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Re: [amibroker] Volatile trailing Applystop (for Ted)



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Chuck,
 
I'll study this further. Any idea how one could 
implement a trailing stop (with each bar) where one would exit the long trade 
when the price drops below the low of the previous bar using 'applystop'  
?
 
Ted

<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=chuck_rademacher@xxxxxxxxxx 
  href="">Chuck Rademacher 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Tuesday, March 25, 2003 4:33 
  PM
  Subject: RE: [amibroker] Volatile 
  trailing Applystop (for Ted)
  
  My 
  main point was that a fixed (75 cent) stop doesn't lend itself to volatility 
  checking.
  <FONT face=Arial color=#0000ff 
  size=2> 
  I'm 
  of the opinion that setting volatility = true would be applicable if you had a 
  stop distance that said something like "ATR(14)*3" where your stop distance 
  actually could vary between the point of entry and point of exit.  A 75 
  cent stop is a 75 cent stop every day in the life of a trade and ignores 
  volatility.
  <FONT face=Arial color=#0000ff 
  size=2> 
  <FONT face=Arial color=#0000ff 
  size=2>Regarding your second point, I'm of the opinion that for longs, a 75 
  cent stop would be from the highest high during the life of the trade and for 
  shorts, a 75 cent stop would be from the lows.   It's either the 
  extremes or the closes depending on how Tomacz implemented it.  It 
  wouldn't take much to prove it one way or the other.
  <BLOCKQUOTE 
  >
    <FONT face="Times New Roman" 
    size=2>-----Original Message-----From: Ted Chmilar 
    [mailto:tchmilar@xxxxxxx]Sent: Tuesday, March 25, 2003 7:20 
    PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: 
    [amibroker] Volatile trailing Applystop (for Ted)
    
    Chuck,
    I made a mistake  in my original email, I 
    meant the High price of the bar when the Buy (not Sell) 
    occured.
    According to the Users Guide, the 5th 
    parameter of ApplyStop:
     
    volatile - decides if amount (or 
    distance) (3rd parameter) is sampled at the trade entry and remains fixed 
    during the trade (Volatile = FALSE - old behaviour) or if can vary during 
    the trade (Volatile = TRUE) (allows single line Chandelier exit 
    implementation) 
     
    I'm trying to find out what the .75 (distance) 
    is relative to on each bar of the trade. Thanks for your taking an interest 
    in this.
     
    Ted
    <FONT face=Arial 
    size=2>
    <BLOCKQUOTE 
    >
      ----- Original Message ----- 
      <DIV 
      >From: 
      <A title=chuck_rademacher@xxxxxxxxxx 
      href="">Chuck Rademacher 
      To: <A 
      title=amibroker@xxxxxxxxxxxxxxx 
      href="">amibroker@xxxxxxxxxxxxxxx 
      
      Sent: Tuesday, March 25, 2003 3:21 
      PM
      Subject: RE: [amibroker] Volatile 
      trailing Applystop (for Ted)
      
      <FONT face=Arial color=#0000ff 
      size=2>This isn't really a "volatility" stop.  You are simply running 
      a 75 cent stop from the extreme of the move.   But, I'm sure you 
      knew that already.
      <FONT face=Arial color=#0000ff 
      size=2> 
      <FONT face=Arial color=#0000ff 
      size=2>The fact that you are using "true" in the statement means that your 
      trade will be exited at your stop price (forgetting about opening gaps) 
      intraday.  So, your "exit at open prices" is 
      meaningless.
      <FONT face=Arial color=#0000ff 
      size=2> 
      <FONT face=Arial color=#0000ff 
      size=2> 
      <BLOCKQUOTE 
      >
        <FONT face="Times New Roman" 
        size=2>-----Original Message-----From: Ted Chmilar 
        [mailto:tchmilar@xxxxxxx]Sent: Tuesday, March 25, 2003 4:46 
        PMTo: amibroker@xxxxxxxxxxxxxxxSubject: 
        [amibroker] Volatile trailing Applystop
        Tomasz,    
         
        Is this type of volatile trailing stop 
        predictable for longs and shorts?
         
        Stop=.75;
        ApplyStop(stopTypeTrailing, 
        stopModePoint, Stop, True, 
        True);
         
        It seems to be predictable for longs where 
        it uses the high of the Sell for its basis of calculation. For shorts, I 
        can't seem to figure it out. I used set trade delays to 0 using Open 
        prices.
         
        Ted
        
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