[amibroker] pyramiding - problems with code

["gborrageiro" <gborrageiro@xxxxxxxxxxx>]

hi,

I am testing some scaling out strategies and can't get the backtester to go short. There's a prob with my code somewhere but I just can't see where. 

Your help would be appreciated! thanks

SetTradeDelays( 0, 0, 0, 0 );
BuyPrice = Avg;
ShortPrice = Avg;
SetOption( "FuturesMode", True );
SetOption( "InitialEquity", 100000 );

fast = ema(avg,10);
slow = ema(avg,100);

Buy = Cross( fast, slow )  ;
Short = Cross( slow, fast )  ;
Sell = 0;
Cover = 0;

FirstProfitTarget = 0.02; 
TrailingStop = 0.06; 
StopLoss = 0.02;

priceatbuy = 0;
highsincebuy = 0;
priceatshort = 0;
lowsinceshort = 0;

exit = 0;

for ( i = 0; i < BarCount; i++ )
{
    if ( priceatbuy == 0 AND Buy[ i ] )
    {
        priceatbuy = BuyPrice[ i ];
    }

  if ( priceatshort == 0 AND Short[ i ] )
    {
        priceatshort = ShortPrice[ i ];
    }

    if ( priceatbuy > 0 )
    {
        highsincebuy = Max( High[ i ], highsincebuy );

        if ( exit == 0 AND
                High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy )
        {
            // first profit target hit - scale-out
            exit = 1;
            Buy[ i ] = sigScaleOut;
        }

        if ( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
        {
            // trailing stop hit - exit
            exit = 2;
            SellPrice[ i ] = Min( Avg[ i ], ( 1 - TrailingStop * 0.01 ) * highsincebuy );
        }

        if ( Low[ i ] <= ( 1 - StopLoss * 0.01 ) * priceatbuy )
        {
            // Stop Loss hit - exit
            exit = 3;
            SellPrice[ i ] = Min( Avg[ i ], ( 1 - StopLoss * 0.01 ) * priceatbuy );
        }


        if ( exit >= 2 )
        {
            Buy[ i ] = 0;
            Sell[ i ] = exit + 1; // mark appropriate exit code
            exit = 0;
            priceatbuy = 0; // reset price
            highsincebuy = 0;
        }
    }

    if ( priceatshort > 0 )
    {
        lowsinceshort = Min( Low[ i ], lowsinceshort );

        if ( exit == 0 AND
                Low[ i ] <=  ( 1 - FirstProfitTarget * 0.01 ) * priceatshort )
        {
            // first profit target hit - scale-out
            exit = 1;
            Short[ i ] = sigScaleOut;

        }

        if ( High[ i ] >= ( 1 + TrailingStop * 0.01 ) * lowsinceshort )
        {
            // trailing stop hit - exit
            exit = 2;
            CoverPrice[ i ] = Max( Avg[ i ], ( 1 + TrailingStop * 0.01 ) * lowsinceshort );
        }

        if ( High[ i ] >= ( 1 + StopLoss * 0.01 ) * priceatshort )
        {
            // Stop Loss hit - exit
            exit = 3;
            CoverPrice[ i ] = Max( Avg[ i ], ( 1 + StopLoss * 0.01 ) * priceatshort );
        }


        if ( exit >= 2 )
        {
            Short[ i ] = 0;
            Cover[ i ] = exit + 1; // mark appropriate exit code
            exit = 0;
            priceatshort = 0; // reset price
            lowsinceshort = 0;
        }
    }
}


SetPositionSize( 2, spsShares );

SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) ); // scale out 50% of position
//SetPositionSize( 50, spsPercentOfEquity );



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