So...... you cant change it to suit your need have you tried the if.......
_____ From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of vlanschot Sent: Wednesday, 11 April 2007 9:12 PM To: [email protected] Subject: [amibroker] Re: Dynamic rebalancing of existing portfolio weights Thanks Graham, but I'm familiar with this code since Tomasz was kind enough to write it at my request. The problem is, as you can see in the code, that the variable with which this code rebalances is a FIXED number, i.e. EachPosPerc = 5. And there is where the limitation is: I'd like this to be a stock-specific vector/array. Again thanks for the suggestion, but I suspect I need to raise this as a request. PS --- In [EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> ps.com, Graham <[EMAIL PROTECTED]> wrote: > > see the AB Devlog for example on balancinig open positions > http://www.amibroke <http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/> r.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.aflwriti <http://www.aflwriting.com> ng.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.amibroke <http://www.amibroker.com/devlog/> r.com/devlog/ > > > > For other support material please check also: > > http://www.amibroke <http://www.amibroker.com/support.html> r.com/support.html > > > > Yahoo! Groups Links > > > > > > > > >
