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Hi Graham! Here's my code for the simple buy/sell system I use:
PositionSize = -25; // invest 25% of portfolio equity in single trade
Buy = BarsSince( Cross( PDI( 3 ), MDI( 3 ) ) ) <= 1 AND ADX( 3 ) > 33
AND Ref( HHV( ADX( 3 ), 5 ), -1 ) < ADX( 3 );
Sell = BarsSince( Cross( MDI( 3 ), PDI( 3 ) ) ) <= 1;
AlertIf( Sell, "", "Sell DMI", -1);
AlertIf( Buy, "", "Buy DMI", -1);
PositionScore =RSI(3); // prefer stocks that have high RSI
My two issues are one the position size function not taken into
account margin. And two, sometimes I received buy/sell indicators on
the next day for the previous day. Ideally I want a system which
allows trades to be entered at the end of day or before the market
opens. For example the above code generated a sell signal on GNSS
for 4/27, but did not give me this data until this morning 4/28. I
update each morning using Yahoo historical quotes.
Thanks in advance for your help!
John
--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> It is a bit hard to comment without the formula you are using.
> But one suggestion is that you may be looking into the future (eg
ref(c,1))
> in which case the signals can become erratic as new bars are added.
>
> Cheers,
> Graham
> http://e-wire.net.au/~eb_kavan/
>
> -----Original Message-----
> From: fsmart21 [mailto:jdgeddie@x...]
> Sent: Saturday, April 24, 2004 9:50 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Beginner Questions
>
> Hello All! I've now been using AmiBroker for about 3 weeks.
>
> I've noticed a few quirks which I cannot quite get to the bottom
of.
> I have my indicator built and this works fine. I do not trade
> intraday, and download data each morning using Yahoo historical
> quotes. I then run backtester to figure out which trades to make.
>
> Sometimes after I run backtester I see new trades for the same day
> which were not previously present. I've noticed that most of these
> trades (but not all) are the result of a gap up in price on the day
> in question. For example, yesterday morning my indicator generated
a
> buy signal on VCLK as well as some others based on 4/22 EOD data.
> This morning I downloaded EOD data for 4/23 and noticed a new trade
> for MCRL which was not present yesterday morning. How would I
> eliminate this trade from my backtest results?
>
> My second question is that my formula determines the # of shares to
> buy based on 25% split of my portfolio. Since I included this in
the
> formula, it no longer will account for margin when determining the
#
> of shares to buy.
>
> Can anyone help?
>
> Thanks for your time!
>
>
>
>
>
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