Weekly Rotational system - Ranking code query

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December 17, 2021 at 6:29 am #102168

DeanWalton
Member

I’m trying to have a look at weekly rotational system and trying to work out the correct coding for ranking criteria. some coding i’m still struggling with.

For Monthly rotational – the template shows the following:

score = Ref(Rank,-1);//score is the rotational criteria

For weekly – the template – shows the following:

score = ;//score is the rotational criteria

So for a weekly system do you just put “rank” in there so it would be:

score = rank; or should it be the same as monthly and be score = ref(rank),-1.

Not surprisingly i get completely different results depending on what i use. One is good the other is loss over 20 years of backtesting. But I’m not really grasping what the code is doing making the tests completely different.

Hoping someone can explain it to me as I’m not getting it.

December 17, 2021 at 7:28 am #114203

Nick Radge
Keymaster

Score should be the same as the monthly.

Main difference will be:

Monthly

EOM = Month() != Ref(Month(),-1);
PositionScore = IIf(Year()>=1985 AND EOM,Score,scoreNoRotate);

Weekly
DofW = dayofweek() < Ref(dayofweek(),-1);
PositionScore = IIf(Year()>=1985 AND DofW,score,scoreNoRotate);

December 17, 2021 at 9:02 am #114204

DeanWalton
Member

ok – but what is the difference between score = rank; and score = ref(rank),-1; – this is the bit i’m not getting. the ref(rank),-1 shifts the data one week (in this case) doesn’t it? So, is this comparing the rank this week to last week?

if score = rank; – what is amibroker comparing? Is it just taking the first x number each week (say 5 stocks) no comparing to the previous week????

December 17, 2021 at 9:19 pm #114205

Craig Fisher
Keymaster

The Weekly template is blank next to Score so it needs to be filled in as per the monthly.

PositionScore works on the bar of the actual Buy/Sell signals so Rank needs to be moved back a bar (when an exploration is done): Score = Ref(Rank,-1);
Note the -1 is inside the parenthesis.

These systems run on a daily time frame setting.

December 18, 2021 at 8:47 am #114206

DeanWalton
Member

Thanks craig. Sorry put the -1 after brackets (old bullcharts code way still adapting to amibroker).

So if you just put score = rank; what does this do in terms of testing and exploration?? I get good results with score = rank; and shocking results when I use score = ref(rank,-1);

I can’t work out why. I used score = rank; by accident as amibroker accepts it as valid code – So I ran the backtest and leaped off my chair with results. Only to check it against monthly one I did to see it was different. Hence my questions.

December 19, 2021 at 3:15 am #114208

Craig Fisher
Keymaster

The system is buying on Open, then using the rank value at the close of the same bar – a postdictive error.

December 20, 2021 at 12:39 am #114210

DeanWalton
Member

ahhh – ok now i understand. Thanks.
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