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Re: [amibroker] Different sell signals with position sizing and margin changing for each signal



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Thank you Dennis for this message.  I do feel frustrated because I have the feeling that what I am looking for must be so easy for someone who understand AFL correctly.  But maybe I found something that's not that easy and I will have to work harder or ask Tomasz if next AB version could add a feature making it easier to adjust positionsizing or margin for each trade. 

You are right...  If I get not a lot of replies, it must be because it is complicated.. but maybe its worth the trouble, who knows.

Thank you again,

Louis



2008/5/16 Dennis Brown <see3d@xxxxxxxxxxx>:

Louis,


I often ask hard questions that receive no answer (and feel frustrated also).  I am sure if someone could answer easily, they would.  Sometimes it takes a while for the right person to see the post.  I often have to find my own way in these cases.  But take heart, the road less travelled is the more profitable trip.  If nobody can help, you must either ask AB support, request AB improvements, pay someone to develop it for you, or learn some way to do it on your own.  If you have to spend 6 months doing it on your own, will you be willing to share it freely with everyone here by writing a UKB article?

We are blessed to have such generous people on this board.

Best regards,
Dennis


On May 16, 2008, at 2:22 PM, Louis Préfontaine wrote:

I can hardly believe I am the only one who wants to set different positionsizing with each trade, and different exits, and be able to buy a % on the first signal and the remaining on a second signal (if there is one).  Or maybe I am so wrong with this strategy...

Louis

2008/5/15 Louis Préfontaine <rockprog80@xxxxxxxxx>:
Or maybe someone else can help me with this?

Louis

2008/5/15 Louis Préfontaine <rockprog80@xxxxxxxxx>:

Hi Graham,

Thank you very much for your reply.

I understand that the margin part may be complicated.  But is it possible then to adjust the % of equity for each trade if adjusting margin is not possible?  (Maybe in future AB version it could be interesting to be able to adjust margin to each trade, because been able to have a 33 margin, for example, doesn't mean one wants to use full margin each time...).

But what about how to buy 50% of equity on first signal and to be able to act on the second one?  I think it should be possible...  I don't understand why acting on the first signal makes it impossible to act on the second.  I tried using the sigscalein command but it wasn't a success...  Do you have something to recommand me on this?  I read the manual and searched and experimented but it wasn't successful...

Thank you 

Louis

2008/5/14 Graham <kavemanperth@xxxxxxxxx>:

Hi Louis
I will admit I have not thought too much on how you can do this as I
do not have the time to put aside. I would consider your best method
would be via advanced backtest code to alter the requirements of entry
and exit

-- 
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com

2008/5/15 Louis P. <rockprog80@xxxxxxxxx>:


> Hmmm... Maybe I'm too boring or... well, nobody seems to be able or
> want to help me with this.
>
> Maybe I ask too many question and don't help others enough?
>
> At least that'll be something to think about.
>
> Louis
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
> <rockprog80@xxx> wrote:
>>
>> Hi again (sorry for all the messages),
>>
>> I tried to use sigscalein but it isn't a big success yet. With
> the code
>> below, the system buys 50% on the first signal (which is ok), but
> ignores
>> the next one. I'd like to be able to buy 50% on March 3 (with a
> rule
>> planning to sell three days later) and buy another 50% on March 4
> (with
>> another exit rule) but even after looking in the manual and trying
>> everything I could I didn't find how to do it.
>>
>> Same problem with trying to change the margin for each trade. I
> know how to
>> set the margin for the overall system, but I'd like to change how
> much
>> margin and equity I use with each trade.
>>
>> Anyone would be kind enough to help me with that? Thank you very
> much.
>> Please note that I first asked about this on May 6 (#123500) so I
> did a lot
>> of work by myself; but now I just don't know how to go futher.
>>
>> Thank you very much,
>>
>> Louis
>>
>> SetPositionSize( 50, spsPercentOfEquity );
>> SetOption("MaxOpenPositions", 2 );
>>
>> Buy1 = ( rule1 );
>> //Buy1 = ExRem ( Buy1, 3 );
>> //Sell1 = Ref ( Buy1, -3 );
>> Sell1 = BarsSince(Buy1) == 3;
>> InTrade1 = Flip( Buy1, Sell1 );
>> DoScaleIn1 = ExRem( InTrade1, Sell1 );
>>
>> Buy2 = rule2 ;
>> //Buy2 = ExRem( Buy2, 5 );
>> //Sell2 = Ref ( Buy2, -5 );
>> Sell2 = BarsSince(Buy2) == 5;
>> InTrade2 = Flip( Buy2, Sell2 );
>> DoScaleIn2 = ExRem( InTrade2, Sell2 );
>>
>> Buy3 = rule3 ;
>> //Buy3 = ExRem ( Buy3, 2 );
>> //Sell3 = Ref ( Buy3, -2 );
>> Sell3 = BarsSince(Buy3) == 2;
>> InTrade3 = Flip( Buy3, Sell3 );
>> DoScaleIn3 = ExRem( InTrade3, Sell3 );
>>
>> Buy4 = rule4 ;
>> //Buy4 = ExRem ( Buy4, 1 );
>> //Sell4 = Ref ( Buy4, -1 );
>> Sell4 = BarsSince(Buy4) == 1;
>> InTrade4 = Flip( Buy4, Sell4 );
>> DoScaleIn4 = ExRem( InTrade4, Sell4 );
>>
>> Buy = (Buy1 + sigScaleIn*doscalein1) OR (Buy2 +
> sigScaleIn*doscalein2) OR
>> (Buy3 + sigScaleIn*doscalein3) OR (Buy4 + sigScaleIn*doscalein4);
>> Sell = Sell1 OR Sell2 OR Sell3 OR Sell4;
>>
>> 2008/5/13 Louis Préfontaine <rockprog80@xxx>:
>>
>> > Hi there,
>> >
>> > Here is what I managed to achieve:
>> >
>> > SetPositionSize( 50, spsPercentOfEquity );
>> > SetOption("MaxOpenPositions", 2 );
>> >
>> > Buy1 = rule1;
>> > Sell1 = BarsSince(Buy1) == 3;
>> >
>> >
>> > Buy2 = rule2 ;
>> > Sell2 = BarsSince(Buy2) == 5;
>> >
>> > Buy3 = rule3 ;
>> > Sell3 = BarsSince(Buy3) == 2;
>> >
>> > Buy4 = rule4;
>> > Sell4 = BarsSince(Buy4) == 1;
>> >
>> > Buy = Buy1 OR Buy2 OR Buy3 OR Buy4 ;
>> > Sell = Sell1 OR Sell2 OR Sell3 OR Sell4;
>> >
>> >
>> > Two problems remain:
>> >
>> > 1) I'd like to establish a margin of 100 for rule 1 and 2, a
> margin of 50
>> > for rule 3 and a margin of 33 for rule 4. Don't know how to do
> it;
>> > 2) Some of my signals cross each other; I want each signal to
> buy 50% of
>> > the equity leaving the other 50% "ready" for another signal
> while the first
>> > signal is still open... Right now with that code I only get the
> first
>> > signal and the second one is ignored. E.g. If Buy2 enters a
> position on
>> > May 5 and there is a signal on May 6, May 6 signal will get
> ignored. What I
>> > want is 50% on May 5 and if a signal comes on May 6 I want
> another 50%. Is
>> > this possible?
>> >
>> > Thanks again,
>> >
>> > Louis
>> >
>> >
>> >
>> >
>> >
>> >
>> > 2008/5/13 Louis Préfontaine <rockprog80@xxx>:
>> >
>> > Hi again,
>> >>
>> >> Ok here is what I am trying to do. I'll try to add as much
> details as I
>> >> can.
>> >>
>> >> There is three different conditions on which I want to react
> differently.
>> >>
>> >> Condition 1) I buy the stock with full margin and full power
> and exits
>> >> after 10 days;
>> >> Condition 2) I buy the stock with no margin and exits after 10
> days;
>> >> Condition 3) I buy the stock with no margin and with less than
> 50% of my
>> >> equity and exits after 5 days.
>> >>
>> >> I am looking for a code to do this. It does not look that
> complicated,
>> >> but I don't know how to do it.
>> >>
>> >> If someone has any idea...
>> >>
>> >> Thanks,
>> >>
>> >> Louis
>> >>
>> >>
>> >>
>> >> 2008/5/13 louisprefontaine <rockprog80@xxx>:
>> >>
>> >> Anyone?
>> >>>
>> >>> Thanks,
>> >>>
>> >>> Louis
>> >>>
>> >>> --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
> 40yahoogroups.com>, "Louis
>> >>> Préfontaine" <rockprog80@>
>> >>> wrote:
>> >>>
>> >>> >
>> >>> > Hi,
>> >>> >
>> >>> > I am looking for a way to set different sell signals
> depending on
>> >>> particular
>> >>> > buy signals. E.G. For cond1 I want a particular sell, and
> for cond2
>> >>> > another particular sell.
>> >>> >
>> >>> > Also, I'd like to set a different equity management for each
> condition.
>> >>> > E.g. For cond1 I want to use 50 margin, for cond2 33 margin
> and for
>> >>> cond 3
>> >>> > 100 margin, etc.
>> >>> >
>> >>> > Anyone can help me with that?
>> >>> >
>> >>> > Thanks,
>> >>> >
>> >>> > Louis
>> >>> >
>> >>>
>> >>>
>> >>>
>> >>
>> >>
>> >
>>
>
>
>
> ------------------------------------

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>
>
>
>





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