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Dave,
Thank you for your contribution....just to clarify...this is just an Exit
strategy...also, my research is based on EOD data....is that ok for this
Exit strategy ?
What I can tell you right now, with the entry , exits and stops that are in
my initial testing... initial test seem to point to
exploitable PROFITS...
Thanks
Anthony
----- 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.
>
>
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