Howard, If you read this - first can I say thanks for the book (QTS) which I'm glued to and really enjoying.
I'm an inexperienced AB user so pardon any silliness. I'm trying to optimise / backtest your rotational trading model (listed at fig 17.1 but actually 15.1) and in doing so, I get the same result for every optimisation step - a RAR of about 10.5%. Clearly something's wrong - can you make any suiggestions? Also, with this type of model - there are no buy and sell signals (are there?) - If so, does the system rebase itself on a daily basis - ie buy / sell the highest / lowest ranking issues each day (and keep them if there's no change in the order)? Thanks for any help. Rich
