Kever
Registered: Sep 2005
Posts: 17 |
01-02-13 01:07 AM
Not too tough with Amibroker. I randomly picked ten "A" and ten "S" stocks from NYSE with avg vol > 2M. Using IB's commissions for the whole year of 2012 this system returns:
-7.83%
Oh well. I've seen crazier ideas. I've seen better ideas lose more. The code is:
SetOption("CommissionMode", 3);
SetOption("CommissionAmount", 0.005);
SetTradeDelays(0,0,0,0);
marg = 1;
SetOption("AccountMargin", 100/marg);
SetOption("AllowSameBarExit", True);
SetOption("ActivateStopsImmediately", False);
nop = 20;
PositionSize = -100/nop*marg;
SetOption("MaxOpenPositions", nop);
Buy = ( DayOfWeek()==5 AND InWatchListName("A") ); //friday
BuyPrice = O;
Sell = ( DayOfWeek()==1 AND InWatchListName("A") ); //top
SellPrice = O;
Short = ( DayOfWeek()==5 AND InWatchListName("S") );
ShortPrice = O;
Cover = ( DayOfWeek()==1 AND InWatchListName("S") );
CoverPrice = O;
The stocks were:
A
AA
ABC
ABI
ABX
ACI
ACL
ACN
ADM
AEO
S
SAI
SAN
SCHW
SD
SE
SEE
SID
SKS
SLB
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