--- "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:
- Compute a PositionScore for each security
- Rank order securities by PositionScore
- Sell all open positions with a rank order below "WorstRankHeld"
- Fill available positions with the highest ranking security not currently held
What I want to do is the following (additions in bold):
- Compute a PositionScore for each security
- Rank order securities by PositionScore
- Sell all open positions with a rank order below "WorstRankHeld"
- Sell all open positions with a PositionScore below a "WorstScoreHeld"
- Fill available positions with the highest ranking security not currently held with a PositionScore above a "WorstScoreHeld"
- 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
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