|
I was wondering about that also .... but don't
know the answer unfortunately. Guess you need the new backtester interface
for that.
I have a similar question: since my system
seems to work fine in practice I was planning to use some margin. Not 100% but
maybe 25 or 50%. However, being 50% on the margin with long positions
must feel pretty uncomfortable (a crash may come unexpected ...). So my idea was
to test using margin only for short positions (I do not expect a crash to the
upside). If I set PositionSize = -15 then MaxOpenPositions for Long
positions should not exceed 7 while for Short positions MaxOpenPositions
may be chosen freely until the available funds (including margin) are used
up.
I guess this can be done with the new backtester
interface as well but it seems like an idea to be hardcoded into AFL?
MaxOpenLongPositions and MaxOpenShortPositions. Or is there an other way to do
this?
regards, Ed
----- Original Message -----
Sent: Monday, February 28, 2005 11:36
PM
Subject: [amibroker] Hedging with
PositionScore?
I have a
short-term trading system that trades a fixed set of stocks (10-20) from
a Watchlist (20-40). The system generates both Long and Short signals at
the same time, i.e. i am usually Long and Short at the same time on different
stocks.
How do i use
PositionScore or PositionSize to maintain equal investment in Long and Short
positions at all times? The idea is to create some system immunity against
overall market movements.
many thanks for
any idea you may have,
herman.
Check AmiBroker
web page at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
| Yahoo! Groups Sponsor |
ADVERTISEMENT
![click here]() | |
![]() |
Yahoo! Groups Links
|