Hi
I am generating ranks on 4 ETFs using the afl example amibroker supplies in their help files.
I have the code below (also attached) and the buys and sells work great showing the new 1 ranked ETF always being bought. BUT, if I insert the SetOption("HoldMinBars",7) ; code the new buys are not coming through consistently after the hold time is satisfied.
Has anyone ranked a list of issues using these functions and had success using the SetOption("HoldMinBars",7) function with it? If you have an example code snippet that would be great.
I don't want to use the rotational backtester for this project.
Thanks for any help!
SetOption("HoldMinBars",7) ; // This line stops the flow of new buys when a new ETF is ranked 1 after the 7 day hold is met.
List140 = "IDU,SPY,XLE,TLT"; //CategoryGetSymbols( categoryWatchlist, 142 ) ; //
if ( Status("stocknum") == 0 )
{
// delete static variables
StaticVarRemove( "OAAS1*" );
// fill input static arrays
for ( i = 0; ( sym = StrExtract( List140 , i ) ) != ""; i++ )
{
SetForeign( sym );
Value = ROC( C, 10 );
RestorePriceArrays();
StaticVarSet( "OAAS1" + sym, Value );
}
// perform ranking
StaticVarGenerateRanks( "rank", "OAAS1", 0, 1224 ); // normal rank mode
}
symbol = Name();
OAAS1 = StaticVarGet ( "OAAS1" + symbol );
rank1 = StaticVarGet ( "rankOAAS1" + symbol );
// Signals
XLESIG4 = IIf(rank1 == 1 AND symbol == "XLE",1,0);
TLTSIG4 = IIf(rank1 == 1 AND symbol == "TLT",1,0);
IDUSIG4 = IIf(rank1 == 1 AND symbol == "IDU",1,0);
SPYSIG4 = IIf(rank1 == 1 AND symbol == "SPY",1,0);
PositionSize = -98 ;
//PositionScore = rank1;
Buy = XLESIG4 OR TLTSIG4 OR IDUSIG4 OR SPYSIG4 ;
Sell = IIf(Ref(XLESIG4 ,-1) == 1 AND !XLESIG4 ,1,
IIf(Ref(TLTSIG4 ,-1) == 1 AND !TLTSIG4 ,1,
IIf(Ref(IDUSIG4 ,-1) == 1 AND !IDUSIG4 ,1,
IIf(Ref(SPYSIG4 ,-1) == 1 AND !SPYSIG4 ,1,0))));
Buy = ExRem(Buy,Sell );
Sell = ExRem(Sell,Buy);
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