I've always been quite sceptic about EnableRotationalTrading() and I've often
preferred to go through the more flexible standard backtest mode including my
rotational logic within the buy/sell/short/cover conditions.
This time I wanted to give it a try since I wanted to test a quite simple
rotational strategy.
The logic is: buy the 2 stocks with the lowest RSI and short the 2 with the
highest with a quarterly rebalancing, as simple as that.
Unfortunately the below code doesn't provide the expected quarterly rebalancing
even if the ranking is correctly updated quarterly (blue line in the chart).
I believe this is related to the EnableRotationalTrading logic since I had
correct results with standard backtest mode when using similar quarterly
rebalancing with such ranking variable.
Anyone had similar issues?
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//Test AB Rotational.afl
SetChartOptions( 0, chartShowArrows );
SetChartOptions( 0, chartShowDates );
SetChartOptions( 2, chartWrapTitle );
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g,
Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, Name(), ParamColor( "Color", colorWhite ), ParamStyle( "Style" ) |
styleCandle );
SetBacktestMode(backtestRotational);
MaxOP = Param("Open Positions", 4, 1, 600, 1);
SetOption("SeparateLongShortRank", True );
SetOption("MaxOpenPositions", MaxOP );
SetOption("MaxOpenLong", MaxOP/2 );
SetOption("MaxOpenShort", MaxOP/2 );
SetOption("WorstRankHeld", MaxOP/2);
Ranking = ValueWhen(Month() != Ref(Month(),1) AND (Month() == 12 OR Month() ==
3 OR Month() == 6 OR Month() == 9) , 50-RSI(14));
PositionSize = -(100/MaxOP);
PositionScore = Ranking;
Plot(Ranking, "Ranking", colorLightBlue, styleLine|styleOwnScale);
