|
PureBytes Links
Trading Reference Links
|
Thanks for the reply.
I am glad, someone had the same problem before :-)
It seems I am facing a tough challenge!
Have a great night,
Nuno
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Hi,
>
> This comes up every year or so...
>
> http://finance.groups.yahoo.com/group/amibroker/message/147538
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "nunopires2001" <nunopires2001@> wrote:
> >
> > Thanks.
> >
> > In fact does not help.
> > Basically what I need is:
> > If positions open = 4 (max is 5)
> > then
> > ONLY buy if Rule1==1 AND rank ==1
> >
> > Any hints?
> >
> > Thanks again.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "j0etr4der" <j0etr4der@> wrote:
> > >
> > > PositionScore uses the current bar by default. Which is looking forward. So...
> > >
> > > PositionScore = Ref( ROC( Close, 40 ), - 1 );
> > >
> > > You can confirm this for yourself by looking at the individual trades using the Detail Log report.
> > >
> > > Don't think this answers your question, but using the Detail Log report might help.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "nunopires2001" <nunopires2001@> wrote:
> > > >
> > > > Imagine this simple system:
> > > >
> > > > Rule: Stock's close is above MA(50)
> > > > If rule is fulfilled, send a limit order, 2% below yesterday close.
> > > >
> > > > AFL Code:
> > > > /*******************************************************************
> > > > //Stock above MA
> > > > Rule1=Ref(Close,-1)>MA(Ref(Close,-1),50);
> > > > //Stock drops 2%
> > > > Rule2=Iif(Low<0.98*Ref(Close,-1),1,0);
> > > >
> > > > Buy=Iif(Rule1==1 AND Rule2==1,1,0);
> > > > //Buyprice can be 2% below yesterday close, or even better.
> > > > BuyPrice=Iif(Open<0.98*Ref(Close,-1),Open,0.98*Ref(Close,-1));
> > > >
> > > > SetOption("MaxOpenPositions", 5 ); // no more than 5 positions
> > > > PositionScore=ROC(C,40);
> > > > /*******************************************************************
> > > >
> > > >
> > > > As you can imagine, this simple system will trigger lots of buy signals every day. Without PositionScoring, I guess Amibroker choose the stocks by alphabetically order?
> > > >
> > > > So, to solve this question, i thought in a simple ranking filter.
> > > > Lets say: PositionScore=ROC(C,40);
> > > >
> > > >
> > > > But, now there is my problem. If i apply PositionScore to the system above, system will be forward-looking.
> > > > The rank is applied to every stocks dropping 3%, and the ones with better rank are chosen.
> > > >
> > > > In real life, if I already have 4 open positions, only the stock with highest rank should be considered.
> > > >
> > > > Anyone can help?
> > > >
> > > > Probably my explanation wasn't clear, this isn't easy to explain. Ask me any questions, if that was the case.
> > > >
> > > > Many thanks!
> > > >
> > >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
amibroker-digest@xxxxxxxxxxxxxxx
amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|