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Hi Steve,
Sorry for the delay.I have tried your Idea, and It only invests
up to a max of 25%. I've played around with it, but can't get it to work correctly.
Thanks for your efforts.
Regards,
Dan
--- In amibroker@xxxxxxxxxxxxxxx, Steve Wong <swstevewong38@xxx> wrote:
>
> 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
> SW
>
>
>
>
> ________________________________
> From: dallen2507 <dallen1@xxx>
> 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
>
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