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Graham,
It's not quite that simple. Because I am using the last buy price
in the calculation of the sell signals, I must calculate the last
buy price right when I calculate the buy signals. The problem is I
cannot reference the SELL variable, because it is undefined until I
calculate the sell signals. So...I cannot use exrem(buy,sell) to
remove the redundant buy signals prior to calculating the last buy
price (because SELL is not defined at that point).
I've got a circular problem. If I was using a normal programming
language, it would be no problem. I would just define the arrays at
the top of the program and remove any redundant signals after any
Buy/Sell calculation. This AFL is tricker because it forces you to
do everything like a spreadsheet - in a single pass. I love the
speed, but this is tricky.
Still stuck....
- Kevin
--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> Kevin
> You can use exrem(buy,sell) to remove the excess buy signals.
Check the help
> files for details.
>
> Cheers,
> Graham
> http://groups.msn.com/asxsharetrading
> http://groups.msn.com/fmsaustralia
>
> -----Original Message-----
> From: kmckiou [mailto:kmckiou@x...]
> Sent: Monday, 29 December 2003 1:13 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] How to reference LastBuyPrice - arg!
>
>
> This seems like such a reasonable thing to do, but I have not been
> able to figure how to do it....
>
> How do you reference the last BuyPrice in AFL?
>
> I used
>
> Buy = myBuyCondition*myBuyFilter; lastbuyprice=ValueWhen(Ref(Buy, -
1)==True,
> BuyPrice, 1);
>
> but the value is updated everytime there is a redundant Buy
signal.
> The back tester filters the extra Buy signals just fine.
>
> Also, when I put Equity(1) in from of the plot commands, the extra
> buy signals are filtered.
>
> I tried putting Equity(1) just after the Buy assignment like this
>
> Buy = myBuyCondition*myBuyFilter;
> Equity(1);
> lastbuyprice=ValueWhen(Ref(Buy, -1)==True, BuyPrice, 1);
>
> but it seemed to really mess up the signals.
>
> I'm stuck. How do I reference the last BuyPrice where a non-
redundant Buy
> signal occured.
>
> A complete code listing is attached if you want context.
>
> Thanks,
>
> - Kevin
>
> ---------------------Pull back Buyer-----------------
>
>
> //------------------Initialization of variables--------------------
--
> --
> SetOption("InitialEquity", 100000 );
> SetTradeDelays(1,1,1,1);
> RoundLotSize = 1;
>
> posqty = 5; //Optimize("PosQty", 5, 1, 20, 1 );
> SetOption("MaxOpenPositions", posqty);
>
> // desired position size is 100% portfolio equity
> // divided by PosQty positions
>
> PositionSize = -100/posqty;
>
> //----------------------End Initialization-------------------------
-
> //----------------------Start Parameters---------------------------
-
>
> F1=30; //Optimize("F1", 20, 20, 30, 1); //22, 30
> F2=50; //Optimize("F2", 50, 50, 80, 2); //62, 50
>
> LLParam=6; //Optimize("LLParam", 10, 5, 20, 1); //7, 10, 7, 6
>
> SMA=60; //Optimize("Sell MA", 60, 30, 80, 5);//50, 35, 60 BMA=30;
> //Optimize("Buy MA", 30, 20, 50, 2);//35, 30
>
> //maximum risk percentage of buyprice
>
> maxRisk = 30; // Optimize("Risk %", 30, 25, 50, 1); //25, 30
>
> //Keep at least Minprofit fraction of profits after you reach
> profitTarget
>
> tp = 21; //Optimize("tp", 15, 21, 30, 1); //15, 15, 10, 22
targetProfit =
> tp/100;
>
> kp = 70; //Optimize("kp", 70, 65, 80, 1); //50 ,70, 70, 70
keepProfit =
> kp/100;
>
> BuyMA=MA(Close, BMA);
>
> SellMA=MA(Close, SMA);
>
> //----------------------End Parameters-----------------------------
-
> //----------------------Begin Filters------------------------------
--
>
> //Must be in an uptrend and below the Buy MA
>
> BF1=MA(Close,F1)>MA(Close,F2) AND Close < BuyMA;
>
> //BF2=MA(Close,F1)>MA(Close,F2)>MA(Close, F3);
>
>
> //----------------------End Filters-----------------------------
> //-------------------Begin Buy Rules----------------------------
>
>
> //Buy if equal to or lower than the most recent LLParam day low
>
> BC1 = Close<=LLV(Close, LLParam);
>
> //BC2 = Cross(Close, BuyMA); //only executed if a quick excursion
> below BuyMA
>
> Buy = (BF1 * BC1); // OR (BF2 * BC2);
>
> //SellPrice is updated on every bar. It is not the value when you
> last sold.
> Highval=HighestSince(Buy==True, SellPrice, 1);
>
> //BuyPrice is updated on every bar. It is not the value when you
> last bought.
> mybuyprice=ValueWhen(Ref(Buy, -1)==True, BuyPrice, 1);
>
>
> //---------------------------End Buy Rules---------------------
>
> //-------------------------Begin Sell Rules------------------
>
> //Sell if price crosses above Sell MA
>
> SR1 = Cross(Close, SellMA);
>
> //Sell if price crosses below the maxrisk
>
> SR2 = Cross(myBuyPrice*(1-maxrisk/100), Close);
>
> //Don't let a profit evaporate. Set Sell Triggers (ST)
>
> ST1 = IIf((Close/myBuyPrice) >=(1+targetProfit), True, False); ST2
=
> IIf(Highval>Close>myBuyPrice,((Close-myBuyPrice)/(Highval-
> myBuyPrice)) <= keepProfit, False);
> SR3 = ST1 * ST2;
>
> Sell = SR1 OR SR2 OR SR3;
>
> Short=Cover=False;
>
> //-------------------------End Sell Rules--------------------
>
> //-----------------Start Alerts-----------------------
> /*
> AlertIf( Buy, "", "Buy Alert "+FullName(), 1 );
> AlertIf( Sell, "", "Sell Alert "+FullName(), 2 );
> */
> //------------------End Alerts-----------------------
>
> //-----------------Start Plots----------------------
> Equity(1); //eliminate any redundant buy or sell signals
>
> BuyRef=Ref(Buy, -1);
> SellRef=Ref(Sell, -1);
>
> Plot(Highval, "Highval", colorBlue, styleLine); Plot(myBuyPrice,
> "myBuyprice", colorRed, styleLine); Plot(BuyPrice, "buyprice",
colorOrange,
> styleLine); Plot(Close, "close", colorBlack, styleCandle); Plot
(BuyMA,
> "BuyMA", colorBlue, styleLine); Plot(SellMA, "SellMA", colorOrange,
> styleLine); shape0 = BuyRef * shapeUpArrow + SellRef *
shapeDownArrow;
> PlotShapes( shape0, IIf( BuyRef, colorGreen, colorRed ), 0, IIf(
> BuyRef, Low, High ) );
> shape1 = SellRef * Ref(SR1, -1) * shapeDigit1;
> PlotShapes( shape1, colorBlack, 0, Low, -24 );
> shape2 = SellRef* Ref(SR2, -1) * shapeDigit2;
> PlotShapes( shape2, colorBlack, 0, Low, -36 );
> shape3 = SellRef* Ref(SR3, -1) * shapeDigit3;
> PlotShapes( shape3, colorBlack, 0, Low, -48 );
>
> GraphXSpace = 5;
>
>
> //-----------------End Plots-------------
>
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
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