Joe, Thanks for the ideas. Instead of creating atc clones I imported the categorization equivalent number into the OI field as you suggested. I may also experiment with Mark's groups idea as that may be of some benefit in other ways such as reports etc. Now I just have to figure out whether I need the CBT or if I can do this with the regular backtester. I would have thought you FastTrac guys would have done all this already! :-)
Regards, Duke Jones, CMT Joe Landry wrote: > 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 > > > > > > > > -- Regards, Duke Jones, CMT ------------------------ Yahoo! Groups Sponsor --------------------~--> Yahoo! Groups gets a make over. See the new email design. http://us.click.yahoo.com/WktRrD/lOaOAA/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/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> 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/
