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Dear Tomasz,
the "maximum amount of thanks" for your help !!!!!
I will try to follow your explanation.
I tried to contact you via email several times,
but never received an answer. Might it be, that there
is something wrong with your email client or are you
"just" too busy ?
Thanks again for your very apreciated help !!
Kindest regards
Robert
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Rocou,
>
> The "PREV" has been covered many times in the past.
> It is easy to find in the mailing list archive
> http://www.amibroker.com/listarchive.html
>
> Take a look at:
> http://groups.yahoo.com/group/amibroker/message/45225
>
> http://groups.yahoo.com/group/amibroker/message/4507
> http://groups.yahoo.com/group/amibroker/message/11896
> http://groups.yahoo.com/group/amibroker/message/31088
>
> Some of formulas using PREV may be rewritten using AMA/AMA2
> but ALL (I mean *ALL*) of them can be rewritten using looping
> (see http://groups.yahoo.com/group/amibroker/message/45225 )
>
> Specifically your "problem" code:
> 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)))));
>
> can be rewritten using loop too.
>
> First step is to "UNFOLD" ugly written code to the form that is
easier to read and understand:
>
> 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) ) ) ) );
>
>
> Now this can be rewritten using for loop:
>
> SetBarsRequired( 10000, 0 );
>
> nPips = 0.004; // define your own value here
> PREV = TrStopLevel = C[ 0 ]; // init first element
>
> for( i = 1; i < BarCount; i++ )
> {
> CurC = C[ i ]; // current value of close
> PrevC = C[ i - 1 ]; // previous bar value of close
>
> CurTrStopLevel =
> IIf( CurC == PREV, PREV,
> IIf( ( (PrevC < PREV) AND (CurC < PREV) ),
> Min( PREV, CurC * ( 1 + nPips) ),
> IIf( ( PrevC > PREV) AND ( CurC > PREV ),
> Max( PREV, CurC * (1 - nPips ) ),
> IIf( CurC > PREV, CurC * ( 1 - nPips), CurC * ( 1 +
nPips) ) ) ) );
>
> TrStopLevel[ i ] = CurTrStopLevel; // store result
> PREV = CurTrStopLevel; // save previous value for next iteration
> }
>
> Graph0 = TrStopLevel; // just for plotting
>
> What I did ?
> It is fairly simple:
> I have just wrapped the MS code into the for loop, replaced arrays
with scalars
> ( C replaced with CurC = C[ i ] , Ref( C, -1 ) replaced with PrevC
= C[ i - 1 ].
> PREV in my code is a temporary variable that holds previous value
of calculation in the loop .
>
> This way I can keep almost entire code as it was.
>
> Advantage? It runs 100x faster than in Metastock. Try it - run
backtest in MS and in AB and compare times.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "rocou" <rocou@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, April 26, 2004 9:51 PM
> Subject: [amibroker] Dear Traders, this seems to be an absolutely
amazing ...
>
>
> Dear Traders,
>
> this seems to be an absolutely amazing formula
> from my broker CMS. Sorry if I am getting on your nerves again,
> but I really need your help how to EXACTLY translate the formula
> into Amibrokerīs AFL for backtesting.
>
> The trailing stop is based on a certain amount of pips ("nPip")
> that you define , NOT on any kind of ATR/volatility !!
>
> Buy/Sell and Short/Cover signals are generated, if close value
> crosses the TrailingStoppLevel Line. That is the whole story.
> You only have to define the amount of "nPip"īs.
>
> The image shows the 15min chart EURUSD and 15 as the value
> for the nPips parameter.
>
> The image is in folder "Photos" of this group:
>
http://photos.groups.yahoo.com/group/amibroker/vwp?.dir=/&.src=gr&.dnm
> =Trailing+Stop+System.jpg&.view=t&.done=http%
> 3a//photos.groups.yahoo.com/group/amibroker/lst%3f%26.dir=/%
26.src=gr%
> 26.view=t[/img]
>
> I politely ask all of you to help me EXACTLY translating this
> formula into AFL for backtesting/optimizing "nPip" possibilities.
> I guess it would be a great chance for all of us to trade with
> a simple but very effective trading system.
>
> Kindest regards
> Robert
>
> Here again the formula from CMS:
> ___________________________________________________________
> {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 and CloseBuy}
>
> OpenBuy:=
> Up and (eventCount('OpenBuy')= eventCount('CloseBuy'));
> CloseBuy:=
> Down and (eventCount('OpenBuy')>eventCount('CloseBuy'));
>
> {OpenSell and CloseSell}
>
> OpenSell:=
> Down and (eventCount('OpenSell')= eventCount('CloseSell'));
> CloseSell:=
> Up and (eventCount('OpenSell')>eventCount('CloseSell'));
> ___________________________________________________________
>
>
>
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