Re: [amibroker] How to backtest in rotational mode?

Mon, 12 Jun 2006 17:40:02 -0700

Hey dingo,

I do understand all this, although it appears that rotational mode is performing *some* kind of trading "behind the scenes" because it maintains position sizes of the ranked securities. Check out this URL from the AmiBroker online reference which alludes to backtesting and initiation of entries and exits...


If rotational ranking dissallows Optimization, how am I to know what would make an optimal "worstrank" value? Or optimal settings for my scoring criteria? Maybe I can create a conventional trading strategy to optimize these signals and the plug those numbers into a rotational scoring formula. A possibility but I'd feel better if I could optimize within rotational mode directly.

Currently I use Status("action") to separate rotational trading Exportations from normal trading signals, which turns Exploration into a very course grain pre-filter. After determining the rotation candidates I rely on Buy/Sell signals in Backtesting and Indicator modes to generate more fine grain trading signals. These can be optimized too.

But not my scoring algorithm.

-- John

On Jun 11, 2006, at 10:55 AM, dingo wrote:


You need to understand how rotationaltrading works. In the help file under ENABLEROTATIONALTRADING:

Rotational trading is popular method for trading mutual funds. It is also known as fund-switching or scoring&ranking. Its basic permise is to rotate symbols all the time so only top N issues ranked according to some user-definable score are traded. The number of positions open depend on "Max. open positions" setting and available funds / position size. Once position is entered in remains in place until security's rank drops below WorstRankHeld (settable via SetOption("WorstRankHeld", 5 ) ). Regular buy/sell/short/cover signals are not used at all.

The rotational mode uses only score variable (PositionScore) to rank and rotate securities. This idea has been implemented earlier in PortfolioTrader AFL formula written by Fred Tonetti with GUI written by Dale Wingo.

In other words it does NOT use signals but stays in the market all the time. As tickers with positionscore bubble to the top they replace the ones that float to the bottom.

d

> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of [EMAIL PROTECTED]
> Sent: Sunday, June 11, 2006 1:39 AM
> To: [email protected]
> Subject: [amibroker] How to backtest in rotational mode?
>
> All,
>
> I'm building a rotational trading system and can Explore
> groups of stocks using the PositionScore criteria. Good so
> far. But, if the securities are being "rotated" in the
> ranking, AMIBroker must be initiating long and short signals.
> I would like to see these long and short signals, but since
> rotation mode doesn't let you define Buy/Sell arrays, you
> can't Scan and that means no list of signals. Huh...
> Backtesting and Report generation won't work either. And
> without those Buy/Signals exposed, I can't Optimize either.
>
> To get around this, I thought of using rotation mode to do
> explorations and then use a separate trading system based on
> Buy/Sell signals in the usual way, but wouldn't I also have
> to fold in the rotation signals that AMIBroker is generating
> behind the scenes?
>
> And Optimization is still out of my control without Buy/Sell signals.
>
> So how should I backtest, optimize and view the list of
> trading signals that result from rotational trading?
>
> -- John.

 

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