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Ron,
The shorts are indeed being generated as you say, except that the
positionscore will not pick up the short.
Indeed there is enough equity to cover both. I verified that.
In fact I think the only way to do this is to calculate the median
value with addtocomposite...
Claude
--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> 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@>
> 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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