IFF Formula - Trading Software

IFF Formula

Rakla03
2017-09-07 05:34:12

Hi outside,

who can help me at the following:

I have a buy/sell order which works:

buy = iff(mk1 < 9 and mk3 > 8.32, stringequal(name(), "#exs1.de"), stringequal(name(), "#exx6.de"));
sell = iff(mk1 > 9 or mk3 < 8.32, stringequal(name(), "#exs1.de"), stringequal(name(), "#exx6.de"));

(The calculating of mk1 and mk3 is not important)

Instead of "#exs1.de" and "#exx6.de" I would like to buy out of a basket of 5 the best ranked 2 in roc(25)

I know the formula to rank:
rank1 = comp(roc(25), "rank");
rank2 = rank1 < 3;

But I dont know how to integrate the ranking into the Iff-formula above.

Can someone help?

THX

QuantShare
2017-09-07 18:34:10

You no longer need "iff".

rank1 = comp(roc(25), "rank");
rank2 = rank1 < 3;
buy = mk1 < 9 and mk3 > 8.32 and rank2;
sell = mk1 > 9 or mk3 < 8.32;

Rakla03
2017-09-19 09:06:39

I see, I didnt make it clear enough.

Instead of "#exs1.de" and "#exx6.de" I would like to buy out of TWO baskets of 5 each the best ranked 2 in roc(25)

Instead of "#exs1.de" a basket A of lets say "#exs1.de", "#exs2.de", "#exs3.de", "#exs4.de", "#exs5.de".
Instead of "#exx6.de" a basket B of lets say "#exx6.de", "#exx7.de", "#exx8.de", "#exx9.de", "#exx10.de".

So how to define at
- buy: pick out best 2 of Basket A if mk1 < 9 and mk3 > 8.32
- sell Basket A and buy best 2 out of Basket B if mk1 < 9 and mk3 > 8.32

THX

QuantShare
2017-09-19 10:24:20

Try this:

filter1 = mk1 < 9 and mk3 > 8.32;
rank1 = comp(roc(25), "rank", 1, filter1, "Basket A"); // Where Basket A is a list of symbols you can create in "Symbol-> Symbols View"
rank2 = comp(roc(25), "rank", 1, !filter1, "Basket B");

buy = iff(mk1 < 9 and mk3 > 8.32, rank1 <= 2, rank2 <= 2);

// You also need to add both symbols in Basket A and B as symbols in your simulation

For the sell part, you probably need to use "isinlist(_SymbolsFilter, "Watchlist A")" within "iff" to remove any symbol in a specific list.

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