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Nick,
in my opinion it could be done like this (see code
below). What you do is you look for an RSI cross 1 bar back (yesterday with EOD
data). Then you give an additional constraint that you only buy today if the
price goes below yesterdays close minus a certain percentage (I use 0.5% in this
example).
Now you do not need a tradedelay of 1 bar (or
day).
regards, Ed
<FONT
color=#0000ff>SetTradeDelays(<FONT
color=#ff00ff>0,<FONT
color=#ff00ff>0,<FONT
color=#ff00ff>0,<FONT
color=#ff00ff>0<FONT
color=#000000>); // set
percentage<FONT
color=#000000> perc = <FONT
color=#ff00ff>0.5<FONT
size=2>; <FONT
color=#000000>Buy = <FONT
color=#0000ff>Cross( <FONT
color=#0000ff>Ref(<FONT
color=#0000ff>RSI(<FONT
color=#ff00ff>14),-<FONT
color=#ff00ff>1), <FONT
color=#ff00ff>30 ) <FONT
color=#000000>AND <FONT
color=#000000>L <= <FONT
color=#0000ff>Ref(<FONT
color=#000000>C,-<FONT
color=#ff00ff>1) - <FONT
color=#0000ff>Ref(<FONT
color=#000000>C,-<FONT
color=#ff00ff>1)*perc/<FONT
color=#ff00ff>100<FONT
size=2>; <FONT
color=#000000>BuyPrice = <FONT
color=#0000ff>Ref(<FONT
color=#000000>C,-<FONT
color=#ff00ff>1) - <FONT
color=#0000ff>Ref(<FONT
color=#000000>C,-<FONT
color=#ff00ff>1)*perc/<FONT
color=#ff00ff>100<FONT
size=2>; <FONT
color=#000000>Short = <FONT
color=#0000ff>Cross( <FONT
color=#ff00ff>70, <FONT
color=#0000ff>Ref(<FONT
color=#0000ff>RSI(<FONT
color=#ff00ff>14),-<FONT
color=#ff00ff>1) ) <FONT
color=#000000>AND <FONT
color=#000000>H >= <FONT
color=#0000ff>Ref(<FONT
color=#000000>C,-<FONT
color=#ff00ff>1) + <FONT
color=#0000ff>Ref(<FONT
color=#000000>C,-<FONT
color=#ff00ff>1)*perc/<FONT
color=#ff00ff>100<FONT
size=2>; <FONT
color=#000000>ShortPrice = <FONT
color=#0000ff>Ref(<FONT
color=#000000>C,-<FONT
color=#ff00ff>1) + <FONT
color=#0000ff>Ref(<FONT
color=#000000>C,-<FONT
color=#ff00ff>1)*perc/<FONT
color=#ff00ff>100<FONT
size=2>; <FONT
color=#0000ff>ApplyStop(<FONT
color=#000000>stopTypeLoss,<FONT
color=#000000>stopModePercent,<FONT
color=#ff00ff>2.15,<FONT
color=#ff00ff>1<FONT
color=#000000>); ApplyStop<FONT
color=#000000>(stopTypeProfit<FONT
color=#000000>,stopModePercent<FONT
color=#000000>,3<FONT
color=#000000>,1<FONT
face="Courier New">); <FONT
color=#008000>// Sell and Cover only at stops. They will be filled with signals
by Equity(1)<FONT
color=#000000> Sell<FONT
color=#000000> = 0<FONT
face="Courier New">; <FONT
color=#000000>Cover = <FONT
color=#ff00ff>0<FONT
color=#000000>; // for charting
purposes<FONT
color=#000000> Equity<FONT
color=#000000>(1<FONT
face="Courier New">); <FONT
color=#008000>// replace various numbers by plain 1 (for charting
purposes)<FONT
color=#000000> Sell<FONT
color=#000000> = IIf<FONT
color=#000000>(Sell
!= 0, <FONT
color=#ff00ff>1, <FONT
color=#ff00ff>0<FONT
color=#000000>); Cover<FONT
color=#000000> = IIf<FONT
color=#000000>(Cover<FONT
color=#000000> != 0,
1, <FONT
color=#ff00ff>0<FONT
color=#000000>); Plot<FONT
color=#000000>(C<FONT
color=#000000>,"C"<FONT
color=#000000>,1<FONT
color=#000000>,64<FONT
face="Courier New">); <FONT
color=#0000ff>PlotShapes(<FONT
color=#000000>shapeUpArrow*<FONT
color=#000000>Buy,<FONT
color=#000000>colorWhite, layer = <FONT
color=#ff00ff>0, yposition = <FONT
color=#000000>BuyPrice, offset = -<FONT
color=#ff00ff>12<FONT
color=#000000> ); PlotShapes<FONT
color=#000000>(shapeDownArrow<FONT
color=#000000>*Sell<FONT
color=#000000>,colorYellow<FONT
color=#000000>, layer = 0,
yposition = SellPrice<FONT
color=#000000>, offset = -<FONT
color=#ff00ff>12<FONT
color=#000000> ); PlotShapes<FONT
color=#000000>(shapeDownArrow<FONT
color=#000000>*Short<FONT
color=#000000>,colorWhite<FONT
color=#000000>, layer = 0,
yposition = ShortPrice<FONT
color=#000000>, offset = -<FONT
color=#ff00ff>12<FONT
color=#000000> ); PlotShapes<FONT
color=#000000>(shapeUpArrow<FONT
color=#000000>*Cover<FONT
color=#000000>,colorYellow<FONT
color=#000000>, layer = 0,
yposition = CoverPrice<FONT
color=#000000>, offset = -<FONT
color=#ff00ff>12<FONT
color=#000000> ); Title<FONT
color=#000000>=Name()+
", O: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>O)+ <FONT
color=#ff00ff>", H: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>H)+ <FONT
color=#ff00ff>", L: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>L)+ <FONT
color=#ff00ff>", C: "+<FONT
color=#0000ff>WriteVal(<FONT
color=#000000>C<FONT
size=2>); // for analysis
purposes<FONT
color=#000000> Filter<FONT
color=#000000> = 1<FONT
face="Courier New">; <FONT
color=#0000ff>AddColumn(<FONT
color=#000000>Buy,<FONT
color=#ff00ff>"Buy"<FONT
size=2>); <FONT
color=#0000ff>AddColumn(<FONT
color=#000000>BuyPrice,<FONT
color=#ff00ff>"BuyPrice"<FONT
size=2>); <FONT
color=#0000ff>AddColumn(<FONT
color=#000000>Sell,<FONT
color=#ff00ff>"Sell"<FONT
size=2>); <FONT
color=#0000ff>AddColumn(<FONT
color=#000000>SellPrice,<FONT
color=#ff00ff>"SellPrice"<FONT
size=2>); <FONT
color=#0000ff>AddColumn(<FONT
color=#000000>Short,<FONT
color=#ff00ff>"Short"<FONT
size=2>); <FONT
color=#0000ff>AddColumn(<FONT
color=#000000>ShortPrice,<FONT
color=#ff00ff>"ShortPrice"<FONT
size=2>); <FONT
color=#0000ff>AddColumn(<FONT
color=#000000>Cover,<FONT
color=#ff00ff>"Cover"<FONT
face="Courier New">); <FONT
color=#0000ff>AddColumn(<FONT
color=#000000>CoverPrice,<FONT
color=#ff00ff>"CoverPrice");
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=tessaglia@xxxxxxxxxxx
href="">chassis_73
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, May 23, 2004 10:32 AM
Subject: [amibroker] Sellprice/Applystop
problem
Hi,mates.I'm going crazy about a problem that troubles al
my TS.SystemBuy = Cross( RSI(14), 30 );Sell = Cross( 70,
RSI(14) );BuyPrice=O*0.9705;//Buy when the stock goes down -2.95% from
Open.SetTradeDelays(0,0,0,0);ApplyStop(stopTypeLoss,stopModePercent,2.15,1);ApplyStop(stopTypeProfit,stopModePercent,3,1);ObjectiveI'd
like to buy the stock all the days it goes down till about -2.95 % from
open.I'd like to sell when Sell = Cross( 70, RSI(14) ) occurs or when i
can take profit about 3% from Buyprice.TroublesNo trouble
about Buy.It works perfectly.Sell instead has its logic but there's a
wrong situation when it's a black candle day.i.d O 2.42 H 2.42 L
2.32 C 2.32 What happens here?Naturally I buy at 2.35 and IN THE SAME DAY
i sell at 2.42 to take profit.Obviously it's not possible because the
stock went down till 2.32 and I'm losing in fact.Let us suppose that
the day after O 2.31 H 2.44 L 2.31 C 2.42 .I 'd like to take my 3% when
the stock cross up 2.42 the day after.In the backtest there are a lot of
days like this so results are wrong.Naturally I tried many rules but
Applystop always prevails over all.Immediate IF function doesn't
work.i.d.IIf(C <
O,ApplyStop(stopTypeProfit,stopModeDisable,3,1),ApplyStop(stopTypeProfit,stopModePercent,3,1));Has
anyone had the same trouble?Best
regards,NickSend BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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