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Hi Dave,
I like your code, and your idea. In terms of an alternative, Al posted Tharpe's Efficiency Index which addresses chop. Here's his code and explaination. Regards,
Gary
Effiency Index (EI) = (C - ref(C,-x)/ATR(x)
An efficient stock is a stock whose price movements are high relative to its volatility changes (i.e., the price change is high but the volatility change is minor). So, if a stock increases by 3 points while its volatility only increases a little, that's good because it gives you greater profitability at a given volatility.
I think the way you would use it would be as a boolean Buy (or Short) qualifier. In other words, something like this:
Buy = <your normal buy rules> AND EI > y; //where y is an optimizable variable.Dave Merrill <dmerrill@xxxxxxx> wrote:
Obviously, losses are a problem. But so are positions that hang in thereforever taking up available cash but going nowhere, without hitting profittargets or stops.How would you code that, assuming you're dealing with a system that tries todump losers but let winners run as long as they're advancing.I tried starting from a modest stoploss, with the stop percentage advancingevery day until it becomes negative, enforcing the requirement to make aprofit or get off the bus. I'm not certain, but I think it's working, justnot very profitable in the context I tried it:.Here's the code:----------------bars_since_buy = NZ(BarsSince(buy), BarCount);bars_since_short = NZ(BarsSince(short), BarCount);bars_since_entry = IIf(bars_since_buy < bars_since_short, bars_since_buy,bars_since_short);stoploss_rise =
Optimize("stoploss rise", .5, .1, 1, .1);stoploss = 13 - (stoploss_rise * bars_since_entry);ApplyStop(stopTypeLoss, stopModePercent, stoploss, false, true, 0);----------------Anyone see any problems with the implementation? Any other ideas foravoiding sitting in stagnant positions?DaveSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx-----------------------------------------Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
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