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Hi Mike,
thanks a lot for your help! I'll check with a testcase if get my idea
working with this approach.
Regarding the positionsize issue: The positionsize of the 2nd symbol
(e.g. SPY) should become for each bar the sum of all positionsizes of
the same bar of the symbols in the watchlist, so the basic concept is
that the SPY has always the same amount of money in a position as all
other symbols together.
Best regards,
Markus
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Hi,
>
> You've got the concept reversed. I am reasonably confident that your
> system can be done using AmiBroker. But, you need to clarify something;
>
> Do you plan to evaluate multiple symbols in a watchlist and have them
> all generate the Buy in the 2nd symbol (i.e. the index)? If so, what
> do you want to happen if multiple symbols generate a buy for a given
> bar? Which positionsize value would you want to use (the first, the
> last, something else)?
>
> If you want to take signals based on more than one other symbol (e.g.
> a watchlist), you can iterate through the symbols of the watchlist and
> pass the name of each to the SetForeign call. But, you would then have
> to resolve collisions on position sizing.
>
> If you just want to use a single other symbol as the trigger, you can
> get rid of the loop and just pass the symbol name directly to
SetForeign.
>
> Script for symbols in watchlist
> -------------------------------
> Buy = ...
> Sell = ...
> PositionSize = ...
>
>
> script for second symbol only (e.g. SPY)
> ----------------------------------------
> listnum = ... // number of your watchlist
> list = CategoryGetSymbols(categoryWatchlist, listnum);
>
> for(i = 0; (sym = StrExtract(list, i)) != ""; i++) {
> SetForeign(sym);
> foreignBuy = ... // Exactly as Buy in above script
> foreignSell = ... // Exactly as Sell in above script
> foreignPositionSize = ... // Exactly as PositionSize in above script
> RestorePriceArrays();
>
> Buy = Buy OR foreignBuy;
> Sell = Sell OR foreignSell;
> PositionSize = ??? // You need to decide how to handle this
> }
>
> When using SetForeign, all values for Open/High/Low/Close will come
> from the foreign symbol, and all functions will be applied against
> those values. If you didn't want to repeat the identical code, you
> could wrap it in a function in the first script, then use the include
> statement to include it in the second script.
>
> Hope that helps.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "markhoff" <markhoff@> wrote:
> >
> >
> > I would like to mention one point which might be essential to find a
> > solution: The 2nd symbol is always the same independent on the 1st
> > symbol, means for all signals on the symbols within a list the
> > contrary signals should be created on a single 2nd symbol, e.g. an
> > index tracker like SPY.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "markhoff" <markhoff@> wrote:
> > >
> > > Hi folks,
> > >
> > > I'm struggeling with one idea which I would like to implement in
AFL,
> > > but I have no clue if it is possible.
> > > The basic concept is to generate a buy/sell signal on two symbols at
> > > the same time, based on the trigger from the actual (1st) symbol
which
> > > is evaluated by AA backtester (e.g. when processing a watchlist).
> > > Stepwise Example:
> > >
> > > --- cut ---
> > >
> > > buy = <my formula to create the buy signal for the current symbol>
> > > sell = <my formula to create the sell signal for the current symbol>
> > >
> > > positionsize = <my formula to calculate possize of the current
symbol>
> > >
> > > // now my problem (algorithm description)
> > >
> > > if(buy == true)
> > > {
> > > sell_2nd_symbol = true;
> > > positionsize_2nd_symbol = positionsize;
> > > }
> > > if(sell == true)
> > > {
> > > buy_2nd_symbol = true;
> > > positionsize_2ns_symbol = positionsize;
> > > }
> > >
> > > --- cut ---
> > >
> > > So I have to transfer both buy/sell signal and positionsize for each
> > > trade of the 1st (actual) symbol to a 2nd symbol to create the
> > > appropriate signals also here, and the trade for both symbols should
> > > be done on the same DAY (no bar number, which might be different if
> > > the size of my array for 1st symbol is different from 2nd symbol).
> > >
> > > I could not find any way to do it with the custom backtester,
now I'm
> > > not sure if I missed the right way or if I ran into a limitation
> of AB.
> > >
> > > Does anybody have a hint how to solve above problem?
> > >
> > > Thanks in advance and best regards,
> > > Markus
> > >
> >
>
------------------------------------
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