Re: [amibroker] ROTATIONAL TRADING WILL NOT USE OPENING PRICE ! !, AmiBroker Email List Archive

Ok. I thought that one could change the Buyprice and Sellprice from close to open in the same afl as one can do today with other Setting such as PositionSize, Margin, trade delay, etc. I did read the reference you provided prior to creating afl and just now. I guess is goes without saying that I did not know. So, I will do a work-around as I need capability in afl. Thanks.

Tomasz Janeczko <amibroker@xxxxxx> wrote:

Hello,

You can't do this that way.

In rotational mode you must use single price (either open or close) for all symbols.

This is logical, as rotation should occur at the same time of the session

(either close or open) for all symbols.

See: www.amibroker.com/f?enablerotationaltrading

It clearly says

Important:
The rotational trading mode uses "buy price" and "buy delay" from the Settings | Trade page as trade price and delay for both entries and exits (long and short)

If you must use different prices in rotational mode - then the only option is using

custom backtest procedure.

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: Bert Steele

To: amibroker@xxxxxxxxxxxxxxx

Sent: Monday, October 10, 2005 9:49 PM

Subject: Re: [amibroker] ROTATIONAL TRADING WILL NOT USE OPENING PRICE ! !

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 > > > > > > > > >

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