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



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Chuck:
I have been using Sell=low<ref(low,-1) but I 
assumed that I could get applystop to work for this purpose. I could not get 
your applystop example to work. Perhaps Tomasz will step in and provide a 
detailed explanation. Thanks for your help. 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 5:16 
  PM
  Subject: RE: [amibroker] Volatile 
  trailing Applystop (for Ted)
  
  <FONT face=Arial color=#0000ff 
  size=2>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)
      
      <FONT face=Arial color=#0000ff 
      size=2>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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