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Herman & daniel
attached is the afl code for a trailing stop initialized on a profit.
it was a c++ code, but now with the loops in afl it is not difficult to
translate it in afl.
only for long side. I was lazy to translate the short side this morning.
the code includes a stoploss ( in case you never reach the profit ^_^ ...).
stephane
----- Original Message -----
From: "danielwardadams" <danielwardadams@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, April 09, 2004 7:41 PM
Subject: [amibroker] Re: Real-Time Trading System Examples
> Stephane,
> I'd be interested in your script.
>
> TIA
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Stephane Carrasset"
> <s.carrasset@xxxx> wrote:
> > Hermann,
> >
> > I have never used EOD indicators with intradays trading system.
> > But, I see now your problem...
> > I put in the same workspace EOD and intradays datas
> > go to file/database settings and set base time interval to 1 minute.
> >
> > and compare the values of simple moving average of an EOD ticker
> > price=Foreign("999150","C");
> > Plot(MA(price,20),"",colorRed,styleLine);
> > Plot(MA(price,5),"",colorGreen,styleLine);
> >
> > on an intraday ticker.
> > the Chart returns very strange values...
> >
> >
> > For your trailing stop, activated only when a profit is reached, I
> > have a script that i can send to you
> >
> > stephane
> >
> >
> >
> >
> >
> >
> >
> > <psytek@xxxx> wrote:
> > > [d]Or are you trying to take an EOD system and trying to make
> your
> > system
> > > "more granular" and pick the same patterns in intraday data?
> > >
> > > I am mainly trying to improve Entries and Exits, i am not looking
> > for
> > > patterns. The systems work fine in EOD but I observed on the RT
> > charts that
> > > i often miss locking in some really nice profits that fade before
> I
> > exit. So
> > > i want to code in Trailing stops that activate at a certain
> profit
> > and than
> > > exit when the price drops back a bit. For example, if my profits
> > reaches 2%
> > > during the first two hours of the trade, then i want to activate
> a
> > Stop and
> > > exit when my profits drop back to 1.5%. ApplyStops cannot be used
> > in very
> > > short-term (1-3 days) trading because on the day of exit it is
> > unknown which
> > > came first, the High or the Low, or with profit stops, how many
> > dips there
> > > were during the day that would have terminated the trade. RT data
> > is needed
> > > to develop proper stops. limits, etc. with the short trades i use.
> > >
> > > If i trade 1-3 times a week and i might be able to reduce my
> > exposure by 50%
> > > if I managed to get out based on profits instead of timing. I
> would
> > prefer
> > > overall less profits if it came with less exposure. Also, the
> > strength of
> > > signals fades pretty fast... have you ever tested your n-Bar
> > profits? i.e.
> > > profits made on the 1st, 2nd and 3rd day? You can vary the entry
> > delay and
> > > use n-Bar stops to limit the trade duration, that way you
> > can "isolated"
> > > single days (profits) of your trade. For me, typical profit
> > distributions
> > > might be 65% 25% 10% for a system with an average of 3-bar
> trades.
> > So the
> > > first day obviously has the greatest profit potential at the
> least
> > exposure.
> > > IMHO, short term signals have a limited life-time: after a
> certain
> > number of
> > > days you are just hoping to get lucky :-) knowing your n-Bar
> > profits may
> > > help you decide whether it is worth it (risk) to stay in a trade
> or
> > not.
> > >
> > > [d] IMHO you are in un-charted waters as far as AB goes.
> > >
> > > We got some smart cookies on this list, I just can't believe that
> > nobody is
> > > working on this; it appears the obvious way to keep your EOD
> system
> > working
> > > now that RT trading is catching on. So I hope you are wrong on
> this
> > one :-)
> > >
> > > h
> > > -----Original Message-----
> > > From: dingo [mailto:dingo@x...]
> > > Sent: Friday, April 09, 2004 11:21 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: RE: [amibroker] Real-Time Trading System Examples
> > > Importance: High
> > >
> > >
> > > IMHO you are in un-charted waters as far as AB goes.
> > >
> > > Are you trying to come up with a system to do backtesting with
> or
> > one to
> > > monitor trades / manage stops for real-time trading? Or are you
> > trying to
> > > take an EOD system and trying to make your system "more granular"
> > and pick
> > > the same patterns in intraday data?
> > >
> > > d
> > >
> > >
> > > ------------------------------------------------------------------
> --
> > --------
> > > From: Herman van den Bergen [mailto:psytek@x...]
> > > Sent: Friday, April 09, 2004 11:14 AM
> > > To: AmiBroker YahooGroups
> > > Subject: [amibroker] Real-Time Trading System Examples
> > >
> > >
> > > Would anybody have some example code for Real Time trading
> > systems? I
> > > have considerable trouble converting EOD systems to RT data -
> tried
> > too many
> > > ways to mention but always hit a snag at some advanced point. My
> > problem
> > > areas are:
> > >
> > > 1) Converting or duplicating EOD signals to RT, I need this
> > because EOD
> > > data prices are more accurate than those I get from RT sources.
> > > 2) Running the basic EOD system in RT, i.e. reproduce EOD
> > signals in RT.
> > > I want this as a verification stage before trying to enhance the
> > system with
> > > RT data
> > > 3) Custom coding Profit targets, Limit Prices and Stops.
> > > 4) Optimizing entry points by using Pre/after hours trading
> > and/or using
> > > delayed/early entries and exits.
> > > 5) Showing EOD Arrows (derived from EOD data, not from RT
> data)
> > on my
> > > minute charts.
> > >
> > > If anybody has example code or reference URLs to share that
> > would be
> > > much appreciated.
> > >
> > > Also, i am beginning to wonder how many subscribers, if any,
> > have
> > > actually solved the above problems. If you have done so perhaps
> you
> > can
> > > share this simple fact (no code needed), knowing that it has been
> > done
> > > successfully is a great motivator :-)
> > >
> > > TIA and best regards,
> > > herman.
> > >
> > >
> > >
> > >
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