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This
being my first month in RT i am coming accross some questions that may be so
obvious that they are not answered anywhere,.like:
1) is
the ApplyStop() intended to be used in RT? If so, do the EOD arguments still
hold in an RT environment?
2) is
SetTradeDelays() intended to be used in RT?<SPAN
class=078045615-31032004> If so, are
the Delays now in RT bars or do they still reference EOD
bars?
3)
What other functions are there that make no sense in RT and should not be used
there?
<FONT face=Arial color=#0000ff
size=2>
I am
using some very simple systems to test things out practically and
may have to write my own stop-code to be sure it works as
intended. <FONT face=Arial
color=#0000ff size=2>This is no problem, but why do it the hard way if there is
an easier way?
<FONT face=Arial color=#0000ff
size=2>
This
is one of the burdens of translating EOD systems to RT, I suppose I'll
have to work through the entire code line by line :-)
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Thanks,
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: Stephane Carrasset
[mailto:s.carrasset@xxxxxxxxxxx]Sent: Wednesday, March 31, 2004
10:51 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Re: ApplyStop() in RTHermann,if I
understand you, the applystops are not executed with minutes Bars.Hum?
I don't like applystop except for backtesting futures ( the amount of
stops in point is easy to write).I copy a winning system on the
S&P ( winning on the paper,and backtest from 02/01 to 09/03), and the
applystop are executed correctly. I don't trade the S&P
future.the settings are commission: 5/contractsfuture mode :
checkactive stop immediately:checkallow same bar
exit:checkstephane//Title="AAZ long
Applystop";Tradezone = (TimeNum() >= 200500 AND TimeNum() <
214000);Horaire = (TimeNum() >= 163000 AND TimeNum() <
200500);PicHoraire= Hold(Horaire==0,2) AND Horaire;Hiday=
HHV(H,BarsSince(pichoraire)); LoDay= LLV(L,BarsSince(pichoraire));
Hiday= HHV(H,BarsSince(pichoraire)); LoDay=
LLV(L,BarsSince(pichoraire));Buystop=Ref(Hiday +
1.5,-1);Plot(Buystop,"",colorGreen,1);Sellstop=Ref(LoDay -
1.5,-1);Plot(Sellstop,"",colorGreen,1);Buy = H>=Buystop AND
Tradezone;Buy=Hold(Buy==0,2) AND Buy AND Tradezone ;Stoploss= 16
;Trailstop= 32 ; //O-63;Target= 20;Sell= TimeNum()
>220500;BuyPrice=Buystop;ApplyStop (stopTypeProfit,
stopModePoint, Target ,exitatstop=True,volatile=False,ReEntryDelay=1)
;ApplyStop (stopTypeLoss, stopModePoint, StopLoss,
exitatstop=True,volatile=False,ReEntryDelay=1) ; ApplyStop
(stopTypeTrailing, stopModePoint, Trailstop,
exitatstop=True,volatile=False,reentrydelay=1) ;/* le mode de
calcul du trailing est # de Rem.dll il est fonction de highest H -
valuewhen(Buy,value point)*/
Equity(1,0);Plot(Close,"close",IIf( Buy, colorGreen, IIf(Sell
, colorRed ,1
)),64);Plot(ValueWhen(Buy,BuyPrice),"BuyPrice",colorWhite,1);Plot(ValueWhen(Sell,SellPrice),"SellPrice",colorYellow,1);PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,C,-20);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,H,-20);Plot(ValueWhen(Buy,BuyPrice-StopLoss),"StopLoss",colorRed,1);Plot(HighestSince(Buy,
H -
ValueWhen(Buy,TrailStop)),"Trailing",colorGreen,1);Plot(ValueWhen(Buy,BuyPrice+Target),"Target",colorBlue,1);GraphXSpace=1;Title="AAZ
short Applystop";Sellstop=Ref(LoDay - 1.5,-1);
Plot(Sellstop,"",colorGreen,1);Short = L<=Sellstop AND
Tradezone;Short=Hold(Short==0,2) AND Short AND Tradezone
;Stoploss= 16 ;Trailstop= 32 ; //O-63;Target=
20;Cover= TimeNum()
>220500;ShortPrice=SellStop;ApplyStop (stopTypeProfit,
stopModePoint, Target ,exitatstop=True,volatile=False,ReEntryDelay=1)
;ApplyStop (stopTypeLoss, stopModePoint, StopLoss,
exitatstop=True,volatile=False,ReEntryDelay=1) ;ApplyStop
(stopTypeTrailing, stopModePoint, Trailstop,
exitatstop=True,volatile=False,reentrydelay=1)
;Equity(1,0);Plot(Close,"Close",IIf( Short, colorGreen,
IIf(Cover , colorRed ,1
)),64);Plot(ValueWhen(Short,ShortPrice),"ShortPrice",colorWhite,1);Plot(ValueWhen(Cover,CoverPrice),"CoverPrice",colorYellow,1);PlotShapes(IIf(Short,shapeDownArrow,shapeNone),colorBlue,0,C,-10);
PlotShapes(IIf(Cover,shapeUpArrow,shapeNone),colorYellow,0,C,-10);Plot(ValueWhen(Short,ShortPrice+StopLoss),"StopLoss",colorRed,1);Plot(LowestSince(Short,
L +
ValueWhen(Short,TrailStop)),"Trailing",colorGreen,1);Plot(ValueWhen(Short,ShortPrice-Target),"Target",colorBlue,1);GraphXSpace=1;SetOption("InitialEquity",
20000 );MarginDeposit = 1500;RoundLotSize = 1;PointValue =
50;NumContracts = 100;PositionSize = Min((NumContracts *
MarginDeposit),Equity());<psytek@xxxx>
wrote:> hello stephane,> > my entries are at the open,
the signal last only one minute (093000-093100)> my exits are
supposed to be real time and are independent from the entries.> I
used> > SetOption("AllowSameBarExit",True);>
SetOption("ActivateStopsImmediately",True);> > My exitprices in
settings are set to Open (should be irrelevant) however the> exit
time for my Stops show as 16:00 (Close). No idea what i am doing>
wring....> > TIA for any help you can give,>
herman.> > > -----Original
Message-----> From: Stephane Carrasset
[mailto:s.carrasset@xxxx]> Sent: Wednesday, March 31, 2004
6:13 AM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: Re: [amibroker] ApplyStop() in RT> Importance:
High> > > Herman,>
> I don't understand, do you mean you can't use applystop
in real time data.> because applystop works well in
backtesting futures on already known> minutes bar.>
> stephane> ----- Original
Message -----> From: Herman van den
Bergen> To: AmiBroker
YahooGroups> Sent: Wednesday, March 31, 2004
4:08 AM> Subject: [amibroker] ApplyStop() in
RT> > > Can somebody tell me if i
can use the ApplyStop() in RT minute data?>
> When i inspect the trade list i notice that
all stops take place at> 09:31:00 (This system trades at the Open)
and i cannot seem to find a way to> make them exit at any other
times. My entry signals are at the Open... but> what do i have to
do to see my Stops take places at various times during the> day? Is
anybody getting stops at different times during the day?>
> btw, the help does not mention RT wrt the
ApplyStop... I backtest using> minutes, have stops set to exit
immediately, same day exits allowed.> >
TIA for any help you can give.> herman.>
> > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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