DM, One way to approach this without having to delve into CBT is to:
1) run a test with all 9 at equal-weight or market-weight or whatever- weight you want. This would be a B&H test without rotation. 2) run a rotational test that just holds the top 4 of 9 sectors. 3) combine the two runs as another B&H test. By varying the weighting of the run #1 results with run#2 results, you should be able to see any level of sector overweighting you desire. --- In [email protected], "dmcleod1981" <[EMAIL PROTECTED]> wrote: > > I am trying to figure out how in a rotational system I could use > different position weightings for a group of etfs. For example what I > would like to do is buy all 9 S&P sector etf's but weight the top 4 or > 5 with a heavier weight based on a signal of some kind. Has someone > seen a similar example in the archives as I have not been able to find > one without using the Custom Backtester. I may have to go that route > but I was hoping for me an easier way. > > Thanks > DM >
