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Example of Trailing stop for long postion:
/* single-line implementation of Chandelier exit */
ApplyStop(stopTypeTrailing, stopModePoint, 3*ATR(14), True, True );
-------Original Message-------
From: amibroker@xxxxxxxxxxxxxxx
Date: Tuesday, March 25, 2003 20:38:00
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Volatile trailing Applystop (for Ted)
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
----- Original Message -----
From: Chuck Rademacher
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, March 25, 2003 5:16 PM
Subject: RE: [amibroker] Volatile trailing Applystop (for Ted)
Well, why not just have a "sell" statement that says:
Sell = low < ref(low,-1);
Of course, that will get you out at the next open or whatever exit technique
you are using.
Thinking about how to exit as a real intraday stop, something like this
might work.
highesthigh = (code inserted here to calculate the highest high since you
entered the trade)
ApplyStop (stopTypeTrailing, stopModePoint, highesthigh-low+0.01, true,
true);
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.
-----Original Message-----
From: Ted Chmilar [mailto:tchmilar@xxxxxxx]
Sent: Tuesday, March 25, 2003 7:39 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: 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
----- Original Message -----
From: Chuck Rademacher
To: 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.
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.
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.
-----Original Message-----
From: Ted Chmilar [mailto:tchmilar@xxxxxxx]
Sent: Tuesday, March 25, 2003 7:20 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: 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
----- Original Message -----
From: Chuck Rademacher
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, March 25, 2003 3:21 PM
Subject: RE: [amibroker] Volatile trailing Applystop (for Ted)
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.
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.
-----Original Message-----
From: Ted Chmilar [mailto:tchmilar@xxxxxxx]
Sent: Tuesday, March 25, 2003 4:46 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [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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