[amibroker] Reduction of position size when volatility gets high

[Daphne Renault <daphne.renault@xxxxxxxxx>]

Hi,

having a simple MA rule I want to reduce position size (from 100% to 50%) if volatility gets above its 120 day average (and back to 100% if volatility gets below its average). I have tried the following code but without success:

Buy = Cross( Close , MA(Close,30));
Sell = Cross(MA(Close,30), Close);

Short = Sell;
Cover = Buy;

vola=StDev(ln(C/Ref(C,-1)),50)*sqrt(250)*100;

InTradeBuy=Flip(Buy,Sell);
InTradeShort=Flip(Short,Cover);

DoScaleInBuy=ExRem(InTradeBuy AND vola>MA(vola,120),Sell OR vola<MA(vola,120));
DoScaleOutBuy=ExRem(InTradeBuy AND vola<MA(vola,120),Sell OR vola>MA(vola,120));
Buy = Buy + sigScaleIn * DoScaleInBuy + sigScaleOut * DoScaleOutBuy;

DoScaleInShort=ExRem(InTradeShort AND vola>MA(vola,120),Cover OR Vola<MA(vola,120));
DoScaleOutShort=ExRem(inTradeShort AND vola<MA(vola,120),Cover OR Vola>MA(vola,120));
Short = Short + sigScaleIn * DoScaleInShort + sigScaleOut * DoScaleOutShort;

PositionSize=IIf(DoScaleInBuy OR DoScaleInShort,-50,-100);

Any ideas what´s wrong.

Regards
Daphne


      


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