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Stephane:
What is it about ApplyStop function you don't like ApplyStop?
----- Original Message -----
From: "Stephane Carrasset" <s.carrasset@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, March 31, 2004 10:51 AM
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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