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Correct, Ara, plus a semicolon at the end. :-))
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ara Kaloustian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, December 12, 2003 6:09
PM
Subject: Re: [amibroker] exiting flat
positions
Gary,
Seems like you need another bracket in the
equation ... where should it be?
Effiency Index (EI) = (C - ref(C,-x)/ATR(x))
or
Effiency Index (EI) = (C - ref(C,-x))/ATR(x)
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=serkhoshian777@xxxxxxxxx
href="">Gary A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, December 12, 2003 2:24
PM
Subject: Re: [amibroker] exiting flat
positions
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:
<BLOCKQUOTE class=replbq
>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
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