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exrem function seems got problem
I test the following code for daily chkp data from 1/1/2003 to
today. (long only)
before apply exrem(buy, sell), there is a buy signal on 1/6/2003
after apply exrem(buy, sell), the buy signal on 1/6/2003 is gone.
But 1/6/2003 should be the first buy signal in year 2003. It is very
strange.
//my system
//1.identify trend
//close greater than ema20, ema20 is rising
trendup = Ref(C,-1)>Ref(EMA(C,20),-1) AND Ref(EMA(C,20), -1) > Ref
(EMA(C,20),-2)AND Ref(EMA(C,20),-2) >Ref(EMA(C,20),-3);
trenddown = Ref(C,-1)<Ref(EMA(C,20),-1) AND Ref(EMA(C,20), -1) < Ref
(EMA(C,20),-2)AND Ref(EMA(C,20),-2) <Ref(EMA(C,20),-3);
//2.setup
//there is a dip, previous day's close is 3 days low
dip = (Ref(C,-1) == Ref(LLV(C,3), -1));
//AND (Ref(L,-1) == Ref(LLV(L,3), -1));
//3.trigger/entry
//if today highter than yesterdays's close + 0.2*ATR(10);
alert = Hold(dip, 3);
Buystop = Ref(C, -1) + 0.2 * Ref(ATR(20), -1);
Buy = trendup AND alert AND H > Buystop;
BuyPrice = Max(Buystop, L);
//standard backtester settings
RoundLotSize = 100;
TickSize = 0.01;
SetTradeDelays( 0, 0, 0, 0 );
//4.exit
//Tharp's ATR-based position sizing technique
//Sell = 0; // selling only by stop
priceatbuy = 0;
//priceatbuy = IIf(Buy, BuyPrice, Ref(priceatbuy, -1));
Lossstop = priceatbuy - 2 * Ref(ATR(20), -1);
TrailStop = Ref(L, -1) - 2 * Ref(ATR(20), -1);
trailstop = Max(trailstop, Ref(trailstop, -1));
Sellstop = Max(Lossstop, trailstop);
Sell = L < Sellstop;
SellPrice = Max(Sellstop, H);
//Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
//Capital = 10000;
/* IMPORTANT: Set it also in the Settings: Initial Equity */
//Risk = 0.01*Capital;
//PositionSize = (Risk/TrailStopAmount)*BuyPrice;
//ApplyStop( 2, 2, TrailStopAmount, 1 );
Plot(C,"Price",colorWhite,styleCandle);
Plot(L, "", colorBlack);
Plot(H, "", colorBlack);
Plot(Buystop, "buystop", colorBrightGreen);
Plot(Sellstop, "sellstop", colorRed);
PlotShapes( shapeUpArrow * Buy, colorBrightGreen, 0, L, -12);
PlotShapes( shapeDownArrow * Sell, colorRed, 0, H, -12);
PlotShapes( shapeDownArrow * dip, colorWhite, 0, H, -30 );
Title = Name() + Date();
/*+ WriteVal(Ref(MACDRoc,-1)) + " Today =" + WriteVal(MACDRoc)
+ " Weekly -" +
WriteIf(Cond1==1," NEW UP TREND ", WriteIf(Cond2==1," NEW DOWN
TREND ", WriteIf(Cond3==1," Trend is Up ",WriteIf(Cond4==1,"
Trend is Down ",WriteIf(Cond5==1," Trend is Flat ","")))));*/
Filter = 1 > -1;
AddColumn(C,"close");
AddColumn(Ref(C,-1),"ref(c,-1)");
AddColumn(EMA(C,20),"ema20");
AddColumn(trendup, "trendup");
AddColumn(dip,"dip");
AddColumn(alert, "alert");
AddColumn(ATR(20), "atr20");
AddColumn(Buystop, "buystop");
AddColumn(H,"high");
AddColumn(BuyPrice, "buyprice");
AddColumn(BarsSince(Buy), "barbuy");
AddColumn(BarsSince(Sell), "barssell");
//AddColumn(extra, "extra");
AddColumn(Buy, "buy");
AddColumn(Ref(priceatbuy,-1),"pricebuy-1");
AddColumn(priceatbuy, "priceatbuy");
AddColumn(Lossstop, "lossstop");
AddColumn(trailstop, "trailstop");
AddColumn(Sellstop, "sellstop");
AddColumn(L,"low");
AddColumn(Sell, "sell");
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> After your Buy and Sell assignments... code:
>
> Buy = ExRem(Buy,Sell); Sell = ExRem(Sell,Buy);
>
> this will prevent subsequent Buy signals until a Sell occurs.
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gary_tiger2001"
> <gary_tiger2001@xxxx> wrote:
> > How to remove excessive buy signals?
> > After buy, it is possible the price never reach 1.1 *
priceatbuy.
> > Then another buy signal comes up. How to handle this senario?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > > I had same general issue a few weeks ago.
> > >
> > > Tomasz responded with code snippet sample from "What's new in
> > Amibroker":
> > >
> > >
> > > /* a sample low-level implementation of Profit-target stop in
AFL:
> > */
> > > Buy = Cross( MACD(), Signal() );
> > > priceatbuy=0;
> > > for( i = 0; i < BarCount; i++ )
> > > {
> > > if( priceatbuy == 0 && Buy[ i ] )
> > > priceatbuy = BuyPrice[ i ];
> > > if( priceatbuy > 0 && SellPrice[ i ] > 1.1 * priceatbuy )
> > > {
> > > Sell[ i ] = 1;
> > > SellPrice[ i ] = 1.1 * priceatbuy;
> > > priceatbuy = 0;
> > > }
> > > else
> > > Sell[ i ] = 0;
> > > }
> > >
> > > Change logic from 'Profit Target' to trailing stop of your
> > preference.
> > >
> > > Phsst
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Adrian Zaremba"
> > <headcutter@xxxx>
> > > wrote:
> > > > Can I find somewhere a code for a trailing stop? I am not
> > talking
> > > > about applystop function but a manually written code, like
in
> > > > Tradestation.
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