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Just take the negative of the ABS value of the lowest PositionScore.
Or force it by subtracting a large number. You will also need to
account for the times when the best score is neagive. For example:
PS = ROC(C,NumBars)/ATR(250);
PositionScore = PS +1000; // force everthing to be positive
// Buy longs here
PositionScore = PS -1000; // invert the list from absolute value
perspective
// Buy shorts here
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>
> 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@>
> 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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