Hi Donald,
Here is a simple example that is in the systems folder of the AB Release.
// Simple example of rotational trading system
// This is contrarian strategy -
// it buys 4 "worst" stocks - the ones that suffered the most in last year
// (4 stocks having worst 252-bar rate-of-change)
//
// 4 positions
MaxPositions = 5;
SetOption("MaxOpenPositions", MaxPositions );
SetOption("WorstRankHeld", MaxPositions + 2 );
SetPositionSize( 100 / MaxPositions, spsPercentOfEquity );
// trade on next day open
SetTradeDelays( 1, 1, 1, 1 );
BuyPrice = Open;
SetBacktestMode( backtestRotational );
// offsetting by large positive number
// makes sure that our score is always positive and we don't enter short trade
PositionScore =
10000 - ROC( C, 5 );
You can add "clauses" to the positionScore using the following pattern:
PositionScore =
IIf ( C*V > 10000. // only return a value if more than $10k traded
10000 - ROC( C, 5 ), // The actual PositionScore
0); // Get a 0 score if the liquidity requirements are not met
Hope this gets you started.
Z
From: donald_brown_48367 <donald_brown_48367@xxxxxxxxx>
To:
amibroker@xxxxxxxxxxxxxxx
Sent: Mon, 14 December, 2009 5:08:17 AM
Subject: [amibroker] Rotational Trading Code
Does anyone have a simple rotational code that they can post?