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Hi,
Actually the code I supplied on my original message already does
this.. Works ok if the positionscores for each iteration contain both
positive and negative values. If they are all positive or all negative
the code below would fail.
BR
C
--- In amibroker@xxxxxxxxxxxxxxx, "Joe" <j0etr4der@xxx> wrote:
>
> Hi,
>
> This bit me, too. From the AFL Reference Manual, section on Using
> Position Score, "...AmiBroker will use the absolute value of
> PositionScore variable to decide which trades are preferred."
>
> Try this (untested):
>
> PS = ROC(C,NumBars)/ATR(250);
> PositionScore = PS;
> .
> .
> .
> Buy=FirstHourUp AND PS > 0;
> Short=FirstHourUp AND PS < 0;
>
>
> Good luck,
>
> Joe
>
>
>
> --- 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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