For a long and short strategy with a portfolio of tickers, I would like to skip the reverse signal if there is a profit. For example, if the new signal is long but the short is making money, then skip the new long signal, and if the new signal is short but the long is making money, skip the short. Will this work?
Buy= ..... Short=.... sell=cover=0; InLong = Flip( Buy, short ); Inshort = Flip( Short, Buy ); Buy=Buy AND NOT (inShort AND ValueWhen(Short,C) < C); Short=Short AND NOT (Inlong AND ValueWhen(Buy,C) > C); Sell=Cover=0;
I am not sure ValueWhen(Short,C) gives the entry price for short and ValueWhen(Buy,C) the entry price for long. Probably those could be for skipped signals.