work out to produce higher CARs  and worst rank held is always greater than max open positions, try 10.     Hope this helps JOE       EnableRotationalTrading(); SetOption("MaxOpenPositions",5); SetOption("WorstRankHeld",10);     ----- Original Message ----- From: Sidney Kaiser To: amibroker@yahoogroups.com Sent: Sunday, August 27, 2006 7:02 PM Subject: Re: [amibroker] Rotational Trading - WorstRankHeld At 10:42 PM 8/26/2006, you wrote: Am trying to develop a RotationalTrading System.   I do not understand the SetOption ( "WorstRankHeld" ,Rank);  command. It seems to impact the trading even if rank is larger than MaxOpenPositions.   Example: If I allow 5 open positions, why should a rank of 10 or 20 ... or any number over 5 have an influence in trading results??? I guess I don't understand exactly what WorstRankHeld means... Appreciate anyone's expertise in this   Ara 1. Rank is determined by your position score. 2. If you have some available capital, the rotational system will buy the highest ranked stock. 3. But, when do you sell?  That is controlled by the Worst Rank Held.  When you are fully invested a sale occurs when a stock slips down the rankings to the Worst Rank Held where it is then sold.  This frees up some capital so a new purchase can be made.  You can see how changing the WRH will have an effect on system trading results because of this variable selling point. 4. To reduce whipsaws it is normal to set the Worst Rank Held to some larger number like 10 or 20 or even 30 before the stock is sold. I have one system I am currently working on that holds a position until the stock falls below the top 35% of all the stocks in the watchlist being traded. 5. Worst Rank Held is typically one of the parameters that you want to optimize. HTH Sid __._,_.___ 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 SPONSORED LINKS Software support Small business finance Business finance online Business finance training Business finance course YAHOO! GROUPS LINKS  Visit your group "amibroker" on the web.    To unsubscribe from this group, send an email to:  [EMAIL PROTECTED]    Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service. __,_._,___