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Re: [amibroker] Re: Hedging with PositionScore?



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hi,
 
I posted some code in the amibroker-beta group few days ago. It should help with setting up re-balancing for portfolio type systems. Have a look at that code (balancingBasic_cbi.afl) because I am only now starting to understand this stuff.
 
regards, Ed
 
 
 
 
 
----- Original Message -----
From: vlanschot
Sent: Tuesday, May 08, 2007 11:35 AM
Subject: [amibroker] Re: Hedging with PositionScore?

Question for Ed (nl) who created the code below in 03/2005, or of
course anybody else who cares to jump in.

Is there any reason why I cannot seem to get, in the GetFirstSignal-
loop, the values from a VarSet which I defined previously in the
GetFirstOpenPos-loop. Your code below shows that the "cntlongopen"
variable, defined in the 1st loop, can be called later in the 2nd
loop.

For all clarity, I need to make a link between stock-specific
variables between these loops. In other words, I use VarSet
("Var1"+openpos.Symbol, var1) in order to retrieve it in the 2nd loop
via VarGet("Var1"+sig.Symbol). So far, this doesn't work.

For context, and as mentioned in some of my previous mails, I'm
trying to code a fairly simple (I thought) rebalancing strategy, this
time without the rotational trading bit. Any help appreciated.

Thx,

PS

--- In amibroker@xxxxxxxxxps.com, "ed nl" <ed2000nl@xx.> wrote:
>
> Herman,
>
> I expanded the code a little. Now you can set maxShort is well. The
nice thing about this is that you will only go full inside the margin
with mixed long and short positions and not just either long or short,
>
> rgds, Ed
>
>
>
> /*
>
> Do not allow more than "maxLong" LONG positions OR "maxShort" SHORT
positions
>
> */
>
> SetCustomBacktestProc("");
>
> maxLong = 8;
> maxShort = 9;
>
> if( Status("action") == actionPortfolio ) {
>
> bo = GetBacktesterObject();
> bo.PreProcess();
>
> for( i = 0; i < BarCount; i++ ) {
>
>
> cntLongOpen = 0;
> cntShortOpen = 0;
>
> // scan through open positions and count the number of long
positions
> for( openpos = bo.GetFirstOpenPos(); openpos; openpos =
bo.GetNextOpenPos() ) {
>
> // check for entry signal and long signal
> if( openpos.IsOpen AND openpos.IsLong ) {
>
> cntLongOpen = cntLongOpen + 1;
>
> } else if ( openpos.IsOpen AND openpos.IsLong == 0) {
>
> cntShortOpen = cntShortOpen + 1;
>
> }
>
> }
>
>
> // look at new signals and exclude Long signals if they
exceed maxLong
> for( sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal
(i) ) {
>
> // check for entry signal and long signal
> if( sig.IsEntry() AND sig.IsLong() ) {
>
> if( cntLongOpen >= maxLong ) {
>
> sig.PosSize = 0;
>
> } else {
>
> cntLongOpen = cntLongOpen + 1;
>
>
> }
>
> // check for entry signal and short signal
> } else if ( sig.IsEntry() AND sig.IsLong() == 0) {
>
> if( cntShortOpen >= maxShort ) {
>
> sig.PosSize = 0;
>
> } else {
>
> cntShortOpen = cntShortOpen + 1;
>
>
> }
>
>
> }
>
>
> }
>
> bo.ProcessTradeSignals( i );
> }
>
> bo.PostProcess();
>
> }
> ----- Original Message -----
> From: Herman van den Bergen
> To: amibroker@xxxxxxxxxps.com
> Sent: Tuesday, March 01, 2005 11:59 AM
> Subject: RE: [amibroker] Hedging with PositionScore?
>
>
> Thank you Ed, will try that!
>
> herman
> -----Original Message-----
> From: ed nl [mailto:ed2000nl@...]
> Sent: Tuesday, March 01, 2005 2:42 AM
> To: amibroker@xxxxxxxxxps.com
> Subject: Re: [amibroker] Hedging with PositionScore?
>
>
> I think I answered my own question in case you are interested.
It seems to work.
>
> rgds, Ed
>
>
> /*
>
> Number of positions: do not allow more than "maxLong" LONG
positions
>
> */
>
> SetCustomBacktestProc("");
>
> maxLong = 7;
>
> if( Status("action") == actionPortfolio ) {
>
> bo = GetBacktesterObject();
> bo.PreProcess();
>
> for( i = 0; i < BarCount; i++ ) {
>
>
> cntLongOpen = 0;
>
> // scan through open positions and count the number of
long positions
> for( openpos = bo.GetFirstOpenPos(); openpos; openpos =
bo.GetNextOpenPos() ) {
>
> // check for entry signal and long signal
> if( openpos.IsOpen AND openpos.IsLong ) {
>
> cntLongOpen = cntLongOpen + 1;
>
> }
>
> }
>
>
> // look at new signals and exclude Long signals if they
exceed maxLong
> for( sig = bo.GetFirstSignal(i); sig; sig =
bo.GetNextSignal(i) ) {
>
> // check for entry signal and long signal
> if( sig.IsEntry() AND sig.IsLong() ) {
>
> if( cntLongOpen > maxLong ) {
>
> sig.PosSize = 0;
>
> } else {
>
> cntLongOpen = cntLongOpen + 1;
>
>
> }
>
>
> }
>
> }
>
> bo.ProcessTradeSignals( i );
> }
>
> bo.PostProcess();
>
> }

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