Hi Tony -- There is a trading system methodology known as "rotational trading" where a watchlist is evaluated every bar and those issues that have the highest PositionScore are selected. To enable rotational trading, the afl needs this statement: EnableRotationalTrading();
When using rotational trading, Buy, Sell, Short, and Cover statements are ignored. Only PositionScore matters. Trading takes place at the Open or Close depending on the settings of BuyPrice, SellPrice, ShortPrice, and CoverPrice. Trading takes place with the delay between signal and execution according to the settings of SetTradeDelays(n,n,n,n); Rotational trading was very popular in the 1990s for switching among mutual funds, and continues to have some following. Rotational trading is a subset of general trading, and is limited by the inability to use Buy and Sell signal, Stops, Timed exits, and other techniques. Review the AmiBroker User's Guide for details. --------------------- If the afl does not have rotational trading enabled, then PositionScore is used to break ties only when new entries are being considered. In the situation you describe, the ten issues selected on day one from more than ten candidates are those that have the highest PositionScore on that day. On day two there are three available slots. The three that will be chosen are the three that have the highest PositionScore from among those candidates that have Buy signals that day. Issues that have already been purchased do not have their PositionScore evaluated and will not be sold simply because of a low PositionScore. After they have been sold due to a Sell signal, or execution of a stop, they then rejoin the pool of candidates and will have their PositionScore calculated in anticipation of competing for entry at the next Buy signal. Thanks, Howard On Sat, Apr 3, 2010 at 8:27 PM, Tony M <[email protected]> wrote: > > > My formula generates a lot of signals every day, and my max position is set > to 10. So I use a PositionScore to rank the stocks that have a buy signal > and buy at the open the next day. On the first day of backtesting, the top > ten stocks ranked by PositionScore are picked and bought. This is exactly > what I want it to happen. At the closing of first day, three stocks meet the > exit criteria and get sold. On the second day backtesting, there are total > seven old positions and three new stocks are bought. However the three new > stocks get selected are not the highest ranking stocks in the PositionScore > list. The three stocks are ranked No. 3rd, 18th and 25th in the > PositionScore list. This is very puzzling to me. My formula is very simple > and is like this: > BUY = condition1 and condition2 and condition3; > PosQty = 10; > SetOption("MaxOpenPositions", PosQty ); > PositionSize = -100/PosQty; > SetTradeDelays(1,0,0,0); > BuyPrice = Open; > Sell = sell_condition; > SellPrice = Close; > PositionScore=100-RSI(14); > > My question is why PositionScore works perfectly on the first day of > backtesting, but not the days thereafter? I have been working on this > question for quite a few days, but I just couldn't find an answer. Can > anyone here help me on this? > > Thanks, > Tony > > >
