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Anthony,
Your interpretation is that you will be stopped out when price drops
3*ATR(14) from the highest High price since the Buy?
Ted
----- Original Message -----
From: "Anthony Faragasso" <ajf1111@xxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, March 25, 2003 6:26 PM
Subject: Re: [amibroker] Volatile trailing Applystop (for Ted)
> 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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