http://finance.groups.yahoo.com/group/amibroker/message/136986
Mike --- In [email protected], "Adrian" <adrian.mollenho...@...> wrote: > > I see in here alot of examples of pair trades, based on a watchlist of pairs, > however I want to hedge all my trades against a single symbol - the SPY. > > I have my watchlist of SP500 symbols, and I want to be able to backtest > Excess returns. So for every Long, I want to be short SPY and every short, I > want to be long SPY. > > I have tried 'SetForeign' with the following, but it never issues a SPY short: > > > Buy = c==hhv(c,300); > BuyPrice = C; > Sell = BarsSince(Buy) ==6; > SellPrice = C; > PositionSize = -10; > > SetForeign("spy",True,True); > Short = Buy; > ShortPrice = C; > Cover = Sell; > CoverPrice = C; > RestorePriceArrays(True); > > Any thoughts on how to take an opposite position on SPY to the long trade? > > Adrian >
