|
PureBytes Links
Trading Reference Links
|
Al,
You would be 100% correct if stoplevel was defined freely.
But in our case:
stoplevel = open + 0.5 * Ref( H - L, -1 );
So it is always ABOVE open price.
Therefore in this particular case MAX( O, stoplevel) is always
equal to stoplevel (because it is higher than Open)
So in this case the code I submitted was correct.
But generally speaking (if stoplevel is not guaranteed
to be above open) you are right.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Avcinci" <avcinci@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, February 17, 2003 3:25 PM
Subject: Re: [amibroker] Re: need a buystop reference
> TJ:
>
> I believe you need one minor correction in your BuyPrice statement. I think
> you need to state:
>
> BuyPrice = Max(O,Stoplevel);
>
> because in your example, suppose the open was 10.45 rather than 10.10, and
> the stock price went down thereafter. Your buyprice would then necessarily
> have to be the open, not the lower stoplevel.
>
> Al Venosa
>
> ----- Original Message -----
> From: "Tomasz Janeczko" <amibroker@xxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, February 17, 2003 6:13 AM
> Subject: Re: [amibroker] Re: need a buystop reference
>
>
> > Dimitris,
> >
> > It IS FOR ANY interval INCLUDING EOD.
> >
> > There is NO conflict.
> > ===============
> >
> > Just think about it.
> >
> > Let's say that that previous day H was 10.00 and previous day low was
> 9.60.
> > The previous day range ref( H - L, -1 ) is 10-9.60 = 0.40.
> >
> > Now our buy condition is
> > stoplevel = open + 0.5 * Ref( H - L, -1 );
> > buy = high >= stoplevel;
> >
> > Let's say trading session just started and we now that open
> > is say 10.10 (a little gap up).
> >
> > according to our formula stop level is placed at the:
> >
> > 10.10 + 0.5 * 0.4 = 10.10 + 0.20 = 10.30
> >
> > Now let us suppose that prices move like this
> > Hour Price
> > 10.00 -> 10.10
> > 11:00 -> 10.15
> > 12:00 -> 10.20
> > 13.00 -> 10.30 -- >>> BUY STOP TRIGGERS at 10:30
> > 14.00 -> 10.45 --- a higher high
> > 15.00 -> 10.40 --- prices go down
> > 15.30 -> 10.20 --- go down
> > 16.00 -> 10.00 --- a days low
> >
> > In that case our EOD price record is:
> > Open = 10.10
> > High = 10.45
> > Low = 10.00
> > Close = 10.00
> >
> >
> > Note that using EOD record the condition
> > stoplevel = open + 0.5 * Ref( H - L, -1 );
> >
> > Buy = High >= StopLevel;
> >
> > IS STILL VALID !
> >
> > It is because EOD High must be GREATER OR EQUAL of ANY INTRADAY high !
> >
> >
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: <TSOKAKIS@xxxxxxxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Monday, February 17, 2003 11:54 AM
> > Subject: [amibroker] Re: need a buystop reference
> >
> >
> > Tomasz,
> > I thought your formula was for EOD.
> > Is it possible to use your condition in an EOD backtesting and avoid
> > the conflict I mentioned ?
> > Dimitris Tsokakis
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> > wrote:
> > > Dimitris,
> > >
> > > Not true.
> > >
> > > If you have a real time feed this condition is perfectly valid.
> > > The Buy occurs when intraday price rises above StopLevel.
> > >
> > > This is how buy-stop orders work - you place the limit and
> > > wait until intraday price rises above this limit.
> > >
> > > As intraday price forms a new intraday high above the limit
> > > the buy is triggered. We really don't care what will happen next
> > > - it does not matter if prices continue to rise (and the EOD high is
> > > higher) or if prices start to fall (and our intraday temporary high
> > > becomes EOD high) the condition still remains valid and perfectly
> > > tradeable.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: <TSOKAKIS@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Monday, February 17, 2003 11:34 AM
> > > Subject: [amibroker] Re: need a buystop reference
> > >
> > >
> > > Tomasz,
> > > with Buy = High >= StopLevel; you can not Buy today, you have to
> > wait
> > > the end of the session to know H. Consequently, you will try to buy
> > > tomorrow. But, it is not sure you will meet this BuyPrice into
> > > tomorrow´s range.
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> > > wrote:
> > > > Hello,
> > > >
> > > >
> > > > Stoplevel = Open + 0.5 * Ref( H - L, -1 );
> > > >
> > > > Buy = High >= StopLevel;
> > > > BuyPrice = StopLevel;
> > > >
> > > > Best regards,
> > > > Tomasz Janeczko
> > > > amibroker.com
> > > > ----- Original Message -----
> > > > From: "Yuki Taga" <yukitaga@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Monday, February 17, 2003 10:33 AM
> > > > Subject: [amibroker] need a buystop reference
> > > >
> > > >
> > > > > All:
> > > > >
> > > > > Can anyone point me to some code in the help file that will show
> > > me
> > > > > how to designate a buy stop today, based on yesterday's range?
> > I
> > > > > have tried like the devil to research this myself, and to code
> > it,
> > > > > but I'm not getting even close.
> > > > >
> > > > > What I'm looking for is something like, if today's price is X
> > > percent
> > > > > of yesterday's range above today's open, buy. Something similar
> > > but
> > > > > opposite of course, for shorting.
> > > > >
> > > > > Yuki ^_^
> > > > >
> > > > > mailto:yukitaga@x...
> > > > >
> > > > >
> > > > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > > >
> > > > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > >
> > > > > Your use of Yahoo! Groups is subject to
> > > http://docs.yahoo.com/info/terms/
> > > > >
> > > > >
> > > > >
> > >
> > >
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > >
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> >
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
> >
> >
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> >
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
> >
>
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|