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snif...
it plots exactly what I have sent to
you
TrStop[0<FONT
size=1>]=Null;
nP = 0.004;
// define your own value here <FONT
size=1>
for(i=1<FONT
size=1>;i<BarCount;i++)
{
if<FONT
size=1>(C[i]==TrStop[i-1<FONT
size=1>])
{
TrStop[i]=TrStop[i-1<FONT
size=1>];
}
else
{
if<FONT
size=1>(C[i-1<FONT
size=1>]<TrStop[i-1]
&& C[i]<TrStop[i-<FONT color=#ff00ff
size=1>1])
{
TrStop[i]=Min<FONT
size=1>(TrStop[i-1<FONT
size=1>],C[i]*(1<FONT
size=1>+nP));
}
else
{
if<FONT
size=1>(C[i-1<FONT
size=1>]>TrStop[i-1]
&& C[i]>TrStop[i-<FONT color=#ff00ff
size=1>1])
{
TrStop[i]=Max<FONT
size=1>(TrStop[i-1<FONT
size=1>],C[i]*(1<FONT
size=1>-nP));
}
else
{
if<FONT
size=1>(C[i]>TrStop[i-1<FONT
size=1>])
{
TrStop[i]=C[i]*(1<FONT
size=1>-nP);
}
else
{
TrStop[i]=C[i]*(1<FONT
size=1>+nP);
}
}
}
}
}
Up= Cross<FONT
size=1>(Close,TrStop);
Down= Cross<FONT
size=1>(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,<FONT color=#ff00ff
size=1>"",1<FONT
size=1>,64<FONT
size=1>);
Plot(TrStop,<FONT color=#ff00ff
size=1>"TrStop",<FONT color=#ff00ff
size=1>2,1<FONT
size=1>);
PlotShapes(<FONT color=#0000ff
size=1>IIf(up,
shapeUpArrow,shapeNone),colorGreen,<FONT
color=#ff00ff size=1>0,L,-<FONT color=#ff00ff
size=1>10);
PlotShapes(<FONT color=#0000ff
size=1>IIf(down,
shapeDownArrow,shapeNone),colorRed,<FONT
color=#ff00ff size=1>0,H,-<FONT color=#ff00ff
size=1>10);
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 26, 2004 11:23
PM
Subject: Re: [amibroker] Dear Traders,
this seems to be an absolutely amazing ...
Rocou,
The "PREV" has been covered many times in the
past.
It is easy to find in the mailing list
archive
<FONT face=Arial
size=2>http://www.amibroker.com/listarchive.html
Take a look at:
<FONT
face=Arial
size=2>http://groups.yahoo.com/group/amibroker/message/45225
<FONT
face=Arial
size=2>http://groups.yahoo.com/group/amibroker/message/4507
<FONT
face=Arial
size=2>http://groups.yahoo.com/group/amibroker/message/11896
<FONT
face=Arial
size=2>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 <A
href=""><FONT face=Arial
size=2>http://groups.yahoo.com/group/amibroker/message/45225<FONT
face=Arial size=2> )
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,
<FONT face="Courier New"
size=2> If( ( (Ref(C,-1) <
PREV) AND (C < PREV) ),
<FONT face="Courier New"
size=2> Min( PREV, C*
(1+nPips) ),
<FONT face="Courier New"
size=2> If( (Ref(C,-1) >
PREV) AND ( C > PREV ),
<FONT face="Courier New"
size=2>
Max( PREV, C * (1 - nPips ) ),
<FONT face="Courier New"
size=2>
If( C > PREV, C * (1-nPips), C * (1+nPips) ) ) ) );
Now this can be rewritten using for
loop:
SetBarsRequired<FONT
color=#000000>( 10000,
0 ); nPips =
0.004; <FONT
color=#008000>// define your own value here<FONT
color=#000000> PREV = TrStopLevel = <FONT
color=#000000>C[ <FONT
color=#ff00ff>0 ]; //
init first element <FONT
color=#000000>for( i = <FONT
color=#ff00ff>1; i < <FONT
color=#000000>BarCount; i++ ) {
CurC = C<FONT
color=#000000>[ i ]; // current value of
close PrevC = <FONT
color=#000000>C[ i - <FONT
color=#ff00ff>1 ]; //
previous bar value of close
CurTrStopLevel = <FONT
color=#0000ff>IIf( CurC ==
PREV, PREV,
<FONT
color=#0000ff>IIf( ( (PrevC < PREV) <FONT
color=#000000>AND (CurC < PREV) ),
<FONT
color=#0000ff>Min( PREV, CurC * ( <FONT
color=#ff00ff>1 + nPips) ),
<FONT
color=#0000ff>IIf( ( PrevC > PREV) <FONT
color=#000000>AND ( CurC > PREV
),
<FONT
color=#0000ff>Max( PREV, CurC * (<FONT
color=#ff00ff>1 - nPips ) ),
<FONT
color=#0000ff>IIf( CurC > PREV, CurC * (
1 - nPips), CurC * (
1 + nPips) ) ) ) );
TrStopLevel[ i ] = CurTrStopLevel; <FONT
color=#008000>// store result PREV
= CurTrStopLevel; // save previous value for next
iteration } <FONT
color=#000000>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 Janeczkoamibroker.com
----- Original Message -----
From: "rocou" <<A
href=""><FONT face=Arial
size=2>rocou@xxxxxxxxx>
To: <<A
href=""><FONT face=Arial
size=2>amibroker@xxxxxxxxxxxxxxx<FONT face=Arial
size=2>>
Sent: Monday, April 26, 2004 9:51 PM
Subject: [amibroker] Dear Traders, this seems to
be an absolutely amazing ...
<FONT face=Arial
size=2>Dear Traders, this seems to be an absolutely amazing
formulafrom my broker CMS. Sorry if I am getting on your nerves again,
but I really need your help how to EXACTLY translate the formulainto
Amibroker´s 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 valuecrosses the TrailingStoppLevel Line. That is the whole
story.You only have to define the amount of "nPip"´s.The image
shows the 15min chart EURUSD and 15 as the valuefor the nPips
parameter.The image is in folder "Photos" of this group: <A
href=""><FONT
face=Arial
size=2>http://photos.groups.yahoo.com/group/amibroker/vwp?.dir=/&.src="";><FONT
face=Arial
size=2>=Trailing+Stop+System.jpg&.view=t&.done=http%3a//photos.groups.yahoo.com/group/amibroker/lst%3f%26.dir=/%26.src="">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 witha simple but very effective
trading system.Kindest regardsRobert 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'));___________________________________________________________Send
BUG REPORTS to <FONT face=Arial
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