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The long only result may be because both Buy and Short have always
been set to True, and Buy trumps Short. The original code workds fine
for Long only or Short only. But, when dealing with mixed signals
you'll need to change the logic to be one or the other (i.e. Buy or
Short) instead of always true.
Also, if you have not set a PositionSize, then the first signal will
consume your entire equity, leaving no remaining funds for any other
signals.
You'll need to come up with your own PositionScore algorithm that
guarantees a Buy and a Short for each bar. But, the following does
show both buys and shorts taking place lasting a single day (using
EOD database). It does not guarantee a new Buy/Short each day (e.g.
if no RSI is above 50 or none below 50).
I have not worked with an intraday database, so can't help you there.
SetTradeDelays( 1, 0, 1, 0);
SetOption("SeparateLongShortRank" , True);
SetOption("MaxOpenPositions" , 2);
SetOption("MaxOpenLong", 1);
SetOption("MaxOpenShort", 1);
PositionScore = 50 - RSI();
PositionSize = -25;
Buy = PositionScore > 0;
BuyPrice = Open;
Sell = True;
SellPrice = Close;
Short = PositionScore <= 0;
ShortPrice = Open;
Cover = True;
CoverPrice = Close;
Mike
--- In amibroker@xxxxxxxxxxxxxxx, jim fenster <normanjade@xxx> wrote:
>
> I tried that but some strange things are happening. Firstly I am
getting only Long positions. Long and Short is picked in the AA
settings menu though. I think it might have something to do with the
second.
> Secondly, I am putting the setting on Daily in AA, but I am getting
10 trades a day, just at different times. They are being closed that
same minute. My database is 1 minute, but why won't it treat it as
daily info and give me one trade a day at the open? there are trades
happening at 3:24 etc.
>
>
> Any ideas?
>
> jim
>
>
> --- On Fri, 10/31/08, Mike <sfclimbers@xxx> wrote:
> From: Mike <sfclimbers@xxx>
> Subject: [amibroker] Re: Referencing composite values in an
Exploration
> To: amibroker@xxxxxxxxxxxxxxx
> Date: Friday, October 31, 2008, 5:31 PM
>
>
>
>
>
>
>
>
>
>
>
> Presumably the same solution, just more specialized in
your option
>
> settings. *I have not tested this*, but experiment with the
following:
>
>
>
> SetTradeDelays( 1, 0, 1, 0);
>
>
>
> SetOption("Separate LongShortRank" , True);
>
> SetOption("MaxOpenP ositions" , 2);
>
> SetOption("MaxOpenL ong", 1);
>
> SetOption("MaxOpenS hort", 1);
>
>
>
> PositionScore = ...;
>
>
>
> Buy = True;
>
> BuyPrice = Open;
>
>
>
> Sell = True;
>
> SellPrice = Close;
>
>
>
> Short = True;
>
> ShortPrice = Open;
>
>
>
> Cover = True;
>
> CoverPrice = Close;
>
>
>
> Refer to the following release note for detail:
>
> http://www.amibroke r.com/devlog/ wp-
>
> content/uploads/ 2008/06/readme51 11.html
>
>
>
> Mike
>
>
>
> --- In amibroker@xxxxxxxxx ps.com, jim fenster <normanjade@ ...>
wrote:
>
> >
>
> > OK and what if I wanted to go long the strongest in the group and
>
> short the weakest?
>
> >
>
> > --- On Fri, 10/31/08, Mike <sfclimbers@ ...> wrote:
>
> > From: Mike <sfclimbers@ ...>
>
> > Subject: [amibroker] Re: Referencing composite values in an
>
> Exploration
>
> > To: amibroker@xxxxxxxxx ps.com
>
> > Date: Friday, October 31, 2008, 3:34 AM
>
> >
>
> >
>
> >
>
> >
>
> >
>
> >
>
> >
>
> >
>
> >
>
> >
>
> >
>
> > Try something like this:
>
> >
>
> >
>
> >
>
> > 1. Set trade delays to 1 (for open) and 0 (for close)
>
> >
>
> > 2. Set Max Open Positions to 1.
>
> >
>
> > 3. Set PositionScore to "strongest" (whatever that means to you)
>
> >
>
> >
>
> >
>
> > e.g.
>
> >
>
> >
>
> >
>
> > SetTradeDelays( 1, 0, 0, 0);
>
> >
>
> > SetOption("MaxOpenP ositions" , 1);
>
> >
>
> > PositionScore = RSI();
>
> >
>
> >
>
> >
>
> > Buy = True;
>
> >
>
> > BuyPrice = Open;
>
> >
>
> >
>
> >
>
> > Sell = True;
>
> >
>
> > SellPrice = Close;
>
> >
>
> >
>
> >
>
> > Mike
>
> >
>
> >
>
> >
>
> > --- In amibroker@xxxxxxxxx ps.com, jim fenster <normanjade@ ...>
>
> wrote:
>
> >
>
> > >
>
> >
>
> > > is it possible to code a simple strategy where you could say,
buy
>
> >
>
> > the strongest stock out of a portfolio of 30 stocks every day. So
>
> out
>
> >
>
> > of the 30 stocks, buy the strongest one at tomorrows open and
sell
>
> at
>
> >
>
> > the close. Then just repeating that everyday.
>
> >
>
> > >
>
> >
>
> > >
>
> >
>
> > > Thanks,
>
> >
>
> > >
>
> >
>
> > > Jim
>
> >
>
> > >
>
> >
>
------------------------------------
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