[amibroker] non symmetrical long/short rules

["Steve Davis" <sdavis@xxxxxxxxxxxxx>]

Until recently, all 
of my systems have been always-in-the market type systems where 
closing a position coincides with entering a position in the opposite 
direction.
<SPAN 
class=507464421-10042003> 
Now I am exploring 
non-symetrical systems that could be both long and short at the same time or 
just plain neutral.
<SPAN 
class=507464421-10042003> 
This is not quite as 
simple as I expected. I assume an open position should be exited upon an entry 
signal in the opposite direction. But when should the system re-enter the 
market? Should the system wait for a fresh entry signal or should it re-enter a 
position immediately upon the conclusion of the conflicting 
signals?
<SPAN 
class=507464421-10042003> 

Any thoughts on 
this?
<SPAN 
class=507464421-10042003> 
Here is the AFL for 
the two approaches.
<FONT 
face=Arial size=2><FONT face=Arial 
size=2><FONT face=Arial 
size=2><FONT face=Arial 
size=2> 
Version 
1:
sell = sell or short;<SPAN 
class=507464421-10042003> // exit long position upon short entrycover 
= cover or buy; // exit short 
position upon long entrylong = flip(buy, sell);shrt = flip(short, 
cover);buy = buy and long;<SPAN 
class=507464421-10042003>     // wait for fresh buy 
signalshort = short and shrt; // 
wait for fresh short signal
 
V<SPAN 
class=507464421-10042003>ersion 2: long = 
flip(buy, sell);shrt = flip(short, cover);sell = sell or short; // 
exit long position upon short entrycover = cover or buy; // exit short 
position upon long entrybuy = long;  // re-enter long position if 
still activeshort = shrt; // re-enter short position if still 
active
 
<FONT face=Arial 
size=2>Cheers,
<FONT face=Arial 
size=2>-Steve






Yahoo! Groups Sponsor


  ADVERTISEMENT









Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html



Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.