|
PureBytes Links
Trading Reference Links
|
Yes, this approach works very well and is how I have been doing it.
One caveat is that it assumes you want to be long or out but not
short (PS with negative values).
Shorts can also be accomodated by the addition of the abs function as
indicated below (assuming you want the same threshold on both the
long and short side)...
PositionScore = IIF(abs(PS) > WorstScoreHeld, PS, 0);
--- In amibroker@xxxxxxxxxxxxxxx, "georgeafe" <georgeafyah@xxx> wrote:
>
> Curt,
>
> I think I just went through figuring out how to do what you want in
> one of my systems. Hope this helps!
>
> PS = put in whatever your PositionScore function is here;
> PositionScore = IIF(PS > WorstScoreHeld, PS, 0);
>
> What this does is use your PositionScore function if PS >
> WorstScoreHeld otherwise the 0 value for PositionScore means no
trade
> (exit the trade if there is already open position on given symbol)
>
> George
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Curt" <crcmcc@> wrote:
> >
> > Here is another way to think of this. If N is the Maximum
positions
> > held, then imagine having a watchlist with M stocks (M > N) and
> > N "money market" securities. For each of the N money market
> > securities, set the PositionScore = WorstScoreHeld. Then, if I
had at
> > least N stocks with a PositionScore > WorstScoreHeld, I would be
fully
> > invested in stocks. If all of my stocks had a PositionScore <
> > WorstScoreHeld, then I would be fully invested in the money
market.
> >
> > I don't want to actually inject N money market securities into my
> > watchlist. But if I did, and I could control the positionScore of
the
> > moneymarket securities, then I would get the result I want. I
want to
> > accomplish the equivalent thing but with just my M stocks in my
> > watchlist.
> >
> > Curt
> >
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto: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/
|