|
PureBytes Links
Trading Reference Links
|
Please look at code again. I am using Close price in one situation and Open price in second situation. That is, it is suppose to use Close price when it rotates to ^rut and it is suppose to use Open price when it rotates to ^ndx.
Tomasz Janeczko <amibroker@xxxxxx> wrote:
Hello,
You have this:
BuyPrice = SellPrice = ShortPrice = CoverPrice = Close;
in your formula. Either remove it and set trading prices from the settings screen or
use:
BuyPrice = SellPrice = ShortPrice = CoverPrice = OPEN;
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "bistrader" <bistrader@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, October 10, 2005 6:08 PM
Subject: [amibroker] ROTATIONAL TRADING WILL NOT USE OPENING PRICE ! !
> 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
>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support
from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
>
>
Yahoo! Music Unlimited - Access over 1 million songs. Try it free.
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
YAHOO! GROUPS LINKS
|