Duke, you could create clones(with add to composite) of each mutual fund and tuck the category number in one of the composite fields, probably open interest; although mutual funds have only one field and that means OHLV are also available. I've used this technique of building clones to store fundamental data and scores from prescoring runs.
When processing that watchlist containing the 1390 clones, you can extract the category from the say, OI field. You'd need a file(s) or a table assigning the category to the mutual fund before you created the clones. I'm thinking you would score the entire group and pick five, one each out of the top categories? Best regards Joe ----- Original Message ----- From: "Mark H" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Tuesday, September 05, 2006 9:50 PM Subject: Re: [amibroker] Restricting Duplicate Categories in Rotational Trading > This can be done with AmiBroker with some twists. > 1. Use Groups to categorize the funds. A JScript can be used to assign > Group. > 2. Use CBT Rotational mode. > > ----- Original Message ----- > From: "Duke Jones, CMT" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Tuesday, September 05, 2006 8:56 PM > Subject: [amibroker] Restricting Duplicate Categories in Rotational > Trading > > >>I have a project that I would like to tackle in Amibroker which is to >> develop a rotational trading system for a fixed universe of mutual >> funds. There are over 1390 funds classified into about 70+ categories. I >> would like to import the categories into a field into Amibroker and then >> be able to restrict the number in each category in the back/forward >> tests. Therefore, if I have 5 max open positions no more than 1 small >> cap funds or gold fund etc.. >> >> Some of the ideas that come to mind are using one of fundamental text >> fields and perhaps convert from string to a number per category and then >> use that as the filter but I wasn't sure this would work in rotational >> mode. If anyone has tackled this or has some suggestions on what did or >> didn't work that would be great. >> >> -- Regards, >> >> Duke Jones, CMT >> >> >> 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 >> >> >> >> >> >> > > > > 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 > > > > > > > > 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/
