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Final
question for you (Ted):
<FONT face=Arial color=#0000ff
size=2>
Have
you set "activate stops immediately" under settings? See
below.
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size=2>
<FONT face=Arial color=#0000ff
size=2>
<IMG
src="bmp00003.bmp">
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Ted Chmilar
[mailto:tchmilar@xxxxxxx]Sent: Tuesday, March 25, 2003 8:37
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: 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
<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>
<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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