In advanced backtest code you exit the trades, update the values, then enter signals with amended posSize
-- Cheers Graham Kav AFL Writing Service http://www.aflwriting.com On 01/02/2008, vlanschot <[EMAIL PROTECTED]> wrote: > Perhaps somebody has a straightforward way to solve the following, or > point out the error in my interpretation of AFL/CBT: > > My system keeps a constant number of 50 positions, based on a ranking > (although I do not use rotational trading.) At the start the > positions are equally weighted, i.e. PositionSize is defined as 2%. > As time moves on, some do very well, and reach, say, a weight of 3% > of equity. When the exit signal arrives, these positions are replaced > by new ones, but now back to the 2% of equity as defined in > PositionSize. > > The resulting problem is that at times I find I have too much cash > left. Now, I know that I can rebalance open positions (by scaling > in/out, for example via TJ's code > http://www.amibroker.com/kb/2006/03/06/re-balancing-open-positions/). > However, apart from the extra costs involved, I have found that there > is no way to determine/access the amount of cash BEFORE > entering/rebalancing the new positions. In other words, bo.Cash gives > you the amount of cash "at the end of the bar". You can, of course, > use the amount of cash of the previous bar, but you keep lagging the > actual trades. > > In short, I would like to force the backtester to always make the > system fully invested (except for round lots, etc.) It would be > great, for example, if there would be an option to automatically > assign the amount of cash which becomes available from the first > exited trade to the first new trade, etc. In my system this is very > applicable, as I always have other trades to replace the exited one. > > Any thoughts/suggestions welcome. If none, I'll forward this to > support. > > 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 > > > >
