Building Rotational Systems in AmiBroker by Matt Radtke

By Matt Radtke | May 10, 2019

This course will explore various methods for creating Rotational Systems in AmiBroker. It includes approximately two hours of online instruction as well as AFL code templates that you can easily modify for your own needs and Excel files containing AmiBroker test results for the sample strategy presented in the course.

Prerequisites

  • View the free presentation Introduction to Scoring, Ranking, and Rotational Strategies
  • Install AmiBroker version 6.x (Version 6.2 or later is preferred) including a data source.
  • Intermediate or better experience with AFL, including the ability to create and execute back tests and optimizations with AmiBroker’s standard back test engine.
  • Basic familiarity with how a Custom Backtest works. If you have not used a CBT before, then the CBT Intensive course is highly recommended

 

Course Outline

Module 1: Introduction to Rotational Strategies

  1. What are rotational strategies?
  2. Sample Strategy Rules
  3. A Simple “Rotation Like” approach

Module 2: AmiBroker Support for Rotational Strategies

  1. AmiBroker’s Rotational Mode
  2. Converting the Sample Strategy to use backtestRotational mode
  3. Comparison of Results
  4. Advantages and Disadvantages

Module 3: Recreating Rotational Mode with a CBT

  1. Controlling the rotation process
  2. Converting from Mid to Low Level CBT
  3. Comparison of Results

Module 4: More CBT Functionality

  1. Rebalancing
  2. Separate Worst Rank Held for Long and Short
  3. Comparison of Results
  4. Summary

Module 5: Office Hours (Q&A)

  1. Office Hours Session (Course Attendee Q&A)

 

 

Module 1 Introduction to Rotational Strategies
Unit 1 Rotation Strategy Definition & Sample Strategy Rules  
Unit 2 A Simple “Rotation Like” Approach  
Unit 3 Supplemental Materials  
Module 2 AmiBroker Support for Rotational Strategies
Unit 1 AmiBroker’s Rotational Mode  
Unit 2 Converting the Sample Strategy to Use backtestRotational Mode  
Unit 3 Comparison of Results, Pros & Cons  
Unit 4 Supplemental Materials  
Module 3 Recreating Rotational Mode with a CBT
Unit 1 Controlling the Rotation Process & Converting the CBT  
Unit 2 Supplemental Materials  
Module 4 More CBT Functionality
Unit 1 Rebalancing & Worst Rank Held  
Unit 2 Comparison of Results, Summary  
Unit 3 Supplemental Materials  
Module 5 Office Hours - Course Questions and Answers
Unit 1 Office Hours Session - Q & A