Hi,
How can the program be modified for an unequal portfolio e.g. 50%, 30%, 20% ?
Thanks,
Amarjit
----Original message----
From : amibroker@yahoogroups.com
Date : 20/04/2016 - 05:48 (GMTDT)
To : amibroker@yahoogroups.com
Subject : [amibroker] Re: Rebalance a portfolio
This code should do it. Just set up a watchlist with the three ETFs that you want to rebalance weekly, use that as your Apply to Filter, set up the daterange and hit backtest.EnableRotationalTrading();SetTradeDelays( 0,0,0,0 );firstdayofweek = DayOfWeek() < Ref( DayOfWeek(), -1 );EachPosPercent = 33.333;PositionScore = IIf( firstdayofweek, 1, scoreNoRotate );PositionSize = -EachPosPercent;SetOption( "InitialEquity", 100000 );SetOption( "WorstRankHeld", 3 );SetOption( "MaxOpenPositions", 3 );SetOption( "UseCustomBacktestProc", True );if( Status( "action" ) == actionPortfolio ){bo = GetBacktesterObject();bo.PreProcess();for( bar = 0; bar < BarCount; bar++ ){bo.ProcessTradeSignals( bar );CurEquity = bo.Equity;if( firstdayofweek[bar] == 1 ){for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() ){posval = pos.GetPositionValue();diff = posval - 0.01 * EachPosPercent * CurEquity;price = pos.GetPrice( bar, "O" );if( diff != 0 AND abs( diff ) > price ){bo.ScaleTrade( bar, pos.Symbol, diff < 0, price, abs( diff ) );}}}}bo.PostProcess();}
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Posted by: "a.chandhial@btinternet.com" <a.chandhial@btinternet.com>
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