[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: Help with PositionScore


  • Date: Wed, 10 Mar 2010 22:31:24 -0000
  • From: "nunopires2001" <nunopires2001@xxxxxxxxx>
  • Subject: [amibroker] Re: Help with PositionScore

PureBytes Links

Trading Reference Links

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@xxx> 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/