[amibroker] positionscore problem

["claudecaruana" <claudecaruana@xxxxxxxxxxx>]

hi All,

I am trying to implement a very simple intraday system using
PositionScore, which buys the strongest symbol at a particular time
and shorts the weakest. Exit is at some particular time later. 

I am using ROC to determine strength. The code below works fine when
the symbols backtested have mixed positive and negative ROC's, but if
on a particular day all ROC's are positive, the short trade is missed
and vice versa for all ROC's negative.

I think I understand why this is happening, however I cannot get
around solving it! 

Here is the code: (I am using V5.17)

FirstHourUp = IIf (TimeNum() == 103000,True,False);  
numbars=13;

SetOption("SeparateLongShortRank", True ); 
SetOption("MaxOpenPositions", 2);
SetOption("MaxOpenLong", 1 );
SetOption("MaxOpenShort",1);

PositionScore = ROC(C,NumBars)/ATR(250);

Buy=FirstHourUp AND PositionScore > 0;
Short=FirstHourUp AND PositionScore < 0;

Sell = TimeNum() == 113000;
Cover = TimeNum() == 113000;


Note: If I replace the buy/sell lines with the following:

Buy=FirstHourUp ;
Short=FirstHourUp ;

then I get no short signals at all. I am not sure why.

Any ideas on what I can do to resolve the issue?

Thanks for any feedback,
Claude



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