Hi Nick --
I've taken the liberty of starting with
your first code segment, adding some comments, and making
some
changes. I may not have gotten all of your preferences correct, but
try this
and see if it
helps.
Thanks,
Howard
////////////////////////////////////////////////////
//
radge1.afl
//Day Trade
InitEquity =
100000;
SetOption("InitialEquity",InitEquity);
SetTradeDelays
(1,1,0,0); // Explore today trade tomorrow
// Number of
positions to hold
MaxQty =
10;
SetOption("maxopenpositions",MaxQty);
//
Uncomment the way you want to set position size
// $5000 for each
trade
// PositionSize = 5000;
// positionsize is proportional to
maximum number held
PositionSize = -100 / MaxQty;
//
PositionScore is the ratio of 1 day rate of change to 10 day rate of
change
// unless the 1 day rate of change is zero, PositionScore will
always be non-zero
// that is, PositionScore will always be
True
PositionScore = ROC(C,1) / ROC(C,10); //looking for a big move
compared to the last 2 weeks
// Since PositionScore is
always True,
// Filter is True when Close >
Open.
// Filter = PositionScore AND Close > Open; //looking for the
biggest move on an up day.
Filter = Close > Open;
// Set a
buy signal
BuySignal = Filter;
// Buy whenever today's close
is greater than
// today's open.
// But not two
days in a row.
Buy = BuySignal AND
NOT(Ref(BuySignal,-1));
// BuyPrice is tomorrow's
Open
BuyPrice = Open;
// As it stands, the original
statement says Sell whenever Close is not Zero.
// You want to sell on
the same day you bought.
Sell = Buy;
// You might mean
SellPrice = Close?
SellPrice =
Close;
AddColumn(PositionScore,"score"); //lets me
see the score values in an exploration
// if anyone could
advise on the above idea i would appreciate the
help,,,
//////////////////////////////////////////////////////
On Mon, Sep 22, 2008 at 4:04 AM, Paul Radge
<paulradge@xxxxxxxxxxxxxxx> wrote:
Hi all,
i recently read
a few posts here in the forum and learnt about the function
"positionscore".As a non programer i find the forum very
usefull.
From those posts i've tried to follow
a similar line and test a day trading system,,,like many of my ideas and
notions though it may bare no cash flow.
What i tried to do was look for a break out
and then buy the open next day and sell the close as a true day
trade no money down.Here's what i attempted
//Day Trade
positionscore = ROC(c,1) / ROC(C,10);
//looking for a big move compared to the last 2 weeks
Filter = Positionscore and Close > Open;
//looking for the biggest move on an up day.
Buy = Filter;
Buyprice = Open;
Sell = close;
settradedelays = (1,0,0,0); // Explore
today trade tomorrow (?)
positionsize = 5000;
addcolumn(positionscore,"score");
//lets me see the score values in an exploration
//I've got maxtrades set to 1 within
settings
When i explore from 18/9/08 to 18/9/08 i
get stock abc.asx for example but when i backtest from 19/9/08 to
19/9/08 i'm not getting the same ticker that i expected to see traded
with the Buy delay set to 1.
If anyone could advise on the above
idea i would appreciate the help,,,
i also tried this with no
luck,,,,,,,,,,,
positionscore = ROC(C,1) /
ROC(C,10);
cond1 = c > o;
longsetup = postionscore and
cond1;
filter =
ref(longsetup,-1);
buy = filter ;
buyprice = open;
sell = close;
settradedelays = (0,0,0,0);
positionsize = 5000;
addcolumn(positionscore,"score");