Re-balancing code sample

AFL Programming
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This code shows how to rebalance open positions using low level CBT:

It uses getpositionvalue() which is calculated with closing prices to determine the number of shares to scale at the open. Therefore it has a future leak.

c37

Instead of using getPositionValue() you should use yesterday's close multiplied by the number of shares; or even today's open:

price = pos.GetPrice( bar, "O" );
posval = pos.Shares*price;

To calculate position value at open, once you know the open.

I attach the TRACE in case you want to check

/*
Here is an example that shows how to code rotational trading system with rebalancing. 
The system buys top 3 securities according to absolute value of positionscore 
(user definable – in this example we used 20 day rate-of-change) 
– each at 5% of equity then each day it rebalances existing positions to 5% 
if only the difference between current position value and “ideal” value is greater 
than 0.5% and bigger than one share.
*/

EnableRotationalTrading(); 

dt = DateTime();

EachPosPercent = 5; 

PositionScore = 1000 + ROC( C, 20 ); 

PositionSize = -EachPosPercent; 

SetOption("WorstRankHeld", 40 );
SetOption("MaxOpenPositions", 3 ); 

SetOption("UseCustomBacktestProc", True ); 

if( Status("action") == actionPortfolio )
{
  bo = GetBacktesterObject();

  bo.PreProcess(); // Initialize backtester

  for(bar=0; bar < BarCount; bar++)
  {
   bo.ProcessTradeSignals( bar );
  
   CurEquity = bo.Equity;
   _TRACE("Date: " + DateTimeToStr(dt[bar], 1) 
			+ "; CurEquity = " + NumToStr(CurEquity,1.2) );  
  
   for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() )
   {
    posval = pos.GetPositionValue();
    _TRACE( pos.Symbol + "; Pos value = "+ NumToStr(posval,1.2)  
			+ "; Shares = " + NumToStr(pos.Shares,1.0)
			+ "; Open = " + NumToStr(pos.GetPrice( bar, "O"),1.2)
			+ "; Close = " + NumToStr(pos.GetPrice( bar, "C"),1.2)
			);    
    diff = posval - 0.01 * EachPosPercent * CurEquity;
    price = pos.GetPrice( bar, "O" );
   
    // rebalance only if difference between desired and
    // current position value is greater than 0.5% of equity
    // and greater than price of single share
    if( diff != 0 AND
        abs( diff ) > 0.005 * CurEquity AND
        abs( diff ) > price )
    {
     bo.ScaleTrade( bar, pos.Symbol, diff < 0, price, abs( diff ) );
     _TRACE( "*** Escalado "+ pos.Symbol + NumToStr(pos.shares,1) + " Shares");  
    }
   }
   _TRACE("......................................");
  }
  bo.PostProcess(); // Finalize backtester
  }

Thank you

2

Actually there is no future leak if you knew when and how and for what purpose it was written. The code was written back in 2006 for FastTrack conference and FastTrack people are trading mutual funds that have only ONE price per day (so OHLC are all equal).
I changed it now to "C" to prevent confusion among people who don't know the background.
Still the code is intended as an example only because without knowing the settings (whenever you trade on open or close) your change may be correct or wrong.

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