Buy-sell rules using a composite

Buy-sell rules using a composite

F Mazandarany
2010-12-13 12:54:05

I have created a composite called Nasdaq 52 week highs minus 52 lows (symbol is _NASDAQ_52WK_His_LOs). I want to use this composite using the MM script to optimize for buy-sell rules as follows:

Buy SPY when composite >a
Sell Spy when composite <b
So I would be optimizing for "a" and "b".

The script for the composite is:

highs= Ticker("^52-week-highs-nasdaq",close,zero);
lows= Ticker("^52-week-lows-nasdaq",close,zero);
composite=highs-lows;

Could you please create the MM script to do this?

QuantShare
2010-12-13 13:30:24

Hi,

For this, you don't have to create a MM Script.

Simply type the following formula: (And select SPY in the simulation symbols)

nasdcomp = GetSeries("_NASDAQ_52WK_His_LOs", close) ;

// Buy rules
Optimize("a", 10, 100, 10);
Rule1 = nasdcomp > a;
buy = Rule1;

// Sell rules

Optimize("b", 10, 100, 10);
Rule2 = nasdcomp < b;
sell = Rule2;

Let me know if you need the MM Script.

F Mazandarany
2010-12-13 15:02:24

Thanks, this works. I tried to add a second rule to buy and sell so that in addition to the composite condition, I must satisfy an sma condition, but I get errors. Here is what I did.

nasdcomp = GetSeries("_NASDAQ_52WK_His_LOs", close) ;

// Buy rules
Rule1 = nasdcomp > 0 and close>sma(200)*1.02;
buy = Rule1

// Sell rules

Rule2 = nasdcomp < -100 and close<sma(200)*0.98;

sell = Rule2;

QuantShare
2010-12-14 04:27:40

Best Answer

Note that when you put this formula, the word "Rule2" is underlined.

This means that there is an error near this keyword and the error is that you forget to add the semi-colon after the "buy = Rule1".

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