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[amibroker] Re: Market Neutral Code - Auto Adjusting Hedge



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Hi,

I suspect that you will have to write custom backtester code to iterate through the open positions at each bar, do the math, and open/scale the hedge position as necessary.

Read the document "AmiBroker Custom Backtester Interface.pdf" posted by gp_sydney in the Files section of this group.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "doubletopper" <doubletopper@xxx> wrote:
>
> 
> 
> Hello,
> 
> What I'm trying to do is I think relatively easy, but I'm still quite new to AB and I've searched but can't find a way to figure this out.
> 
> I want the program to compile the total net long or short, and put on a reverse trade of something else (let's say SPY for ease) - so it runs the program, 500 shares long, 100 short = go short 400 SPY
> 
> I would also like it to be able to put on new trades and re-adjust the hedge. So on day 2, the program goes 'net' short 500, now we buy the 400 from yesterday and 500 more for today.
> 
> Any ideas will be greatly appreciated!
> 
> Thanks
>




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