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Sounds like everything is working exactly as you want it (i.e. if all
ROC are positive, then your logic ...AND ROC < 0 will fail, thus no
Short). Your code is saying that you don't want a Short when ROC is
positive, so you're not getting one!
Your second attempt (i.e. removing the ROC < 0 part) is saying that
you want both a Buy *and* a Short when FirstHourUp. By default,
AmiBroker will not let you have two positions open for the same
symbol.
You would have to set the backtester mode to backtestRegularRawMulti
in your code to enable that. You would then probably want to write
custom backtester code to strip out the redundent signals that you
didn't actually want.
http://www.amibroker.com/guide/afl/afl_view.php?id=350
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "claudecaruana" <claudecaruana@xxx>
wrote:
>
> 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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