see the AB Devlog for example on balancinig open positions http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/
-- Cheers Graham AB-Write >< Professional AFL Writing Service Yes, I write AFL code to your requirements http://www.aflwriting.com On 11/04/07, vlanschot <[EMAIL PROTECTED]> wrote: > Hello, > > Before I submit my request to the Feedback centre, I was wondering > whether anybody has been able to include dynamic (weight/holdings) > rebalancing in their code, whereby stock-specific arrays (as > in "relative weights") are referred to for the rebalancing. > > In other words, PositionSize can be an array, but it does not allow > you to rebalance your existing portfolio-weights once you've entered > a position (i.e. they only determine entry positions). It turns out, > as far as I know now, that even in the CBT (advanced backtester) you > cannot refer to stock-specific arrays to rebalance (only static > amounts). I've tried it in the rotational mode, and could not get it > working. > > The idea is fairly simple: I want to overweight by x% the relative > weights (in some broad index) of my top quartile, underweight by x% > the relative weight of my bottom quartile, and keep the rest equal to > their respective relative weights. These type of "dynamic > rebalancing" strategies are quite common. > > Correct me if I'm wrong, but the SetPositionSize(size, method) is > neither suited for this purpose (and in any case, I prefer the CBT > because it allows me to define my own trade-stats). > > Thanks for any help. > > PS > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > Yahoo! Groups Links > > > >
