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Re: [amibroker] Can you identify this formula?



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I think that I don't understand what you mean, because once you have 
set the periodicity to 1 minute in the settings
applystop works correctly in minutes bars basis

stephane


<psytek@xxxx> wrote:
> 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? 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?
> 
> 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. 
This is no
> problem, but why do it the hard way if there is an easier way?
> 
> 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 :-)
> 
> Thanks,
> herman.
>   -----Original Message-----
>   From: Stephane Carrasset [mailto:s.carrasset@x...]
>   Sent: Wednesday, March 31, 2004 10:51 AM
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: [amibroker] Re: ApplyStop() in RT
> 
> 
>   Hermann,
> 
>   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/contracts
>   future mode : check
>   active stop immediately:check
>   allow same bar exit:check
> 
>   stephane
> 
> 
> 
> 
>   //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@x...]
>   >   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.
>   >
>   >
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