amibroker

Home ▸ Knowledge Base

March 6, 2006

Re-balancing open positions

Here is an example that shows how to code rotational trading system with rebalancing. The system buys and shorts top 20 securities according to absolute value of positionscore (user definable – in this example we used 20 day rate-of-change) – each at 5% of equity then each day it rebalances existing positions to 5% if only the difference between current position value and “ideal” value is greater than 0.5% and bigger than one share.

Note that this code sample uses Custom Backtester interface that is documented here.

EnableRotationalTrading(); 

EachPosPercent = 5; 

PositionScore = ROC( C, 20 ); 

PositionSize = -EachPosPercent; 

SetOption("WorstRankHeld", 40 );
SetOption("MaxOpenPositions", 20 ); 

SetOption("UseCustomBacktestProc", True ); 

if( Status("action") == actionPortfolio )
{
  bo = GetBacktesterObject();

  bo.PreProcess(); // Initialize backtester

  for(bar=0; bar < BarCount; bar++)
  {
   bo.ProcessTradeSignals( bar );
  
   CurEquity = bo.Equity;
  
   for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() )
   {
    posval = pos.GetPositionValue();
   
    diff = posval - 0.01 * EachPosPercent * CurEquity;
    price = pos.GetPrice( bar, "C" );
   
    // rebalance only if difference between desired and
    // current position value is greater than 0.5% of equity
    // and greater than price of single share
    if( diff != 0 AND
        abs( diff ) > 0.005 * CurEquity AND
        abs( diff ) > price )
    {
     bo.ScaleTrade( bar, pos.Symbol, diff < 0, price, abs( diff ) );
    }
   }
  }
  bo.PostProcess(); // Finalize backtester

Related articles:

  1. How to exclude top ranked symbol(s) in rotational backtest
  2. How to close open positions at the end of the day (for daytraders)
  3. How to create copy of portfolio equity?
  4. Historical portfolio backtest metrics
  5. Using redundant signals for entries

* Filed by Tomasz Janeczko at 3:50 pm under Custom Backtest
Comments Off on Re-balancing open positions

Preventing exit during first N bars

Here is sample technique that allows to prevent exiting position during first N bars since entry. The implementation uses loops that checks for signals in Buy array and if it finds one it starts counting bars in trade. During first N bars all sell signals are then removed (set to zero) only once counter reaches user-defined limit sell signals are accepted.
(more…)

Related articles:

  1. How to identify signal that triggered entry/exit if multiple signals are used
  2. How to set individual trading rules for symbols in the same backtest
  3. How to add MAE / MFE dates to the backtest report
  4. Broad market timing in system formulas
  5. Limit number of trades per day in a backtest

* Filed by Tomasz Janeczko at 9:15 am under Backtest
Comments Off on Preventing exit during first N bars

« Previous Page