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Re: [amibroker] Exrem and Equity



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Thanks, I was working on something similar, but if you get a sell on
the same day as a buy the buy registers although no signal is given.
This the next buy signal is not made.


On Fri, 22 Oct 2004 14:44:43 +1000, Scott Cong <scong@xxxxxxxxxx> wrote:
> 
> kaveman perth wrote:
> 
> >I guess if I just whited out everything I would not notice
> >discrepancies as well.
> >
> >I will try to explain myself again
> >
> >The exitprice acts like a trailing stop which is what it should do,
> >and the sell signal occurs when the price crosses below the exitprice.
> >The exitprice is based on the highest value of a variable after the
> >buy signal occurs. Any additional UNWANTED buy signals should be
> >removed by exrem or equity.
> >But when a variable like Exit as I have shown that is based on values
> >since a buy signal are not changed to just the first buy signal. They
> >keep being affected by the subsequent extra buy signals.
> >In the explore rersults below I have listed the buy/sell signals and
> >the Exitprice. The last column is a check on where the exitprice
> >dropped without an actual buy, just a buy that was exremmed. See
> >20/09/2004.
> >
> >Ticker   Date/Time     Buy     Sell    ExitPrice       check
> >BSL    10/09/2004      1       0       7.984   0
> >BSL    13/09/2004      0       0       8.163   0
> >BSL    14/09/2004      0       0       8.163   0
> >BSL    15/09/2004      0       0       8.163   0
> >BSL    16/09/2004      0       0       8.163   0
> >BSL    17/09/2004      0       0       8.163   0
> >BSL    20/09/2004      0       0       8.088   1
> >BSL    21/09/2004      0       0       8.125   0
> >BSL    22/09/2004      0       0       8.184   0
> >BSL    23/09/2004      0       0       8.194   0
> >BSL    24/09/2004      0       0       8.293   0
> >BSL    27/09/2004      0       0       8.311   0
> >BSL    28/09/2004      0       0       8.311   0
> >BSL    29/09/2004      0       0       8.311   0
> >BSL    30/09/2004      0       0       8.322   0
> >BSL      1/10/2004                0    0       8.354   0
> >BSL      4/10/2004     0       0       8.439   0
> >BSL      5/10/2004     0       0       8.508   0
> >BSL      6/10/2004     0       0       8.508   0
> >BSL      7/10/2004     0       0       8.508   0
> >BSL      8/10/2004     0       0       8.512   0
> >BSL    11/10/2004      0       0       8.512   0
> >BSL    12/10/2004      0       0       8.512   0
> >BSL    13/10/2004      0       0       8.512   0
> >BSL    14/10/2004      0       1       8.512   0
> >
> >On Fri, 22 Oct 2004 05:29:41 +0200, ed nl <ed2000nl@xxxxxxx> wrote:
> >
> >
> >>Graham,
> >>
> >>I tested your code (changed some colours). I get exactly what one would expect. See all the arrows. Clearly the exit price falls because of  Cross( Exit, C ); So when the exit line crosses above the close you sell (or when the close crosses BELOW the exit line).
> >>
> >>I don't understand why you wouldn't see the arrows. I use the latest beta version and no problems,
> >>
> >>rgds, Ed
> >>
> >>SetBarsRequired(10000,10000);
> >>Buy  = Day()%5==0;
> >>Exit = HighestSince( Buy, H-3*ATR(14) );
> >>Sell = Cross( Exit, C );
> >>
> >>//Buy = ExRem( Buy, Sell );
> >>//Sell = ExRem( Sell, Buy );
> >>Equity(1);
> >>
> >>Plot(C,"",colorwhite,64);
> >>PlotShapes(shapeUpArrow*Buy,colorwhite,0,L,-10);
> >>PlotShapes(shapeDownArrow*Sell,coloryellow,0,L,-10);
> >>Plot( Exit, "Exitprice", colorWhite,1);
> >>
> >>
> >>
> >>Filter = 1;
> >>AddColumn( Buy, "Buy", 1 );
> >>AddColumn( Sell, "Sell", 1 );
> >>AddColumn( Exit , "ExitPrice", 1.3);
> >>AddColumn( exit<Ref(exit,-1) AND Buy==0, "check", 1);
> >>
> >> ----- Original Message -----
> >> From: kaveman perth
> >> To: amibroker@xxxxxxxxxxxxxxx
> >> Sent: Friday, October 22, 2004 12:32 AM
> >> Subject: [amibroker] Exrem and Equity
> >>
> >> I have a formula that uses the exit price based on
> >> HighestSince(Buy,H-xxx). I have noticed that using exrem or equity the
> >> buy signals don't show in explore or on charts, but any value based on
> >> them is affected
> >> I notice that the exit price which by its definition should only ever
> >> rise, not fall, until the sell signal occur. But at subsequent buy
> >> signals the exit price does fall even though these are not shown when
> >> you are using equity(1) or exrem(buy,sell)
> >> Has anyone come across this, and has a method to actually remove the
> >> unwanted signals
> >> Here is a small sample code to demonstrate
> >>
> >> Buy  = Day()%5==0;
> >> Exit = HighestSince( Buy, H-3*ATR(14) );
> >> Sell = Cross( Exit, C );
> >>
> >> //Buy = ExRem( Buy, Sell );
> >> //Sell = ExRem( Sell, Buy );
> >> Equity(1);
> >>
> >> Plot(C,"",colorBlack,styleBar);
> >> PlotShapes(shapeUpArrow*Buy,colorGreen,0,L,-10);
> >> PlotShapes(shapeDownArrow*Sell,colorRed,0,L,-10);
> >> Plot( Exit, "Exitprice", colorViolet,styleDots|styleNoLine|styleNoRescale);
> >>
> >> Filter = 1;
> >> AddColumn( Buy, "Buy", 1 );
> >> AddColumn( Sell, "Sell", 1 );
> >> AddColumn( Exit , "ExitPrice", 1.3);
> >> AddColumn( exit<Ref(exit,-1) AND Buy==0, "check", 1);
> >>
> >> --
> >> Cheers
> >> Graham
> >> http://e-wire.net.au/~eb_kavan/
> >>
> >> Check AmiBroker web page at:
> >> http://www.amibroker.com/
> >>
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> >>
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> >>[Non-text portions of this message have been removed]
> >>
> >>
> >>
> >>
> >>
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> >
> >
> >
> >
> Graham,
> 
> Here is a bit clumsy code.
> 
> Entry = Day()%5==0;
> Exit1 = HighestSince( Entry, H - 3*ATR(14) );
> Stop = Cross(Exit1, C);
> 
> Sequ = sign(BarsSince(Stop) - BarsSince(Entry));
> 
> Buy = Entry AND Ref(Sequ, -1) < 0;
> Exit = HighestSince( Buy, H - 3*ATR(14) );
> Sequ = sign(BarsSince(Cross(Exit, C)) - BarsSince(Buy));
> Sell = Cross(Exit, C) AND Ref(Sequ, -1) > 0;
> 
> //Buy = ExRem( Buy, Sell );
> //Sell = ExRem( Sell, Buy );
> //Equity(1);
> 
> Plot(C,"",colorBlack,styleBar);
> PlotShapes(shapeUpArrow*Buy,colorGreen,0,L,-10);
> PlotShapes(shapeDownArrow*Sell,colorRed,0,H,-10);
> Plot( Exit, "Exitprice", colorViolet,styleDots|styleNoLine|styleNoRescale);
> 
> Filter = 1;
> AddColumn( Buy, "Buy", 1 );
> AddColumn( Sell, "Sell", 1 );
> AddColumn( Exit , "ExitPrice", 1.3);
> AddColumn( exit<Ref(exit,-1) AND Buy==0, "check", 1);
> 
> GraphXSpace = 5;
> 
> 
> Check AmiBroker web page at:
> http://www.amibroker.com/
> 
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> Yahoo! Groups Links
> 
> 
> 
> 
> 


-- 
Cheers
Graham
http://e-wire.net.au/~eb_kavan/


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