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<SPAN
class=542590701-01022004>Yes, this is an exit strategy only. The idea is, once
you enter, if you don't keep making profits, you're gone. Make some simple buy
signal, then call this and plot the Exit line; you'll see what it's
doing.
<SPAN
class=542590701-01022004>
<SPAN
class=542590701-01022004>It was built for EOD data. It might well be useful
intraday too, since the basic principle seems generally sound, but I haven't
looked at that at all.
<SPAN
class=542590701-01022004>
<SPAN
class=542590701-01022004>Dave
<BLOCKQUOTE
>Dave,Thank
you for your contribution....just to clarify...this is just an
Exitstrategy...also, my research is based on EOD data....is that ok for
thisExit strategy ?What I can tell you right now, with the entry ,
exits and stops that are inmy initial testing... initial test seem to
point toexploitable PROFITS...ThanksAnthony-----
Original Message ----- From: "Dave Merrill"To:
<amibroker@xxxxxxxxxxxxxxx>Sent: Saturday, January 31, 2004 3:38
PMSubject: 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, especiallyif>
profitable things happen (:-).>> Here's an exit I've been
playing with. The basic idea is sort of similarto> SAR, but more
Fred Flintstone. Basically, it demands that price go in your> favor by
the requested percentage every bar since entry, otherwise itexits.>
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 whereit> should be, but the exits are still
correct.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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