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Sid
Thanks for the clear and complete
answer
A
----- Original Message -----
Sent: Sunday, August 27, 2006 5:02
PM
Subject: Re: [amibroker] Rotational
Trading - WorstRankHeld
At 10:42 PM 8/26/2006, you wrote:
Am trying
to develop a RotationalTrading System.
I do not understand the
SetOption ( "WorstRankHeld" ,Rank);
command. It seems to impact the trading even if
rank is larger than
MaxOpenPositions.
Example:
If I allow 5 open
positions, why should a rank of 10 or 20 ... or any number over 5 have an
influence in trading results???
I guess I don't understand exactly
what WorstRankHeld means...
Appreciate anyone's expertise in
this
Ara
1. Rank is determined by your position score.
2. If you have
some available capital, the rotational system will buy the highest ranked
stock.
3. But, when do you sell? That is controlled by the Worst
Rank Held. When you are fully invested a sale occurs when a stock slips
down the rankings to the Worst Rank Held where it is then sold. This
frees up some capital so a new purchase can be made. You can see how
changing the WRH will have an effect on system trading results because of this
variable selling point.
4. To reduce whipsaws it is normal to set the
Worst Rank Held to some larger number like 10 or 20 or even 30 before the
stock is sold.
I have one system I am currently working on that holds a
position until the stock falls below the top 35% of all the stocks in the
watchlist being traded.
5. Worst Rank Held is typically one of the
parameters that you want to optimize.
HTH
Sid
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