[amibroker] Re: How to Buy Tomorrow and Sell the Next Day Using Your Whole Portfolio

["Joseph Peha" <jpeha@xxxxxx>]

Thank you so much, Ed!  Awesome stuff.

--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx>
wrote:
>
> hi,
> 
> there are multiple ways to do this in Amibroker. Below I give an
example how it can built this in a portfolio type system,
> 
> rgds, Ed
> 
> 
> 
> // if you want this inside a portfolio type system 
> SetBarsRequired(10000,10000); 
> SetOption("MaxOpenPositions", 10 ); 
> SetOption("UsePrevBarEquityForPosSizing",True); 
> SetOption("PriceBoundChecking", False); 
> PositionSize = -10; 
> SetTradeDelays(0,0,0,0); 
> 
> // delay of exit with respect to entry in bars 
> sellDelay = Optimize("sellDelay", 1, 1, 50, 1); 
> 
> // buy signal when H exceeds H of past 220 bars 
> Buy = H > Ref(HHV(H,220),-1); 
> 
> // entry at the open of the bar following the signal bar 
> Buy = Ref(Buy,-1); BuyPrice = O; 
> 
> // remove excessive signals from initial signal 
> Buy = ExRemSpan(Buy, sellDelay); 
> 
> // sell sellDelay bars after entry at the open 
> Sell = BarsSince(Buy) == sellDelay; SellPrice = O; 
> 
> SetChartOptions(0, chartShowDates); 
> GraphXSpace = 5; 
> Plot(C,"C",1,64); 
> PlotShapes(IIf(Buy,shapeUpArrow,0),colorWhite, layer = 0, yposition
= BuyPrice, offset = 0 ); 
> PlotShapes(IIf(Sell,shapeDownArrow,0),colorYellow, layer = 0,
yposition = SellPrice, offset = 0 ); 
> 
> PositionScore = 1/Ref(RSI(sellDelay),-1) 
> 
> 
> 
>   ----- Original Message ----- 
>   From: Joseph Peha 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Tuesday, November 13, 2007 8:24 PM
>   Subject: [amibroker] How to Buy Tomorrow and Sell the Next Day
Using Your Whole Portfolio
> 
> 
>   So I've got this great EOD system that pulls in handsome results. 
>   However, I really want to measure exactly how effective it is. 
>   There's only one snafu. I can't get the backtester to buy and sell on
>   different days. Basically, I want to:
> 
>   1) Get the buy signal at the end of Day 1
>   2) Buy the stock on the opening of Day 2
>   3) Sell the stock on the opening of Day 3
> 
>   And I can do this when I invest my whole portfolio in one stock using
>   this code:
> 
>   E = Equity(0);
>   Buy <= SellPrice*Ref(E,-1) AND E > 0;
> 
>   And I've tried everything I can think of relating to Buy, Sell, and
>   Ref commands, but those only seems to work when you don't want the
>   backtester to buy and sell the SAME stock on the same day. It doesn't
>   work across your whole portfolio.
> 
>   So does anyone know how to buy tomorrow and sell the next day across
>   your entire portfolio?
>




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