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Thanks for your feedback.
this might sound crazy, but I am still getting only longs with this
code....
FirstHourUp = IIf (TimeNum() == 103000,True,False);
numbars=13;
SetOption("MaxOpenPositions", 2);
SetOption("MaxOpenLong", 1 );
SetOption("MaxOpenShort",1);
SetOption("SeparateLongShortRank", True );
PS = ROC(C,NumBars)/ATR(250);
PositionScore=ps+1000;
Buy= FirstHourUp AND PositionScore > 0;
PositionScore=ps-1000;
Short=FirstHourUp AND PositionScore < 0;
Sell = TimeNum() == 113000;
SellPrice = C;
Cover = TimeNum() == 113000;
CoverPrice = C;
Is anybody willing to try it out?
Cheers,
Claude
--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> 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@> 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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