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Ed,
FYI, there have been "crashes" on the upside. In stocks, a corporate
announcement such as a takeover, or higher than expected earnings
have caused this to happen. In futures, an example could be a change
in interest rates (see Eurodollar in Oct 1987). Such announcements
can come during market hours as well as outside.
Sam
>
>
> ----- Original Message -----
> From: ed nl
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, March 01, 2005 7:36 AM
> Subject: Re: [amibroker] Hedging with PositionScore?
>
>
> 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 -----
> From: Herman van den Bergen
> To: AmiBroker YahooGroups
> 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.
>
>
>
>
>
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>
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>
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>
>
>
> Check AmiBroker web page at:
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>
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> Check AmiBroker web page at:
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