Re: [amibroker] Re: Rebalance a portfolio

Coolman 05.45

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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Re: [amibroker] Re: Rebalance a portfolio

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