I have written quite a few afls but can’t seem to get my head around how to do the follows. Ideas and example code that you might have is appreciated. I’m hoping that I do not need custom backtester but whatever works.
• I have a position score and can write regular or rotational AFL;
• AFL starts with $10000, placing all of the available monies into Stock A and Stock B based on the position score;
• with trades allowed only twice a month, say at the open on the 1st or 15th.
Let’s say the system is holding 82% of monies in Stock A and the rest or 18% in Stock B, and on the last day of the month the position score tells us to go to 60% in Stock A and 40% in Stock B the next day at the open. The next day we need to sell some of Stock A and buy some of Stock B.
I can’t get my head around how to do this in AFL. One approach is for the AFL to somehow tell me to go from 82%/18% to 60%/40% at the open on the first market day of the month. Then, I would take it from there with a calculator or Excel to determine how many shares to sell and buy. Another approach is for the afl to tell me how many shares of Stock A to sell and how many of Stock B to buy to get me to 60/40. This would be best for me but can handle either.