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Sorry,
Missed the part about actually wanting the weekest regardless of
score. The latter part of my earlier response still applies (i.e.
reason for no short signals at all).
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> 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@>
> 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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