[amibroker] Re: Balancing Long and Short positions in backtesting

["Steve Davis" <_sdavis@xxxxxxxxx>]

You cannot change the value of the SeparateLongShortRank on each bar,
but you can do this:

Short = Short && !uptrend;
Buy = Buy && !downtrend;

The number of allowed positions is controlled by these options:
SetOption("MaxOpenPositions", 15);
SetOption("MaxOpenLong", 11);
SetOption("MaxOpenShort", 7);

-Steve


--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxx> wrote:
>
> If I use SetOption("SeparateLongShortRank", True );
> 
> Can I use it to have neutral trading ONLY at selected times? (NOT
ROTATIONAL 
> TRADING)
> 
> Example:
> If I inhibit all short signals during an Uptrend, Allow both short
and long 
> signals in sideways markets and allow only short signals in down
trend, will 
> the system wotk properly or limit itself to filling only ONE long
position 
> during an UP trend while waiting for a short signals?
> 
> Thanks
> 
> Ara
> 
> 
> ----- Original Message ----- 
> From: "Tomasz Janeczko" <groups@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, November 12, 2008 9:37 AM
> Subject: Re: [amibroker] Balancing Long and Short positions in
backtesting
> 
> 
> > Did you read what's new
> > http://www.amibroker.com/guide/whatsnew.html
> >
> > Second item from the list leads you to:
> > http://www.amibroker.com/guide/h_portfolio.html#NEUTRAL
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message ----- 
> > From: "chapman49682" <chapman49682@xxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Wednesday, November 12, 2008 4:54 PM
> > Subject: [amibroker] Balancing Long and Short positions in backtesting
> >
> >
> >>I have searched the database and cannot seem to find information on
> >> this topic:
> >>
> >> I have a strategy that trades swing positions both long and short.  I
> >> would like to limit the number of positions in each direction, so
that
> >> I don't end up with, say, all Short positions in a down-trending
> >> market, or all Long positions in a bull market.
> >>
> >> In other words, for the purposes of backtesting, for a "maximum open
> >> positions" of 10, I'd like to limit my long positions to 5 and short
> >> positions to 5.
> >>
> >> Is there a way to do this?
> >>
> >> thanks,  Rob
> >>
> >>
> >> ------------------------------------
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> >
> > ------------------------------------
> >
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> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > *********************
> > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
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> > *********************
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> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > *********************************
> > Yahoo! Groups Links
> >
> >
> >
>



------------------------------------

**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com
*********************

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

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