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Hello Stephane,
thanks for your answer. The definition of "PREV" and "Ref" is:
PREV
The PREV constant allows you to create self-referencing formulas.
A self referencing formula is one that is able to reference
the "previous" period''s value of itself.
Ref
References a previous OR subsequent element in a DATA ARRAY.
A positive PERIOD references "n" periods in the future; a negative
PERIOD references "n" periods ago.
So how could we "translate" these formula from CMS´s
language into AFL ?
The trading system should look like this - we still have
to substitute "PREV" and "Ref" ...
_________________________________________________________________
nPips=Optimize("nPips",1,1,50,1);
TrStopLevel = if(C=PREV, PREV, if(((Ref(C,-1)<PREV)
AND (C<PREV)), Min(PREV,C*(1+nPips)), if((Ref(C,-1)>PREV)
AND (C>PREV), Max(PREV,C*(1-nPips)), if(C>PREV,C*(1-nPips),
C*(1+nPips)))));
Buy = Cross(Close,TrStopLevel);
Sell = Cross(TrStopLevel,Close);
Short = Cross(TrStopLevel,Close);
Cover = Cross(Close,TrStopLevel);
PositionSize = 100000;
_________________________________________________________________
Thanks for your help again in advance
Regards
Robert
--- In amibroker@xxxxxxxxxxxxxxx, "Stephane Carrasset"
<s.carrasset@xxxx> wrote:
> Hello,
>
> I am not sure to have done a correct interpretation of Prev but it
is a begin
>
> Stephane
>
>
>
> TrStop[0]=Null;
>
> nP=0.1;
>
> for(i=1;i<BarCount;i++)
>
> {
>
> if(C[i]==TrStop[i-1])
>
> {
>
> TrStop[i]=TrStop[i-1];
>
> }
>
> else
>
> {
>
> if(C[i-1]<TrStop[i-1] && C[i]<TrStop[i-1])
>
> {
>
> TrStop[i]=Min(TrStop[i-1],C[i]*(1+nP));
>
> }
>
> else
>
> {
>
> if(C[i-1]>TrStop[i-1] && C[i]>TrStop[i-1])
>
> {
>
> TrStop[i]=Max(TrStop[i-1],C[i]*(1-nP));
>
> }
>
> else
>
> {
>
> if(C[i]>TrStop[i-1])
>
> {
>
> TrStop[i]=C[i]*(1-nP);
>
> }
>
> else
>
> {
>
> TrStop[i]=C[i]*(1+nP);
>
> }
>
> }
>
> }
>
> }
>
> }
>
>
>
>
>
> Up= Cross(Close,TrStop);
>
> Down= Cross(TrStop,C);
>
>
>
> /*
>
> if(C=PREV, PREV, if(((Ref(C,-1)<PREV)
>
> AND (C<PREV)), Min(PREV,C*(1+nPips)), if((Ref(C,-1)>PREV)
>
> AND (C>PREV), Max(PREV,C*(1-nPips)), if(C>PREV,C*(1-nPips),C*
>
> (1+nPips)))));
>
> */
>
> Plot(C,"",1,64);
>
> Plot(TrStop,"TrStop",2,1);
>
> PlotShapes(IIf(up,
>
> shapeUpArrow,shapeNone),colorGreen,0,L,-10);
>
> PlotShapes(IIf(down,
>
> shapeDownArrow,shapeNone),colorRed,0,H,-10);
>
> ----- Original Message -----
> From: rocou
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, April 23, 2004 8:47 AM
> Subject: [amibroker] CMS Trailing Stop System in AFL
>
>
> Dear Traders,
>
> may I please ask for your help - how do I have to program the
> following
> "trailing stop system" of my broker CMS in AFL, to
backtest/optimize
> the "n pips" stop values ?
>
> Thank you for your help in advance.
> Kind regards
> Robert
>
>
> {Trailing Stop Loss}
> TrStopLevel:=If(C=PREV, PREV, If(((Ref(C,-1)<PREV)
> AND (C<PREV)), Min(PREV,C*(1+nPips)), If((Ref(C,-1)>PREV)
> AND (C>PREV), Max(PREV,C*(1-nPips)), If(C>PREV,C*(1-nPips),C*
> (1+nPips)))));
>
> {Signal Up and Down}
> Up:= Cross(Close,TrStopLevel);
> Down:= Cross(TrStopLevel,C);
>
> {OpenBuy, CloseBuy, OpenSell, CloseSell}
> OpenBuy:= Up and (eventCount('OpenBuy')= eventCount('CloseBuy'));
> CloseBuy:= Down and (eventCount('OpenBuy')>eventCount
('CloseBuy'));
> OpenSell:= Down and (eventCount('OpenSell')= eventCount
> ('CloseSell'));
> CloseSell:= Up and (eventCount('OpenSell')>eventCount
('CloseSell'));
>
>
>
>
>
>
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