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Cluade,
If you run a scan you will see that the shorts are indeed being
generated. It appears that you are using all your capital for the
long and therefore you have no money left for the short. You need to
add some position size logic.
Ron
--- In amibroker@xxxxxxxxxxxxxxx, "claudecaruana" <claudecaruana@xxx>
wrote:
>
> 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@> 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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