Optimize rank selected in rotational strategy

[Rogerscott]

I am attempting to test which rank actually performs best in my monthly rotational strategy. The position score will default to the highest score or "best rank" so to speak. I can optimize worst rank held but that does not accomplish the goal. I want to compare the rank selections individually .

My goal is to run an optimization showing the performance of the system in a 5 year period where it tests each rank separately. So the fist line would show the back test selecting rank 1 every month, the second line would show the system selecting rank 2 every month all the way down to 504 since I am testing on the S&P.

Here is the code for the optimization of worst rank held which does work but it is not what I am trying to accomplish.

SetBacktestMode( backtestRotational );

SetOption("initialequity",100000);

SetOption("MaxOpenPositions",1);

SetOption("WorstRankHeld",1);

SetPositionSize( 99.5, spsPercentOfEquity );

Score= (ROC(Close, 1) +ROC(Close, 3) +ROC(Close,6))/3  ;

PositionScore = Score;

variable = Optimize("WorstRankHeld",1 , 1, 504, 1 );
SetOption("WorstRankHeld", variable ); // YOU HAVE TO USE the variable!Z

[Henri]

I wanted to point you to:

Optimizing rank position taken in monthly rotation strategy.

Hello, I am trying to optimize a monthly rotation strategy. I use a scan that that uses 1,3, and 6 month percent change to rank stocks on S&P 500. I then buy and hold the top stock for 1 month. However, I have a feeling that the number one position is not actually the best performer so I would like amibroker to run an optimization testing all 500 positions. I want the test to run a rotation every month and test the same number spot over a few year time period. I have attempted to code the optimi…

But then found you actualy started that thread yourself...

Why not ask your question there and start a new one ?

Most people don't appreciate it if new threads are made for every new question

I actualy thought your answer was allready there... but apperantly you missed it... I unfortunatly do not know.

[Rogerscott]

I tried to post to that thread but it would not let me.

[Henri]

That is strange... lets hope someone will help you here then. I unfortunatly am not able to, my knowledge of AFL is not good enough.