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Anthony:
Here's a max stoploss exit I borrowed from Chuck LeBeau recently.
Stop1=Optimize("Stop1",2,1,5,0.2);
Stop2=Optimize("Stop2",2,1,5,0.2);
Stop=Max(Stop1*ATR(3),Stop2*ATR(18));
ApplyStop(0,2,Stop,True,False);
You always use the higher of the 2 stops to get you out of trouble, the
premise being that in times of increasing volatility, the stop is relaxed
somewhat so that excessive noise doesn't get you out prematurely. The
coefficients, Stop1 and Stop2, should be optimizable. As for the trailing
stop to get you out with a profit, try Howard Bandy's recent post where he
used the PSAR that initializes whereever you want it. Have fun, and please
report back your final results.
Al Venosa
----- Original Message -----
From: "Dave Merrill" <dmerrill@xxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, January 31, 2004 3:38 PM
Subject: RE: [amibroker] Entry's , exits , stops
> > I am in the process of ( doing / performing )
> > research on a Trading Theory. Initial results prove promising.
> >
> > I am not asking for complete trading systems.... but would
> > like anyone in the group who would like to contribute...their :
> > Entry's
> > Exits
> > Stops ( applystops in afl )
> >
> > Thank you in Advance
> > Anthony
>
> Surprised nobody's chimed in here yet, unless they're doing so in private.
> I'm not sure what your actual project is, but keep us posted, especially
if
> profitable things happen (:-).
>
> Here's an exit I've been playing with. The basic idea is sort of similar
to
> SAR, but more Fred Flintstone. Basically, it demands that price go in your
> favor by the requested percentage every bar since entry, otherwise it
exits.
> InitialLongExit and InitialShortExit set how much slop to start with,
> typically some percentage or ATR multiple off entry price.
>
> Hope this is useful, to you or to someone. Comments, corrections, or other
> ideas are of course welcome.
>
> Dave
>
>
> Here's the actual code; example calling code and notes follow:
>
> ------------------
> function fExitExponential(Price, InitialLongExit, InitialShortExit,
LongPct,
> ShortPct, BuyDelay, ShortDelay) {
> LastDir = 0;
> LongFactor = 1 + (LongPct / 100);
> ShortFactor = 1 - (ShortPct / 100);
> ex = Null;
> BuyDelayed = Ref(Buy, -BuyDelay);
> ShortDelayed = Ref(Short, -ShortDelay);
> for(i = 0; i <= BarCount - 1; i++) {
> if(BuyDelayed[i] AND (LastDir != 1)) {
> LastDir = 1;
> ex[i] = InitialLongExit[i];
> } else if(ShortDelayed[i] AND (LastDir != -1)) {
> LastDir = -1;
> ex[i] = InitialShortExit[i];
> } else if(LastDir == 1) {
> ex[i] = ex[i - 1] * LongFactor;
> if(Price[i] < ex[i]) {
> LastDir = 0;
> }
> } else if(LastDir == -1) {
> ex[i] = ex[i - 1] * ShortFactor;
> if(Price[i] > ex[i]) {
> LastDir = 0;
> }
> }
> }
> return ex;
> }
> ------------------
>
> Here's an example of how it'd typically be set up and called:
>
> InitialSlop = ATR(10) * 2;
> Price = O; // for trading at Open
> PctChange = 1.5;
> BuyDelay = Status("BuyDelay");
> SellDelay = Status("SellDelay");
> Exit = fExitExponential(Price, Price - InitialSlop, Price + InitialSlop,
> PctChange, PctChange, BuyDelay, ShortDelay);
> Sell = Cross(Exit, Price);
> Cover = Cross(Price, Exit);
>
> NOTES:
>
> - Since this works off Buy and Sell signals, you need to generate them
> first, then call it.
>
> - The exit signal is null when you're out of the market. As it stands, if
> there's a entry signal on the same day as an exit, it won't be null where
it
> should be, but the exits are still correct.
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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