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Here's the TS code if someone wants to convert it - i think this came from
Traders2Traders.com.
Regards,
Stewart
{ Barry Silberman's version of Alexander Elder's "SafeZone Stop" from book
"Come Into My Trading Room", page 173.
For Tradestation 2000
Amendments: (1) John Lynch: code for variable lookback period based on
prior swing extremes;
(2) John Lynch: code to indicate stop for next period ---
plotted on last bar on chart.
(3) Gary Fritz: use of TS variable instead of arrays
(4) Eric Svendsen: Coloured Stop and trend variable
Notes:
A) Set the chart up with one space to the right. Set plot2's chart style
type to point and its color to
your background color if your background is not black (5th line of each
Set Plot section).
B) This is an adaptation of Dr. Elder's stop based on the following points
that he emphasizes in his book:
(1) you may use the slope of a 22 day EMA to define the trend
(2) SafeZone is not a mechanical gadget to replace independent thought.
(3) Calculate the stops separately for uptrends and downtrends.
(4) The lookback period should not go back beyond the last important
turning point. If the market has
reversed from down to up two weeks ago, then the SafeZone for the
current long trades should not
look back more than 10 trading days.
(5) An important decision is choosing the coefficient for the SafeZone
stop. He says a coefficient
between 2 and 3 provides a margin of safety, but you must research it
on your own market data.
(6) You can add it to almost any trading system, including Triple Screen.
(7) The excel code that Dr. Elder used in his book kept the stop from
declining for 3 days, by which
time either the uptrend resumes or the stop is hit. This code uses a
period of 5. }
INPUTS:
Price((H+L)/2), MALength(22), Lookback(15), Trend(3),
AutomaticLookBack(True), Multiplelong(2), Multipleshort(2),
ColourShort(red), ColourLong(blue);
VARIABLES:
MA(0), Ldiff(0), Lday(0), Sdiff(0), Sday(0), Longsum(0), Shortsum(0) ,
Countlong(0), Countshort(0), Avglow(0),
Avghigh(0), Longstop(0), Shortstop(0), Lstop(0), Sstop(0), ii(0),
LookBackTemp(0);
{Determine trend by slope of EMA}
MA = xaverage( Price, MALength );
Condition1 = MA > MA[Trend];
Condition2 = MA < MA[Trend];
{Determine Lookback Period (to prior swing extreme)}
IF LookBackTemp<LookBack THEN LookBackTemp=LookBackTemp+1;
IF Condition1<>Condition1[1] THEN BEGIN
LookBackTemp=LookBack;
Value1=MinList(MALength*0.66,LookBack);
IF Condition1 and AutomaticLookBack THEN IF LowestBar(L,Value1)<LookBack
THEN LookBackTemp=LowestBar(L,Value1);
IF Condition2 and AutomaticLookBack THEN IF HighestBar(H,Value1)<LookBack
THEN LookBackTemp=HighestBar(H,Value1);
END;
{determine and count number of days with:
for longs - lows being lower than prior lows
for shorts - highs being higher than prior highs}
Ldiff = IFF(L[1] > L, L[1] - L, 0); { Difference of lows }
Lday = IFF(L[1] > L, 1, 0); { 1 if this is a "low's" day }
Sdiff = IFF(H[1] < H, H - H[1], 0); { Difference of highs }
Sday = IFF(H[1] < H, 1, 0); { 1 if this is a "high's" day }
{SAFEZONE FOR LONGS}
{Get average of lows lower than prior low}
Longsum = summation(Ldiff, Lookbacktemp);
Countlong = summation(Lday, Lookbacktemp);
IF Countlong <> 0 THEN Avglow = Longsum / Countlong;
{Calculate stop at "X" times avglow}
Lstop = LOW - (Multiplelong * Avglow);
{Prevent stop from being lowered}
Longstop = MAXLIST(Lstop, Lstop[1], Lstop[2], Lstop[3], Lstop[4], Lstop[5]);
{Set Plot}
IF Condition1 THEN BEGIN
PLOT1(Longstop[1], "STOP", ColourLong);
IF lastbaronchart THEN BEGIN
Plot1[-1](Longstop, "STOP", ColourLong); {Shows tomorrows stop
on lastbar+1}
Plot2(Longstop, "StopNext"); {Indicates tomorrows
stop: set indicator to point/black}
END;
END;
{SAFEZONE FOR SHORTS}
{Get average of highs higher than prior high}
Shortsum = summation(Sdiff, Lookbacktemp);
Countshort = summation(Sday, Lookbacktemp);
IF Countshort <> 0 THEN Avghigh = Shortsum / Countshort;
{Calculate stop at "X" times avghigh}
Sstop = HIGH + (Multipleshort * Avghigh);
{Prevent stop from rising}
Shortstop = MINLIST(Sstop, Sstop[1], Sstop[2], Sstop[3], Sstop[4],
Sstop[5]);
{Set Plot}
IF Condition2 THEN BEGIN
PLOT1(Shortstop[1], "STOP", ColourShort);
IF lastbaronchart THEN BEGIN
Plot1[-1](Shortstop, "STOP", ColourShort); {Shows tomorrows stop on
lastbar+1}
Plot2(Shortstop, "StopNext", Black); {Indicates tomorrows stop:
set indicator to point/black}
END;
END;
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