Re: [amibroker] Scale IN OUT, AmiBroker Email List Archive

Hello,

Just curious if below lines can solve your problem or not, I'm a beginnger just for practicing (in reference to page 154 of Amibroker 4.90 User Guide in which sigScaleIn and sigScaleOut were first introduced.):

// assume pcq is the indicator whose exact formula is not clear to me

// for PCQ to jump say from 25% to over 75%, positionsize will become 75% < 100%

// in the process PCQ will pass thru 50%, so the first scaleIn is triggered, (ie 50% now), then when pass thru 75%, another 25% scalein will be triggered

// so the positionSize is always 25%

// Due to this reason, I think a loop is not needed?

SetPositionSize(25, spsPercentOfEquity);

Buy = Cross(pcq, 25) or Cross(pcq,50) or Cross(pcq,75) ;

Sell = Cross(25,pcq) or Cross(50,pcq) or Cross(75, pcq);

ScaleInConditionsLong = Cross(pcq,50) or Cross(pcq,75);

ScaleOutConditionsLong = Cross(25,pcq) or Cross(50,pcq) or Cross(75,pcq);

InTrade = Flip(Buy,Sell);

DoScaleIn = ExRem(InTrade AND scaleInConditionsLong, Sell);

DoScaleOut = ExRem(InTrade AND scaleOutConditionsLong,Sell);

Buy = Buy + sigScaleIn * DoScaleIn + sigScaleOut * DoScaleOut;

// By symmetry the short trade

Short = Cross(-25,pcq) or Cross(-50,pcq) or Cross(-75, pcq);

Cover = Cross(pcq, -25) or Cross(pcq,-50) or Cross(pcq,-75) ;

ScaleInConditionsShort = Cross(-50,pcq) or Cross(-75,pcq);

ScaleOutConditionsShort = Cross(pcq,-25) or Cross(pcq,-50) or Cross(pcq,-75);

InShortTrade = Flip(Short,Cover);

DoScaleInShort = ExRem(InShortTrade AND scaleInConditionsShort, Sell);

DoScaleOutShort = ExRem(InShortTrade AND scaleOutConditionsShort,Sell);

Short = Short + sigScaleIn * DoScaleInShort + sigScaleOut * DoScaleOutShort;

Regards

From: dallen2507 <dallen1@xxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, March 31, 2009 7:27:54 AM
Subject: [amibroker] Scale IN OUT

Hi,

I have an indicator PCQ that has levels of -100, -75, -50, -25, 0 , 25, 50, 75 100. I want to use the indicator to scale in and out of a single stock.
I want to Buy when PCQ goes positive with the % of equity equal to the value of PCQ. So, if PCQ goes from -50 to +25, I want to cover my short at -50% and then go long 25%.
Basically, I want to scale in or out of the position when PCQ changes levels, and have a % investment long or short equal to the PCQ level. So, if PCQ goes from +25 to +75, I want to scale from 25% long to 75% long.
I have tried to use setpositionsize and sigscaleIn and sigscaleOut in buy and sell rules, but I clearly don't understand how to do this. I have wasted several days on this.
Can this be done with arrays or do I need to loop? I could not find any examples.
Any suggestions on how to do this would be much appreciated..

Regards,
Dan Allen