--- "Tomasz Janeczko" wrote:
>
> Hello,
>
> That's a built in feature, no need for custom backtester.
>
> http://www.amibroker.com/f?enablerotationaltrading
>
> SetOption("WorstRankHeld", Threshold);
>
Thank you for the reply. Actually I am wanting to do something in
addition to rank thresholding. I want to add PositionScore thresholding.
Currently EnableRotationalTrading does the following:
1. Compute a PositionScore for each security 2. Rank order
securities by PositionScore 3. Sell all open positions with a rank
order below "WorstRankHeld" 4. Fill available positions with the
highest ranking security not currently held
What I want to do is the following (additions in bold):
1. Compute a PositionScore for each security 2. Rank order
securities by PositionScore 3. Sell all open positions with a rank
order below "WorstRankHeld" 4. Sell all open positions with a
PositionScore below a "WorstScoreHeld" 5. Fill available positions
with the highest ranking security not currently held with a
PositionScore above a "WorstScoreHeld" 6. Leave unfilled positions in
cash
So I want to add a "WorstScoreHeld" criteria. If there aren't enough
securities above the "WorstScoreHeld" threshold (i.e. PositionScore >
WorstScoreHeld), then the unfilled slots would be in cash. I hope that
is a little clearer.
Thanks again.
Curt
