Help for modify long position for short position

• 06/19/2018 at 5:03 AM #73616
  onoisukaaa

  Hello i need some help for modify existing algo made by Wilko.

  Curent algo take only Long postion and i want modify for taking both.

  Original code (only buy ):

  original code

  ShortRSI = RSI[2](close) LongRSI = RSI[30](close) //1 month RSI MA = Average[22,0](close) //1 month moving average of close Slope = MA/MA[1]-1 //Slope of 1 month moving average MaxPos = 1 //Set to tolerated maximum position LongEntry = CountOfLongShares < MaxPos //Buy until MaxPos reached LongEntry = LongEntry AND ShortRSI < 15 //Buy when RSI2 below 15 LongEntry = LongEntry AND LongRSI > 50 //Filter for 1month RSI above 50 LongEntry = LongEntry AND Slope > 0 //Filter for positive slope of MA22 LongExit = LongOnMarket LongExit = LongExit AND ShortRSI > 60 //Exit position when RSI2 above 60 // Conditions to enter long positions IF LongEntry THEN BUY 2 CONTRACTS AT MARKET ENDIF // Conditions to exit long positions IF LongExit THEN SELL AT MARKET ENDIF

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  ShortRSI = RSI[2](close) LongRSI = RSI[30](close) //1 month RSI MA = Average[22,0](close) //1 month moving average of close Slope = MA/MA[1]-1 //Slope of 1 month moving average   MaxPos = 1 //Set to tolerated maximum position   LongEntry = CountOfLongShares < MaxPos //Buy until MaxPos reached LongEntry = LongEntry AND ShortRSI < 15 //Buy when RSI2 below 15 LongEntry = LongEntry AND LongRSI > 50 //Filter for 1month RSI above 50 LongEntry = LongEntry AND Slope > 0 //Filter for positive slope of MA22   LongExit = LongOnMarket LongExit = LongExit AND ShortRSI > 60 //Exit position when RSI2 above 60     // Conditions to enter long positions IF LongEntry THEN BUY 2 CONTRACTS AT MARKET ENDIF   // Conditions to exit long positions IF LongExit THEN SELL AT MARKET ENDIF

  My (bad )modification for short :

  ShortRSI = RSI[2](close) LongRSI = RSI[30](close) //1 month RSI MA = Average[22,0](close) //1 month moving average of close Slope = MA/MA[1]-1 //Slope of 1 month moving average MaxPos = 2 //Set to tolerated maximum position ShortEntry = CountOfShortShares < MaxPos //Buy until MaxPos reached ShortEntry = ShortEntry AND ShortRSI > 60 //Short when RSI2 above 60 ShortEntry = ShortEntry AND LongRSI < 50 //Filter for 1month RSI below 50 ShortEntry = ShortEntry AND Slope > 0 //Filter for positive slope of MA22 ShortExit = ShortOnMarket ShortExit = ShortExit AND ShortRSI < 15 //Exit position when RSI2 below 15 // Conditions to enter short positions IF ShortEntry THEN SELL 2 CONTRACTS AT MARKET ENDIF // Conditions to exit short positions IF ShortExit THEN BUY AT MARKET ENDIF

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  ShortRSI = RSI[2](close) LongRSI = RSI[30](close) //1 month RSI MA = Average[22,0](close) //1 month moving average of close Slope = MA/MA[1]-1 //Slope of 1 month moving average   MaxPos = 2 //Set to tolerated maximum position   ShortEntry = CountOfShortShares < MaxPos //Buy until MaxPos reached ShortEntry = ShortEntry AND ShortRSI > 60 //Short when RSI2 above 60 ShortEntry = ShortEntry AND LongRSI < 50 //Filter for 1month RSI below 50 ShortEntry = ShortEntry AND Slope > 0 //Filter for positive slope of MA22   ShortExit = ShortOnMarket ShortExit = ShortExit AND ShortRSI < 15 //Exit position when RSI2 below 15     // Conditions to enter short positions IF ShortEntry THEN SELL 2 CONTRACTS AT MARKET ENDIF   // Conditions to exit short positions IF ShortExit THEN BUY AT MARKET ENDIF

  With my modification when i backtest i have zero results

  Thanks for your helps

   

  

  onoisukaaa

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  06/19/2018 at 6:08 AM #73619
  Vonasi

  At first look the BUY and SELL instructions that you use are the wrong ones. You need to use SELLSHORT and EXITSHORT for short position entry and exit. BUY and SELL are for long positions only.

  // Conditions to enter short positions IF ShortEntry THEN SellShort 2 CONTRACTS AT MARKET ENDIF // Conditions to exit short positions IF ShortExit THEN ExitShort AT MARKET ENDIF

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  // Conditions to enter short positions IF ShortEntry THEN SellShort 2 CONTRACTS AT MARKET ENDIF // Conditions to exit short positions IF ShortExit THEN ExitShort AT MARKET ENDIF

   

  

  Vonasi

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  06/19/2018 at 8:02 AM #73644
  onoisukaaa

  like that ?

  

  onoisukaaa

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  06/19/2018 at 9:53 AM #73656
  GraHal

  Where you have the exclamation marks use the term mySellShort and myExitShort.

  Sorry for jumping in Vonasi, just keeping the momentum going! 🙂

  

  GraHal

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  06/19/2018 at 2:47 PM #73674
  Vonasi

  GraHal wrote:

  Sorry for jumping in Vonasi

  Jump in all you like GraHal. I’ve been out enjoying myself sailing in the rain. Rain in Greece in June! …..and Trump says there is no global warming!

  1 user thanked author for this post.

  GraHal

  

  Vonasi

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  06/19/2018 at 2:51 PM #73675
  Vonasi

  Your short code was fine. It is just that:

  BUY // Used to open a long position. SELL // Used to close a long position SELLSHORT // Used to open a short position EXITSHORT // Used to close a short position

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  BUY // Used to open a long position. SELL // Used to close a long position SELLSHORT // Used to open a short position EXITSHORT // Used to close a short position

  So your code would be:

  ShortRSI = RSI[2](close) LongRSI = RSI[30](close) //1 month RSI MA = Average[22,0](close) //1 month moving average of close Slope = MA/MA[1]-1 //Slope of 1 month moving average MaxPos = 2 //Set to tolerated maximum position ShortEntry = CountOfShortShares < MaxPos //Buy until MaxPos reached ShortEntry = ShortEntry AND ShortRSI > 60 //Short when RSI2 above 60 ShortEntry = ShortEntry AND LongRSI < 50 //Filter for 1month RSI below 50 ShortEntry = ShortEntry AND Slope > 0 //Filter for positive slope of MA22 ShortExit = ShortOnMarket ShortExit = ShortExit AND ShortRSI < 15 //Exit position when RSI2 below 15 // Conditions to enter short positions IF ShortEntry THEN SELLSHORT 2 CONTRACTS AT MARKET ENDIF // Conditions to exit short positions IF ShortExit THEN EXITSHORT AT MARKET ENDIF

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  ShortRSI = RSI[2](close) LongRSI = RSI[30](close) //1 month RSI MA = Average[22,0](close) //1 month moving average of close Slope = MA/MA[1]-1 //Slope of 1 month moving average MaxPos = 2 //Set to tolerated maximum position ShortEntry = CountOfShortShares < MaxPos //Buy until MaxPos reached ShortEntry = ShortEntry AND ShortRSI > 60 //Short when RSI2 above 60 ShortEntry = ShortEntry AND LongRSI < 50 //Filter for 1month RSI below 50 ShortEntry = ShortEntry AND Slope > 0 //Filter for positive slope of MA22 ShortExit = ShortOnMarket ShortExit = ShortExit AND ShortRSI < 15 //Exit position when RSI2 below 15 // Conditions to enter short positions IF ShortEntry THEN SELLSHORT 2 CONTRACTS AT MARKET ENDIF // Conditions to exit short positions IF ShortExit THEN EXITSHORT AT MARKET ENDIF

   

  

  Vonasi

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  06/19/2018 at 3:42 PM #73679
  onoisukaaa

  Thanks a lot guys !!

  

  onoisukaaa

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