Hi Nick --
I've taken the liberty of starting with your first code segment, adding some
comments, and making
some changes. I may not have gotten all of your preferences correct, but
try this
and see if it helps.
Thanks,
Howard
////////////////////////////////////////////////////
// radge1.afl
//Day Trade
InitEquity = 100000;
SetOption("InitialEquity",InitEquity);
SetTradeDelays (1,1,0,0); // Explore today trade tomorrow
// Number of positions to hold
MaxQty = 10;
SetOption("maxopenpositions",MaxQty);
// Uncomment the way you want to set position size
// $5000 for each trade
// PositionSize = 5000;
// positionsize is proportional to maximum number held
PositionSize = -100 / MaxQty;
// PositionScore is the ratio of 1 day rate of change to 10 day rate of
change
// unless the 1 day rate of change is zero, PositionScore will always be
non-zero
// that is, PositionScore will always be True
PositionScore = ROC(C,1) / ROC(C,10); //looking for a big move compared to
the last 2 weeks
// Since PositionScore is always True,
// Filter is True when Close > Open.
// Filter = PositionScore AND Close > Open; //looking for the biggest move
on an up day.
Filter = Close > Open;
// Set a buy signal
BuySignal = Filter;
// Buy whenever today's close is greater than
// today's open.
// But not two days in a row.
Buy = BuySignal AND NOT(Ref(BuySignal,-1));
// BuyPrice is tomorrow's Open
BuyPrice = Open;
// As it stands, the original statement says Sell whenever Close is not
Zero.
// You want to sell on the same day you bought.
Sell = Buy;
// You might mean SellPrice = Close?
SellPrice = Close;
AddColumn(PositionScore,"score"); //lets me see the score values in an
exploration
// if anyone could advise on the above idea i would appreciate the help,,,
//////////////////////////////////////////////////////
On Mon, Sep 22, 2008 at 4:04 AM, Paul Radge <[EMAIL PROTECTED]>wrote:
> Hi all,
> i recently read a few posts here in the forum and learnt about the
> function "positionscore".As a non programer i find the forum very usefull.
>
> From those posts i've tried to follow a similar line and test a day
> trading system,,,like many of my ideas and notions though it may bare no
> cash flow.
>
> What i tried to do was look for a break out and then buy the open next day
> and sell the close as a true day trade no money down.Here's what i attempted
>
> //Day Trade
> positionscore = ROC(c,1) / ROC(C,10); //looking for a big move compared to
> the last 2 weeks
>
> Filter = Positionscore and Close > Open; //looking for the biggest move on
> an up day.
>
> Buy = Filter;
> Buyprice = Open;
>
> Sell = close;
>
> settradedelays = (1,0,0,0); // Explore today trade tomorrow (?)
> positionsize = 5000;
>
> addcolumn(positionscore,"score"); //lets me see the score values in an
> exploration
>
> //I've got maxtrades set to 1 within settings
>
> When i explore from 18/9/08 to 18/9/08 i get stock abc.asx for example but
> when i backtest from 19/9/08 to 19/9/08 i'm not getting the same ticker that
> i expected to see traded with the Buy delay set to 1.
>
> If anyone could advise on the above idea i would appreciate the help,,,
>
> i also tried this with no luck,,,,,,,,,,,
>
> positionscore = ROC(C,1) / ROC(C,10);
>
> cond1 = c > o;
>
> longsetup = postionscore and cond1;
>
> filter = ref(longsetup,-1);
>
> buy = filter ;
> buyprice = open;
> sell = close;
>
> settradedelays = (0,0,0,0);
> positionsize = 5000;
>
> addcolumn(positionscore,"score");
>
>
