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<FONT face=Arial color=#0000ff
size=2>Robert,
<FONT face=Arial color=#0000ff
size=2>
You
might want to have a look at AMA and AMA2 functions. the other solution is to
reference the previous value via loops...You will find that AMA saves you a lot
of coding..
<FONT face=Arial color=#0000ff
size=2>
Here
is an example of the Laguerre RSI in MS using prev..
<FONT face=Arial color=#0000ff
size=2>
g:=0.5;L0:=((1-g)*C) + (g*PREV);L1:=(-g*L0) + Ref(L0,-1) +
(g*PREV);L2:=(-g*L1) + Ref(L1,-1) + (g*PREV);L3:=(-g*L2) + Ref(L2,-1) +
(g*PREV);
cu:= If(L0>L1, L0-L1,0) + If(L1>L2, L1-L2,0) + If(L2>L3,
L2-L3,0);cd:= If(L0<L1, L1-L0,0) + If(L1<L2, L2-L1,0) + If(L2<L3,
L3-L2,0);
temp:= If(cu+cd=0, -1,cu+cd);If(temp=-1,0,cu/temp)
And the
same indicator in AFL using AMA2<SPAN
class=628112521-23042004>
g=<FONT face=Arial
color=#0000ff size=2>0.5<FONT face=Arial
color=#0000ff>;
L0=<FONT
color=#0000ff>AMA2((<FONT
size=2>1-g)*<FONT
size=2>C<FONT
size=2>,1<FONT color=#282828
size=2>,g);
L1=<FONT
color=#0000ff>AMA2((-g*L0) +<FONT
size=2>Ref( L0,-1<FONT
size=2>),1<FONT color=#282828
size=2>,g);
L2=<FONT
color=#0000ff>AMA2((-g*L1) +<FONT
size=2>Ref( L1,-1<FONT
size=2>),1<FONT color=#282828
size=2>,g);
L3=<FONT
color=#0000ff>AMA2((-g*L2) +<FONT
size=2>Ref( L2,-1<FONT
size=2>),1<FONT color=#282828
size=2>,g);
cu= <FONT
color=#0000ff>IIf(L0>L1, L0-L1,<FONT
size=2>0) +IIf<FONT
size=2>(L1>L2, L1-L2,0) +
IIf(L2>L3, L2-L3,<FONT
size=2>0<FONT face=Arial
color=#0000ff>);
cd= <FONT
color=#0000ff>IIf(L0<L1, L1-L0,<FONT
size=2>0) + IIf<FONT
size=2>(L1<L2, L2-L1,0) +
IIf(L2<L3, L3-L2,<FONT
size=2>0<FONT face=Arial
color=#0000ff>);
temp= <FONT
color=#0000ff>IIf(cu+cd==<FONT
size=2>0, -1<FONT
color=#282828 size=2>,cu+cd);
x=<FONT
color=#0000ff>IIf(temp== -<FONT
size=2>1,0<FONT
color=#282828 size=2><FONT face=Arial
color=#0000ff>,cu/temp);
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff size=2>and finally the code in AFL using
loops.....
<FONT face=Arial
color=#0000ff size=2>
<FONT color=#282828
size=2>
g=<FONT face=Arial
color=#0000ff size=2>0.5<FONT face=Arial
color=#0000ff>;
L0[<FONT
color=#0000ff>0]=<FONT
size=2>0;<FONT color=#008000
size=2>//initialize values to
zero
L1[<FONT
color=#0000ff>0]=<FONT
size=2>0<FONT face=Arial
color=#0000ff>;
L2[<FONT
color=#0000ff>0]=<FONT
size=2>0<FONT face=Arial
color=#0000ff>;
L3[<FONT
color=#0000ff>0]=<FONT
size=2>0<FONT face=Arial
color=#0000ff>;
for<FONT
color=#0000ff>( i=1<FONT
size=2>;i<BarCount;i++)
<FONT face=Arial
color=#0000ff>//loop through all bars<FONT color=#282828
size=2>
{
L0[i]= (<FONT
color=#0000ff>1-g)*<FONT
size=2>Close<FONT
size=2>[i] + (g*L0[i-1<FONT
color=#282828 size=2>]);
L1[i]= -g*L0[i] + L0[i-<FONT
face=Arial>1] +
(g*L1[i-1<FONT color=#282828
size=2>]);
L2[i]= -g*L1[i] + L1[i-<FONT
face=Arial>1] +
(g*L2[i-1<FONT color=#282828
size=2>]);
L3[i]= -g*L2[i] + L2[i-<FONT
face=Arial>1] +
(g*L3[i-1<FONT color=#282828
size=2>]);
}
cu= <FONT
color=#0000ff>IIf(L0>L1, L0-L1,<FONT
size=2>0) +IIf<FONT
size=2>(L1>L2, L1-L2,0) +
IIf(L2>L3, L2-L3,<FONT
size=2>0<FONT face=Arial
color=#0000ff>);
cd= <FONT
color=#0000ff>IIf(L0<L1, L1-L0,<FONT
size=2>0) + IIf<FONT
size=2>(L1<L2, L2-L1,0) +
IIf(L2<L3, L3-L2,<FONT
size=2>0<FONT face=Arial
color=#0000ff>);
temp= <FONT
color=#0000ff>IIf(cu+cd==<FONT
size=2>0, -1<FONT
color=#282828 size=2>,cu+cd);
x=<FONT
color=#0000ff>IIf(temp==-<FONT
size=2>1,0<FONT
color=#282828 size=2>,cu/temp);
Plot<FONT color=#282828
size=2>(x,""<FONT color=#282828
size=2>,4<FONT color=#282828
size=2>);
<FONT
color=#0000ff>
Regards,Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: rocou
[mailto:rocou@xxxxxxxxx]Sent: Friday, April 23, 2004 3:18
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
CMS Trailing Stop System in AFLHello Stephane,
thanks for your answer. The definition of "PREV" and "Ref"
is:PREVThe 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.RefReferences 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
advanceRegardsRobert--- 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> Send SUGGESTIONS to
suggest@xxxx>
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