Yes, as of beta version 5.11.0, there are new AFL calls:
http://www.amibroker.com/devlog/wp-content/uploads/2008/06/readme5111.html
Two cool tools in this release:
- The ability to have different ranking criteria for longs vs. shorts
- The ability to determine the number of long and short positions -
read the docs for more info, but here's a summary from the release notes:
MaxOpenLong - limits the number of LONG positions that can be open
simultaneously
MaxOpenShort - limits the number of SHORT positions that can be open
simultaneously
Example:
SetOption("MaxOpenPositions", 15 );
SetOption("MaxOpenLong", 11 );
SetOption("MaxOpenShort", 7 );
--- In [email protected], "steve_almond" <[EMAIL PROTECTED]> wrote:
>
> Thanks for the clues.
>
> Using a simple PositionScore like:
> C-MA(C,21)
>
> Amibroker automatically chooses long or short irrespsective of
> whether 'Positions' is set to 'Long' or 'Long and Short'.
>
> It rotationally trades depending on the absolute value of the
> PositionScore. So it will close a long position with a current score
> of +0.8 to sell short a position with a score of -0.9.
>
> So far, so excellent.
>
> Currently, 9 of my 10 stocks are below the MA so Amibroker is holding
> all short positions.
>
> Is there a way to insist on, say, 3 long positions (if available) and
> 3 short positions?
>
>
> Steve
>
>
> --- In [email protected], "droskill" <droskill@> wrote:
> >
> > Yes, it is possible - you need to:
> >
> > 1. Make sure, in settings, that you enable both long and short
> trades.
> > 2. Figure out how to apply a negative score to the equities you wish
> > to short.
> >
> > So, you might do it based on distance from the 10 week moving
> average,
> > with those stocks that are below a 10 week moving average having
> > negative scores.
> >
> > --- In [email protected], "steve_almond" <me@> wrote:
> > >
> > > Is it possible to combine long/short in rotational trading?
> > >
> > > Assume a universe of just 10 stocks.
> > >
> > > Case 1:
> > > I want to buy stocks above their 10 week MA and sell short those
> below
> > > their 10 week MA. This may not require rotational trading - just
> > > buy/short?
> > >
> > > Case 2:
> > > I want to buy the 3 stocks most above their 10 week MA and sell
> short
> > > the 3 stocks most below their 10 week MA.
> > >
> > >
> > >
> > > Is it possible?
> > >
> > > Steve
> > >
> >
>
