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Thanks for all of your help - I will try to substitute PREV
with AMA function.
Kind regards
Robert
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Robert,
>
> 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..
>
> Here is an example of the Laguerre RSI in MS using prev..
>
> 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
>
> g=0.5;
>
> L0=AMA2((1-g)*C,1,g);
> L1=AMA2((-g*L0) +Ref( L0,-1),1,g);
> L2=AMA2((-g*L1) +Ref( L1,-1),1,g);
> L3=AMA2((-g*L2) +Ref( L2,-1),1,g);
> cu= IIf(L0>L1, L0-L1,0) +IIf(L1>L2, L1-L2,0) + IIf(L2>L3, L2-L3,0);
> cd= IIf(L0<L1, L1-L0,0) + IIf(L1<L2, L2-L1,0) + IIf(L2<L3, L3-L2,0);
> temp= IIf(cu+cd==0, -1,cu+cd);
> x=IIf(temp== -1,0,cu/temp);
>
> and finally the code in AFL using loops.....
>
>
> g=0.5;
> L0[0]=0;//initialize values to zero
> L1[0]=0;
> L2[0]=0;
> L3[0]=0;
>
> for( i=1;i<BarCount;i++) //loop through all bars
> {
> L0[i]= (1-g)*Close[i] + (g*L0[i-1]);
> L1[i]= -g*L0[i] + L0[i-1] + (g*L1[i-1]);
> L2[i]= -g*L1[i] + L1[i-1] + (g*L2[i-1]);
> L3[i]= -g*L2[i] + L2[i-1] + (g*L3[i-1]);
> }
>
> cu= IIf(L0>L1, L0-L1,0) +IIf(L1>L2, L1-L2,0) + IIf(L2>L3, L2-L3,0);
> cd= IIf(L0<L1, L1-L0,0) + IIf(L1<L2, L2-L1,0) + IIf(L2<L3, L3-L2,0);
> temp= IIf(cu+cd==0, -1,cu+cd);
> x=IIf(temp==-1,0,cu/temp);
>
> Plot(x,"",4);
>
>
>
> Regards,
>
> Jayson
>
> -----Original Message-----
> From: rocou [mailto:rocou@x...]
> Sent: Friday, April 23, 2004 3:18 PM
> To: amibroker@xxxxxxxxxxxxxxx
> 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'));
> >
> >
> >
> >
> >
> >
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