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Deducting an average derived from anything other than the values of
the watch list in question (e.g. deducting average of S&P500) would
still be prone to the same problem since the elements of the watch
list might all be on the high side of the average and thus still all
end up positive (or conversely all be on the low side and all end up
negative).
Similarly, deducting an average of the watchlist itself would only be
guaranteed to correctly handle the single long/single short scenario.
If the strategy were to be expanded to handle 2 or more longs or 2 or
more shorts, then a single extreme value could drag the average
up/down such that only that single extreme value was above/below the
average and the subsequent longs/shorts would never get recognized. If
you're sure that you only ever want a single long and a single short,
this can easily be accomplished by first running an AFL that uses
AddToComposite with which to later derive an average in the main AFL
on the second pass.
The more robust solution would be to calculate the *median* value and
subtract that from the individual ROC(C,NumBars)/ATR(250) values
giving an equal number of positive results as negative results. You
could then successfully employ your original logic for taking longs
when > 0 and shorts when < 0 with the assurance that there will always
be an equal number of each, thereby allowing any combination of longs
and shorts.
e.g.
PositionScore = ROC(C,NumBars)/ATR(250) - MedianValue;
Buy=FirstHourUp AND PositionScore > 0;
Short=FirstHourUp AND PositionScore < 0;
So, the question becomes how to get the median value? For that you
would need to rank and sort the ROC(C,NumBars)/ATR(250) calculation
across all members of the watch list, then pull out the value
appearing in the center of the ordered list (if odd number of items in
watch list) or the average of the two center items (if even number of
items in watch list).
So, how do you rank and sort across a watch list? You can refer to the
following link for a solution where there are not too many items in
the list:
http://finance.groups.yahoo.com/group/amibroker/message/126400
Mike
--- 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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