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Included with this message is my code for application of parabolic stop
exits and profit target limit exits. This version is a lot more complex
than the version I posted on December 14, 2003. This version handles both
long and short trades. The comment section at the beginning of the code
gives the details.
I have examined "scans", "explorations" and "trade lists" for many tickers
and believe that all the code is consistent. If any of you find any errors,
please let me know as soon as possible so I can correct them.
There are many ways to set the initial conditions for the parabolic stop.
In this version, I set it a multiple of the three day ATR away from the
entry. As the trade progresses, the stop moves upward (for a long trade),
creating a floor under the trade.
There are many ways to set up a profit target (limit order) exit. In this
version, I set it at 7% above (for a long trade) the entry. As the trade
progresses, if the closing prices continue to increase, the limit stays at
its initial value. If the closing prices start moving away from the limit
price, the limit moves closer each day. Eventually the stop order and limit
order will converge and force the exit.
Here is a tool to test exits. The code enters based on a moving average
crossover, but also includes "commented out" code for perfect (good)
entries, perfect (bad) entries, and random entries. So you can try out any
pattern or indicator scheme or random with ease.
OK Guys, and Gals. Let's hear about the performance of some of the exits
you have been thinking about. Let me recommend that all posts regarding
this study have "Exit Study" in the subject line.
If anyone has an idea that they cannot get to work, send it on to me and
I'll code it up. I hope there will be lots of public postings, but I will
respect requests for confidentiality.
Thanks,
Howard
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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