Thanks Mike, I'll check it out.
On Sun, Feb 14, 2010 at 8:35 AM, Mike <[email protected]> wrote: > > > http://finance.groups.yahoo.com/group/amibroker/message/136986 > > Mike > > > --- In [email protected] <amibroker%40yahoogroups.com>, "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 > > > > >
