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Thanks Ed, this seems to work well. I will study the code.
Again thanks, even with my white background :)
On Fri, 22 Oct 2004 13:41:19 +0200, ed nl <ed2000nl@xxxxxxx> wrote:
>
> Graham,
>
> below is also a way how it can be done (didn't check it in detail but the idea is there). But probably this is not what you are after. Anyway I think if you want to silve this using array-based calculation it is impossible,
>
> ed
>
> o yeah, watch them colours!!! hehehe I use white a lot because my background is black
>
> procedure sell_proc(Buy,BuyPrice,exitLevel,open,high,low,close,per) {
>
> global Sell;
> global SellPrice;
> global BuyAdjusted;
> global exitLevelAdjusted;
>
> // initialise arrays
> Sell = SellPrice = 0;
> BuyAdjusted = exitLevelAdjusted = Sell;
>
> exitLevelAdjusted = O[ 0 ];
>
> for (i = per; i < BarCount; i++) {
>
> exitLevelAdjusted[ i ] = exitLevelAdjusted[ i - 1 ];
>
> //
> if (Buy[ i ] == 1) {
>
> BuyAdjusted[ i ] = 1;
> exitLevelAdjusted[ i ] = exitLevel[ i ];
>
> // find a sell position + sellprice
> for (j = i + 1; j < BarCount; j++) {
>
> if (exitLevel[ j ] > exitLevelAdjusted[ j - 1]) {
>
> exitLevelAdjusted[ j ] = exitLevel[ j ];
>
> } else {
>
> exitLevelAdjusted[ j ] = exitLevelAdjusted[ j - 1];
>
> }
>
> // test if profit stop is hit
> if (Close[ j ] < exitLevelAdjusted[ j ]) {
>
> Sell[ j ] = 1;
> SellPrice[ j ] = Close[ j ];
>
> // enter i-loop past the last sell
> i = j;
>
> // escape from j-loop
> j = BarCount;
>
> } else if (j == BarCount - 1) {
>
> i = BarCount;
>
> }
>
> }
>
> }
>
> }
>
> } // end procedure
>
> SetBarsRequired(10000,10000);
>
> // set period
> per = 14;
>
> Buy = Day()%5==0;
> BuyPrice = C;
> exitLevel = H-3*ATR(per);
>
> sell_proc(Buy,BuyPrice,exitLevel,open,high,low,close,per);
> Buy = BuyAdjusted;
>
> Plot(C,"",colorwhite,64);
> //Plot(exitLevel,"",colorwhite,1);
> PlotShapes(shapeUpArrow*Buy,colorwhite,0,BuyPrice,0);
> PlotShapes(shapeDownArrow*Sell,coloryellow,0,BuyPrice,0);
> Plot( exitLevelAdjusted, "Exitprice", colorWhite,1);
>
> Filter = 1;
> AddColumn( Buy, "Buy", 1 );
> AddColumn( Sell, "Sell", 1 );
> AddColumn( exitLevelAdjusted , "ExitPriceAdjusted", 1.3);
> AddColumn( exitLevelAdjusted<Ref(exitLevelAdjusted,-1) AND Buy==0, "check", 1);
>
> ----- Original Message -----
> From: kaveman perth
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, October 22, 2004 1:31 PM
> Subject: Re: [amibroker] Exrem and Equity
>
> 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/
> > >>
> > >> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >>
> > >>
> > >> Yahoo! Groups Sponsor
> > >> ADVERTISEMENT
> > >>
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> > >>
> > >> a.. To visit your group on the web, go to:
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> > >>
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> > >> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > >>
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> > >>
> > >>
> > >>[Non-text portions of this message have been removed]
> > >>
> > >>
> > >>
> > >>
> > >>
> > >>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
> > >>
> > >>
> > >>
> > >>
> > >>
> > >>
> > >>
> > >
> > >
> > >
> > >
> > 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/
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
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> Yahoo! Groups Links
>
> a.. To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
> b.. To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
>
> [Non-text portions of this message have been removed]
>
>
> 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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