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Cannot get Rotational Trading to use Opening price rather than
Closing price.
I need a little help with the following afl code.
I want AB to Buy ^NDX with a delay = 1 but NOT at the next day's
closing price
or at today's closing price. Rather, I want AB to buy at the next
day's opening
price. Per AB's help, the following should work. However, AB does not
buy at the
next day's opening price. It buys at the next day's closing price.
To run a backtest, place ^RUT and ^NDX in a watchlist and run a
backtest on the
watchlist. Again, the afl buys ^RUT at a delay = 0 close and this
works just
fine. The afl is suppose to buy ^NDX at a delay = 1 open. It
certainly buys via
a delay = 1, but at the close and not the open as desired.
// Example_RotationalTrading_01.afl
// Example Rotational Trading afl used to see if can get help
// on why afl will not buy ^NDX at tomorrow's opening price
// -------------------------------------------------------------------
---------
// Set Rotational Trading and all trading options
// -------------------------------------------------------------------
---------
EnableRotationalTrading();
SetFormulaName("Example_RotationalTrading_01");
BuyPrice = SellPrice = ShortPrice = CoverPrice = Close;
SetTradeDelays(1, 1, 1, 1);
SetOption( "InitialEquity", 1000 );
SetOption( "AllowSameBarExit", True );
SetOption( "ActivateStopsImmediately", False );
SetOption( "AllowPositionShrinking", True );
SetOption( "FuturesMode", False );
SetOption( "InterestRate", 0 );
SetOption( "MaxOpenPositions", 1 );
SetOption( "WorstRankHeld", 1 );
SetOption( "MinShares", .0001 );
SetOption( "PriceBoundChecking", True );
SetOption( "CommissionMode", 2 );
SetOption( "CommissionAmount", 0 );
SetOption( "MarginRequirement", 100 );
SetOption( "ReverseSignalForcesExit", True );
SetOption( "UsePrevBarEquityForPosSizing", False );
RoundLotSize = 0;
// -------------------------------------------------------------------
---------
// Set RUT_Buy / Sell and NDX_Buy / Sell Logic so do not overlap
// -------------------------------------------------------------------
---------
LongBarsHold = 2;
NDX_Buy = Month() != Ref(Month(), 1);
NDX_Sell = Ref(NDX_Buy, -LongBarsHold);
RUT_Buy = Month() != Ref(Month(), 1);
RUT_Buy = Ref(NDX_Buy, -8);
RUT_Sell = Ref(RUT_Buy, -LongBarsHold);
// -------------------------------------------------------------------
---------
// The watchlist is assumed to contain 2 tickers -
// -------------------------------------------------------------------
---------
// ^RUT -- R2K from Yahoo
// ^NDX -- NDX100 from Yahoo
// -------------------------------------------------------------------
---------
// Rotational Trading
// -------------------------------------------------------------------
---------
if ( Name() == "^RUT" )
{
PositionSize = -200;
PositionScore = RUT_Buy;
SetTradeDelays( 0, 0, 0, 0 );
BuyPrice = SellPrice = ShortPrice = CoverPrice = Close;// Buy today
at close
}
if ( Name() == "^NDX" )
{
PositionSize = -100;
PositionScore = NDX_Buy;
SetTradeDelays( 1, 1, 1, 1 );
BuyPrice = SellPrice = ShortPrice = CoverPrice = Open;// Buy next day
at open, BUT DOES NOT WORK?????
}
// -------------------------------------------------------------------
---------
// Exploration
// -------------------------------------------------------------------
---------
Filter = 1;
AddColumn(RUT_Buy, "RUT_Buy", 1.0, colorDefault, IIf(RUT_Buy,
colorBrightGreen, colorDefault));
AddColumn(RUT_Sell,"RUT_Sell", 1.0, colorDefault, IIf(RUT_Sell,
colorRed, colorDefault));
AddColumn(NDX_Buy, "NDX_Buy", 1.0, colorDefault, IIf(NDX_Buy,
colorBrightGreen, colorDefault));
AddColumn(NDX_Sell,"NDX_Sell", 1.0, colorDefault, IIf(NDX_Sell,
colorRed, colorDefault));
AddColumn(RSI(14),"RSI(14)", 5.0);
AddColumn(PositionScore,"PositionScore", 5.0);
AddColumn(PositionSize,"PositionSize", 5.0);
AddColumn(BuyPrice,"BuyPrice", 1.2);
AddColumn(SellPrice,"SellPrice", 1.2);
AddColumn(Open,"Open", 1.2);
AddColumn(Close,"Close", 1.2);
The end
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