[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: Rotational Trading Question



PureBytes Links

Trading Reference Links

Yes, as of beta version 5.11.0, there are new AFL calls:

http://www.amibroker.com/devlog/wp-content/uploads/2008/06/readme5111.html

Two cool tools in this release:

- The ability to have different ranking criteria for longs vs. shorts

- The ability to determine the number of long and short positions -
read the docs for more info, but here's a summary from the release notes:

MaxOpenLong - limits the number of LONG positions that can be open
simultaneously
MaxOpenShort - limits the number of SHORT positions that can be open
simultaneously

Example:
SetOption("MaxOpenPositions", 15 );
SetOption("MaxOpenLong", 11 );
SetOption("MaxOpenShort", 7 );

--- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <me@xxx> wrote:
>
> Thanks for the clues.
> 
> Using a simple PositionScore like:
> C-MA(C,21)
> 
> Amibroker automatically chooses long or short irrespsective of 
> whether 'Positions' is set to 'Long' or 'Long and Short'.
> 
> It rotationally trades depending on the absolute value of the 
> PositionScore. So it will close a long position with a current score 
> of +0.8 to sell short a position with a score of -0.9.
> 
> So far, so excellent.
> 
> Currently, 9 of my 10 stocks are below the MA so Amibroker is holding 
> all short positions.
> 
> Is there a way to insist on, say, 3 long positions (if available) and 
> 3 short positions?
> 
> 
> Steve
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> >
> > Yes, it is possible - you need to:
> > 
> > 1. Make sure, in settings, that you enable both long and short 
> trades.
> > 2. Figure out how to apply a negative score to the equities you wish
> > to short.
> > 
> > So, you might do it based on distance from the 10 week moving 
> average,
> > with those stocks that are below a 10 week moving average having
> > negative scores.
> > 
> > --- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <me@> wrote:
> > >
> > > Is it possible to combine long/short in rotational trading?
> > > 
> > > Assume a universe of just 10 stocks.
> > > 
> > > Case 1:
> > > I want to buy stocks above their 10 week MA and sell short those 
> below 
> > > their 10 week MA. This may not require rotational trading - just 
> > > buy/short?
> > > 
> > > Case 2:
> > > I want to buy the 3 stocks most above their 10 week MA and sell 
> short 
> > > the 3 stocks most below their 10 week MA.
> > > 
> > > 
> > > 
> > > Is it possible?
> > > 
> > > Steve
> > >
> >
>



------------------------------------

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

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/