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Hi John, thank you.
The formula should look like this - only the "PREV" function
still needs to be substituted:
________________________________________________________________
nPips=Optimize("nPips",1,1,50,1);
TrStopLevel = IIf(C=PREV, PREV, IIf(((Ref(C,-1)<PREV)
AND (C<PREV)), Min(PREV,C*(1+nPips)), IIf((Ref(C,-1)>PREV)
AND (C>PREV), Max(PREV,C*(1-nPips)), IIf(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;
________________________________________________________________
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.
Anyone any idea ?
The trading system seems soooo simple but is supposed to
be REALLY "cash effective" :-)
Regards
Robert
--- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> Hi rocou,
>
> this may help
>
> Metastock
> AmiBroker
>
> Input("prompt",min,max,default)
> Param("prompt",default,min,max,step)
>
> MOV(?,?,E)
> EMA(?,?)
>
> MOV(?,?,S)
> MA(?,?)
>
> :=
> =
>
> expression
> Plot(expression,....)
>
> {comment}
> // comment
>
> {comment}
> /* comment */
>
> Z =(A*B)+(C*PREV);
> Z = AMA2( A(rray), B, C );
>
> x = FactorA*Close+(FactorB*PREV(x));
> x = AMA2(Close,FactorA,FactorB);
>
>
>
> -john
> ----- Original Message -----
> From: "rocou" <rocou@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, April 23, 2004 12:18 PM
> Subject: [amibroker] Re: CMS Trailing Stop System in AFL
>
>
> 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'));
> >
> >
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
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