Re: [amibroker] Yuki Example

[Yuki Taga <yukitaga@xxxx>]

Hi Dimitris,

I got this code that you wrote below to run a back test. However, I
cannot find how to put the buy and sell arrows on the chart that your
gif shows.

DT> /*Example*/
DT> Slw = 3;
DT> Pds = 10;
DT> A = Ema((Close -LLV(Low,Pds))/(HHV(H,Pds)-LLV(L,Pds)),Slw)*100;
DT> B=Ema((A-LLV(A,pds))/(HHV(A,Pds)-LLV(A,Pds)),Slw)*100;
DT> Graph0 = B;
DT> BUY=CROSS(B,30);
DT> SELL=CROSS(70,B);
DT> BUY=EXREM(BUY,SELL);
DT> SELL=EXREM(SELL,BUY);

I've also modified the code, which I see from later messages that you
have done also. My intention to test, which I have not figured out
completely how to do in AB yet, is to sell on a change in direction
down but above 70, and buy on a change of direction up, but below 30.
All changes in direction between 30 and 70 are ignored.

So, I'm starting with:

Slw = 3;
Pds = 10;
A = Ema((Close -LLV(Low,Pds))/(HHV(H,Pds)-LLV(L,Pds)),Slw)*100;
B=Ema((A-LLV(A,pds))/(HHV(A,Pds)-LLV(A,Pds)),Slw)*100;
Graph0 = B;
BUY=(B > REF(B, -1) AND REF(B, -1) < REF(B, -2)) AND B < 30;
SELL=(B < REF(B, -1) AND REF(B, -1) > REF(B, -2)) AND B > 70;
SHORT=SELL;
COVER=BUY;
BUY=EXREM(BUY,SELL);
SELL=EXREM(SELL,BUY);

There is one additional filter, however, and this is what I haven't
coded yet, because I haven't learned how:

I don't want to buy or sell on the signal date, although as you have
noted this produces a mildly profitable system. I want to buy or
sell the next day, and only then if the previous day's H (for a buy)
or L (for a sell) is exceeded. The buy and sell stops would be
either ref(H,-1) +1 or ref(L,-1) -1. Since we trade by yen in Japan,
and it is not divisible, this should work, even though some stocks
trade in increments of more than one yen, while others trade in
one-yen increments. I suspect I would have to change the formula for
stocks that trade in greater than one yen increments, however, to get
a true stop price for back testing. If H or L is not exceeded, the
signal is ignored. This is the actual test that I would like to run.
Rather easy to code in MS, but I haven't figured out how to do it in
AB yet.

Also, as you noted in a later message, this is indeed a 'take the
money and run' indicator. It needs a tight stop loss, and a tight
profit target. Later, I will look for filters or indications that
might suggest when to let the winning trades run a bit. As is,
however, I don't think this system would get anyone killed, provided
they use proper stop loss (money management) tactics.

Thanks for your help on this.

Yuki ^_^