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Hi
Sam,
Yes
you could do it that way. Not that it is any better, but i
normally early in my code define:
Buy =
Long Entry Rule...
Short = ShortEntry rule...
Sell =
Short;
Cover = Buy;
At
this stage the system is 100% reversal and trades alternate from Long to Short,
same as you require. Later down the code however I can modify the exits, for
example with ApplyStop(), this would add an extra exit signal when a stop
occurs. However the entry signals are untouched so the system is still a
reversal system however now there is a cash position between the stop exit and
the next entry. At this point I use Equity(1) which removes all redundant
signals, cleans it up nicely. No exRem() is needed in this
procedure.
Now,
if I wanted to reverse on Stops I could add
Short
= Sell;
Buy =
Cover;
after
the ApplyStop(). This would then add an extra entry signal which again could be
cleaned up with Equity(1). Note that Equity(1) is only needed if you need clean
signals (say for plotShapes) because the backtester will remove redundant
signals anyway.
As
always there are a million ways to write code and one way is not necessarily
better than the other.
take
care,
herman.
Herman,
I think I understand re:
position. Essentially this returns a value
of 1 or 0 which may be of use
if you need the system to know if you
are long or short.
The reason
why I have been using:
Buy = ExRem( Buy, Short);
Sell = ExRem( Sell,
Buy );
Short=ExRem(Short,Buy);
Cover=ExRem(Cover,Short);
is
because I do not want to take a long position unless my last
trade was a
short position and vice versa (the first trade can be
either short or
long). If I implement your way, the backtester may
go long, stop me out
and then go long again and stop me out and so
on before it comes to a
short signal. I only want to go long once,
sell at my stop and then
monitor for a short signal.
Hope this makes some sense (hope that i am
using exrem correctly as
well!)
Best
regards
Sam
--- In amibroker@xxxxxxxxxxxxxxx,
"Herman van den Bergen"
<psytek@xxxx> wrote:
> [Sam] I didn't
understand...these don't appear to do anything
since they are
> not
predefined variables:
>
> > Position =
exRem(Buy,Short);
>
> You were using Buy and Short in you initial
code so they were
> defined...Position here is simply a custom variable
that assumes
the value
> of 1 when you are Long and 0 when you are
Short - useful for a
variety of
> purposes; for example plotting a
Position Ribbon:
> Position = exRem(Buy,Short);
>
Plot(1,"Position",iif
(Position,colorGreen,colorRed),styleArea|styleownscale,
>
0,30);
>
> > LongPosition = exRem(Buy,Sell);
> >
ShortPosition = exRem(Short,Cover);
>
> The above can be used
similarly for non-reversal systems or when
you use
> stops.
>
> [Sam] However, I essentially want to alternate between going long
and
> going short.
>
> Not sure how you generate your
signals... the way you toggle your
positions
> is new to me... my
systems always define all four signals
logically and
> rigidly. I do
this also so that if I add stops the system will
continue to
>
behave as expected. I am not sure if exRem is intended to "add"
anything in
> the area of signal generation...but perhaps i
misunderstand what
you are
> doing.
>
> best
regards,
> herman
>
>
>
>
>
>
>
>
>
> -----Original
Message-----
> From: qweds_560
[mailto:qweds_560@xxxx]
> Sent: Tuesday, January 18, 2005
2:41 PM
> To: amibroker@xxxxxxxxxxxxxxx
>
Subject: [amibroker] Re: ExRem
>
>
>
>
Many thanks Herman,
>
> However, I essentially want
to alternate between going long and
> going short.
>
> > Buy = exRem(Buy,Sell);
> > Sell
= exRem(Sell,Buy);
> > Short =
exRem(Short,Cover);
> > Cover =
exRem(Cover,Short);
>
> the above means that I have
more than 1 short or more than 1 long
> position in a
sequence.
>
> Using:
>
> Buy
= ExRem( Buy, Short);
> Sell = ExRem( Sell, Buy );
>
> Short=ExRem(Short,Buy);
>
Cover=ExRem(Cover,Short);
>
> seems to alternate
between long and short positions.
>
> I didn't
understand:
>
> > Position =
exRem(Buy,Short);
>
> > LongPosition =
exRem(Buy,Sell);
> > ShortPosition =
exRem(Short,Cover);
>
> these don't appear to do
anything since they are not predefined
> variables.
>
> Could you explain?
>
>
Thanks
>
> Sam
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx,
"Herman van den Bergen"
> <psytek@xxxx>
wrote:
> > Assuming you are trading a reversal system,
perhaps a more
logical
> way would
>
> be:
> >
> > Buy =
exRem(Buy,Sell);
> > Sell =
exRem(Sell,Buy);
> > Short = Sell;
>
> Cover = Buy;
> >
> > In some
case you can use
> >
> > Position =
exRem(Buy,Short);
> >
> > but this
assumes that you are not using any other exits
(stops),
> if your
> > system
include other exits you might want to use this after the
>
stops have
> > been processed:
>
>
> > Buy = exRem(Buy,Sell);
> >
Sell = exRem(Sell,Buy);
> > Short =
exRem(Short,Cover);
> > Cover =
exRem(Cover,Short);
> >
> > of
course you can simply use
> >
> >
Equity(1);
> > LongPosition =
exRem(Buy,Sell);
> > ShortPosition =
exRem(Short,Cover);
> >
> > best
regards,
> > herman
> >
-----Original Message-----
> > From:
qweds_560 [mailto:qweds_560@xxxx]
> > Sent:
Tuesday, January 18, 2005 7:10 AM
> > To:
amibroker@xxxxxxxxxxxxxxx
> > Subject:
[amibroker] ExRem
> >
>
>
> >
> >
Hello,
> >
> > I am a
little bit confused by the Exrem function. I have the
>
> following:
> >
>
> Buy = ExRem(Buy, Short);
>
>
> >
Short=ExRem(Short,Buy);
> >
>
>
> > In English, this means to me that
the backtester
> >
> >
i) will go long on a buy signal and then will not buy again
till
> it
> > has gone
short
> >
> > ii) will
short on a short signal and then not go short again
> till
it
> > has gone long
>
>
> > Is this correct? Do I need to define
something for SELL and
for
> >
COVER?
> >
> >
Thanks
> >
> >
Sam
> >
> >
>
>
> >
> >
>
>
> >
> > Check
AmiBroker web page at:
> > http://www.amibroker.com/
>
>
> > Check group FAQ
at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
> >
> >
>
>
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>
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>
>
>
>
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