[amibroker] Issues with SeparateLongShortRank in Rotational Trading

["greysthoughts" <greysthoughts@xxxxxxxxx>]

Hi everyone ?

New to the group, so apologies if this has been asked before.

Having some issues with the new market-neutral features in the rotational backtester.

How can I force there to be equal number of longs and shorts regardless of the PositionScore output?

Best example I can think of is using a simple range-type indicator for determining position score that compares the close to the past 100 day high and low:
RangeStat = (Close-Low)/(High-Low)

The score above will only generate positive values and thus only longs entries in my portfolio backtest.

I could trick the output a little and subtract 0.50 for a better chance of having positive and negative values across securities, but if I am scanning highly correlated markets like the 9 S&P sector ETFs, then there is a pretty good chance of having PositionScores returned all with the same sign, and thus no offsetting longs and shorts.

If anyone has a workaround, or if I am missing something, please let me know.

Thanks in advance.

<AB Code Below >

EnableRotationalTrading();

NumberHeld = 3;
MaxPos=NumberHeld*2;
Lookback=200;

SetOption("SeparateLongShortRank",True);
SetOption("WorstRankHeld", NumberHeld);
SetOption("MaxOpenPositions", MaxPos);
SetOption("MaxOpenLong",NumberHeld);
SetOption("MaxOpenShort",NumberHeld);

RangeStat = (Close-LLV(Close,Lookback))/(HHV(Close,Lookback)-LLV(Close,Lookback))-0.50;

PositionScore = RangeStat;






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