Rotational Backtesting Code

[AndrewBennett]

Is anyone aware of any code that might enable an early exit in a monthly rotational system?
(I know that it would be over riding the concept of a monthy system – however I would be interested in seeing if locking in a profit before month end in a situation such as the RSI goes into significaltly overbought levels prior to month end.)

[SaidBitar]

it is not rotational any more
you need to do it the regular way but i believe you do not need to loop all the days you just put the criteria for the SELL and it will sell when they are met regardless and if you want to keep the rotational attitude in it then i beleive the SELL conditions should look like this
Sell_Conditions = RSI(duration)< Threshold OR Day()

[RobGiles]

Re Rotational system backtesting code, I’m testing a system on the ASX 100. Should I be using $XAO or $XTO as my ‘Pad & Align’ in the Backtester Settings? FWIW I’ve done both and both show using an Index filter > 500 days to be optimal, which I found interesting.

[ScottMcNab]

I have always just used the index code for the market I am trading ($xto.au in this case). I have found the index filter to both have a marked impact on trading results and to be more susceptible to curve fitting than other components of the rotational system

[SaidBitar]

I believe for pad and align it does not matter which index you will choose because the purpose is to align the stock dates with that of the index

[#REF!McGrath]

Does anyone have any code for rotating on the 15th of the month (or next trading day) rather than the end of the month?

[ScottMcNab]

as a start…

EOM = Month() != Ref(Month(),-1);
TradeDay = BarsSince(EOM)==15;
PositionScore = IIf(Year()>=1990 AND TradeDay,score,scoreNoRotate);

doesn’t account for public holiday ?

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