Re: [amibroker] Pyramiding: position not closed after sigScaleOut resulting in zero shares

["Tomasz Janeczko \(groups\)" <groups@xxxxxxxxxxxxx>]

Hello,

That's simple: as explained in the documentation 
position is only exited when you specify "TRUE" for given element of Sell array (for longs) 
OR Cover array ( for shorts) OR ApplyStop generates an exit.

No value in Buy array will ever cause any exit. 

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "markhoff" <markhoff@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, June 24, 2007 4:00 AM
Subject: [amibroker] Pyramiding: position not closed after sigScaleOut resulting in zero shares


> 
> Hello,
> 
> I noticed one other thing when using the sigScaleOut for pyramiding
> which is not clear to me why AB behaves in this way.
> 
> If I have an open position of shares (long), and my position is
> reduced to zero shares due to a "buy = sigScaleOut", then the
> backtester does not close the position. Instead, the trade list the
> symbol ist still reported as "open long" with "shares = 0". I must
> initiate an explicit sell signal to close the position. This can be
> reproduced with the following code:
> 
> //--- cut here ---
> 
> SetOption("InitialEquity",10000);
> SetOption("MaxOpenPositions",5);
> PositionSize = 5000 ;
> 
> Sell = 0;
> 
> BarInRange = Status("barinrange");
> FirstPurchase = Cum(1 AND BarInRange) == 1;
> 
> // buy on first day and decrease position in the following days
> // until everything is sold
> Buy = IIf( FirstPurchase, True, sigScaleOut);
> 
> Filter = 1 ;
> 
> AddColumn( FirstPurchase, "FirstPurchase", 1.0);
> 
> //--- cut here ---
> 
> If above code is used in backtester, the open positions will not be
> closed after all shares have sold.  Since AB considers a first
> "Buy=sigScaleOut" as "Buy=True" to open a position automatically I
> think it would be more straight forward if the position is also
> automatically closed.
> Any idea why AB does it this way and keeps open positions?
> 
> Thanks in advance and best regards,
> Markus
> 
> 
> 
> 
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
> 
> For other support material please check also:
> http://www.amibroker.com/support.html
>  
> Yahoo! Groups Links
> 
> 
> 
> 
> 


Please note that this group is for discussion between users only.

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