Seems to me that you should take out the rotational trading stuff and do it your self in the CBT. That's what you're trying to do anyway.
d > -----Original Message----- > From: [email protected] > [mailto:[EMAIL PROTECTED] On Behalf Of vlanschot > Sent: Friday, May 04, 2007 10:44 AM > To: [email protected] > Subject: [amibroker] Re: CBT: Scaled trades > > Paul, appreciate the feedback, but that's exactly where the > difficulty is. See below. > > --- In [email protected], "Paul Ho" <[EMAIL PROTECTED]> wrote: > > > > 1. Cash is a property of the backtester > > so bo.Cash gives you the available cash at each bar; > > I understand. This is the cash available at the end (start) of the > (next) bar. Say my scaling takes place at bar 2, assuming I get my > signals on the close of bar 1. > > > 2. posize and poscore are properties of the signal object. > > if you want to you can do all your selling/scaleout first, and use > the > > available cash to do what you need. > > With CBT & Rotational (see TJ's original code @ > http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/), > > I cannot get to the amount of cash generated by the ScaleOut-trades, > let alone allocate cash over the subsequent ScaleIn trades since > signal.Type cannot specify between the two. Also, the possize and > posscore in the rebalancing are different from those used for the > entry/exit trades, i.e. I have defined them within the pos = > GetFirstOpenPos loop. > > > and use the bo.EntrerTrade or bo.ScaleTrade to do what you need. > > My conclusion, and I hope I'm wrong: bo.ScaleTrade in rotational mode > cannot be ranked/get trade-specific cash allocations in case one uses > rebalancing criteria within the OpenPositions-list. > > This strategy may sounds complicated, but isn't. As I've written > elsewhere, I simply want to hold all constituents of an index all the > time, but reweight (e.g. monthly) the positions based on stock- > specific arrays, 1 being my score, and the second the official > relative weight of the stock in the index, both of which obviously > change over time. > > PS > > > > > > > _____ > > > > From: [email protected] [mailto:[EMAIL PROTECTED] > On Behalf > > Of vlanschot > > Sent: Thursday, 3 May 2007 11:00 PM > > To: [email protected] > > Subject: [amibroker] Re: CBT: Scaled trades > > > > > > > > Thanks mate, but forgot to mention: I use rotational mode in CBT > > which seems to complicate matters due to the fact that scaling is > > triggered by stock-specific variables (arrays) which relate to both > > (current vs. required) PositionSize and (previous vs. new) > > PositionScore. > > I have been unable to determine: > > 1) how much cash is available for all ScaleIns at each bar > > 2) how to allocate this cash according to a specific "ScaleIn"-rule. > > > > Support question, I suspect. > > > > PS > > > > --- In [EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> > ps.com, > > "Paul Ho" <paultsho@> wrote: > > > > > > Mate > > > If you're using CBT, you can program the way you want it > > > just put scaleout before the others, they will be executed > first ;) > > > > > > > > > _____ > > > > > > From: [EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> > ps.com > > [mailto:[EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> > ps.com] > > On Behalf > > > Of vlanschot > > > Sent: Thursday, 3 May 2007 9:01 PM > > > To: [EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> > ps.com > > > Subject: [amibroker] CBT: Scaled trades > > > > > > > > > > > > Could anybody possibly confirm whether ScaleOut trades are > executed > > > FIRST, in order to release cash for the subsequent ScaleIn trades? > > > > > > And if so, is the only way to calculate the resulting amount of > > cash > > > available for the ScaleIn-trades to add (PosSize - Exit > > Commissions) of > > > each ScaleOut to the bo.Cash of the previous bar? > > > > > > Thx, > > > > > > 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 > > > >
