[amibroker] Re: Simple system - can't figure out how to code it

["Mike" <sfclimbers@xxxxxxxxx>]

Hi,

I believe that the following will mostly do what you are after. 
Though it will take a total of N positions, which may end up being 
all Long, all Short, or any combination in between, based entirely on 
the magnitude of the previous bar's gains/losses. All positions are 
held for a single trading day, enter at Open, exit at Close.

Off the top of my head I don't know how to restrict Long separate 
from Short for a total of 1/2N Long + 1/2N Short = N max positions 
other than writing custom backtest code (which I don't have time to 
try out right now, sorry, gotta run).

Mike

MaxPositions = 10;

SetTradeDelays(0, 0, 0, 0);
SetOption("AllowSameBarExit", true);
SetOption("MaxOpenPositions", MaxPositions);

PositionSize = -100/MaxPositions;
BuyPrice = ShortPrice = Open;
SellPrice = CoverPrice = Close;

Gain = Close - Open;
PositionScore = Ref(Gain, -1);
Buy = Sell = PositionScore <= 0;
Short = Cover = PositionScore > 0;

--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> Hey,
> 
> I'm trying to do a simple system, and I'm not sure how to 
accomplish it.
> 
> - Look at the returns for the prior day
> - Buy the top N stocks that had the lowest returns for the prior day
> - Sell (short) the top N stock that had the highest returns for the
> prior day
> - Buy (Sell/Short) the open, Sell (Buy/Cover) the close
> 
> I've tried to set this up with the rotational strategy and can't get
> it work - it holds positions more than one day.
> 
> Any help greatly appreciated!
>



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