Yes, look into:
SeparateLongShortRank, MaxOpenLong, MaxOpenShort
--- In amibroker@yahoogroups.com, Chris DePuy cde...@... wrote:
Using rotational trading, does anyone know an easy way to buy the top 10% of
scores and short the bottom 10% of scores generated at each bar?
Interesting. Have not used. I read, but do not totally understand. For
example, I can not find PositionScoreShort and PositionScoreLong. Does anyone
have a short and simple afl example?
--- In amibroker@yahoogroups.com, re_rowland rowl...@... wrote:
Yes, look into:
Hello,
See the manual, it discusses these options.
http://www.amibroker.com/guide/afl/afl_view.php?setoption
There is one positionscore but POSITIVE value means long and NEGATIVE
value means short
as in normal rotational mode.
The key to understanding is that RANKING is performed SEPARATELY
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
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
Thanks. That looks like the answer.
Happy coincidence that the Beta has just been published!
Steve
--- In amibroker@yahoogroups.com, droskill [EMAIL PROTECTED] wrote:
Yes, as of beta version 5.11.0, there are new AFL calls:
http://www.amibroker.com/devlog/wp-
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
Positionsize can be an array. Look in the userguide.
If you're looking for something more complicated, like adjusting the
weights of your existing holdings (i.e. stocks which you're already
long/short and also pass the next rotationals), you will need to use
the custom backtester.
PS
---
a_consSent: Thursday, April 27, 2006 7:00 AMTo:
amibroker@yahoogroups.comSubject: [amibroker] Re: Rotational
Trading question
--- In amibroker@yahoogroups.com, "Tomasz Janeczko"
[EMAIL PROTECTED] wrote: You should use PositionSize to
vary your allocation on trade-by-trade basi
