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Herman,
It's not entirely clear to me what you mean by disable the stock. Do
you mean you don't want it to enter the trade or do you mean you
don't want it to exit the trade? In any case, what Gary said is
correct. In regular mode, PositionScore is used only to enter the
trade, and once the trade is entered (which also needs a Buy/Short
signal to be true), the exit is strictly controlled by Sell/Cover,
regardless of the PositionScore. I generally do something like
following if I want the trade to be entered only when my score is
positive, and then hold it (not sell/cover) if I don't want to
sell/cover if some external condition is true. The external condition
can be a check for PositionScore itself, if that's what you want.
Following is not tested, but should give you the idea...
PositionScore = <your score>
stayInTrade = <any external condition that says don't sell>
Buy = <your buy signal> AND PositionScore > 0
Sell = <your sell signal> AND NOT stayInTrade
Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
... and so on.
If that's not what you were looking for, perhaps I've misunderstood
the question.
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:
> Gary,
>
> Chucks method doesn't work in portfolio systems: you cannot turn
OFF stocks
> by gating the Buy and Short signals because the stocks thus
disabled will
> not be substituted with others. Doing this you might have days you
are not
> trading anything! You have to use the PositionScore to ensure you
keep
> trading.
>
> If you gate signals to remove stocks your results will be unnatural
because
> you are trading less stocks. Try it!
>
> herman
> -----Original Message-----
> From: Gary A. Serkhoshian [mailto:serkhoshian777@x...]
> Sent: January 21, 2004 7:56 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Disable stocks with a PositionScore
>
>
> Hi Herman,
>
> Zero PositionScore only exits positions in RotationalMode. Only
> BUY/SELL/SHORT/COVER arrays as well as stops drive when a position
is
> replaced.
>
> However, if you do what Chuck has suggested, and use some stock-
specific
> criteria to "turn-off" and Buy or Short signals, you should get
what you
> want.
>
>
> NoPosition = You criteria that makes you not want a position in
this
> stock;
> Buy = Your buy code;
> Buy= Buy and Not NoPosition;
>
> If you are wanting to re-rank while you have your max positons on
to
> roll-up to higher-ranked stocks, you can use rotational mode.
However, Fred
> and others have shown that this can also be done in Regular mode as
well.
>
> Hope this helps,
> Gary
>
>
>
>
> Herman vandenBergen <psytek@xxxx> wrote:
> Chuck,
>
> 1 ) Using a zero for PositionScore still gives me trades...in
fact
> exactly the same number of trades, but the profit drops
drastically. Is
> there another setting that has to be changed to make this work? Did
you or
> anybody else try it?
>
> 2) Disabling Buys/Short by ANDing them with a qualifier
disables the
> trades for a particluar stock but does not replace it with another
in your
> Ranking operation. So if you trade four stocks you'll be trading
three, or
> less...it messes with your portfolio trading scheme and that is not
what I
> want.
>
> both procedures are inaccurate in my code, i must be doing
something
> wrong....
>
> Thanks,
> herman
> -----Original Message-----
> From: Chuck Rademacher [mailto:chuck@x...]
> Sent: January 20, 2004 11:04 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Disable stocks with a PositionScore
>
>
> Herman,
>
> I believe that setting a PositionScore to zero will achieve
your
> objective. But can't you also control it with your "Buy"
statement?
>
> At 09:50 PM 1/20/2004 +0800, you wrote:
>
> in Rotational trading we can set the PositionScore=0; to
disable
> trades.
>
> Using the Regular Backtester is there a value that can be
assigned
> to the PositionScore that will block trades? I seem to recall TJ
posted on
> this but i can't find the answer.
>
> any help will be much appreciated!
> herman.
>
>
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