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: [email protected]
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?
