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One way of solving this would be to deduct an average ROC from some
aggregate index from each of your individual scores, e.g. if your
stocks belong to the S&P500, deduct its ROC from each of your
individual ROCs (you can also create one yourself). You are correct
in using the new functionality to seperate your shorts from your
longs via the MaxOpenLong and MaxOpenShort functions.
Hope this helps.
PS
--- In amibroker@xxxxxxxxxxxxxxx, "claudecaruana" <claudecaruana@xxx>
wrote:
>
> 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@> 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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