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Well,
why not just have a "sell" statement that says:
<FONT face=Arial color=#0000ff
size=2>
Sell =
low < ref(low,-1);
<FONT face=Arial color=#0000ff
size=2>
Of
course, that will get you out at the next open or whatever exit technique you
are using.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Thinking about how to exit as a real intraday stop, something like this
might work.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>highesthigh = (code inserted here to calculate the highest high since you
entered the trade)
<FONT face=Arial color=#0000ff
size=2>ApplyStop (stopTypeTrailing, stopModePoint, highesthigh-low+0.01, true,
true);
<FONT face=Arial color=#0000ff
size=2>
I
think that this would place your stop tomorrow at exactly one cent below today's
low. I'm assuming here that a trailing stop for a long works off the
highest high.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Ted Chmilar
[mailto:tchmilar@xxxxxxx]Sent: Tuesday, March 25, 2003 7:39
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Volatile trailing Applystop (for Ted)
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>
<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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