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ed nl wrote:
>here I put the code how to do this. ...
>Buy = LLV(L,6) == L AND C > Ref(C,-1);
>Buy = Ref(Buy,-1);
>BuyPrice = O;
>
>Sell = BarsSince(Buy) == 7; (etc.)
>
How would you code the exit if you had a Buy signal that can be repeated
frequently? For example, say you want to write a Larry Williams-style
breakout system:
Buy=H >= Fraction * Ref(H-L,-1);
BuyPrice=Max(O,Fraction * Ref(H-L,-1) + TickSize);
The usual answer is to use ExRemSpan(), as you did, but look at what
happens if you use the "bailout" exit Williams recommends: Wait one
bar, and then exit on the first profitable Open, with a wide stop-loss
to take care of the failures. (Incidentally, I don't mean to suggest
that either half of this system could be profitable in today's markets;
it's just a well-known example of the kind of thing that gives me
problems.) Without ExRemSpan(), your standard of profitability changes
every time the entry signal is repeated. But ExRemSpan(Buy,1) won't fix
the problem. either. It will skip the necessary bar, but then the same
problem comes back. If the next Open doesn't trigger the profit-taking
exit and you get another entry signal during the day, that day's
BuyPrice again replaces the one where you actually entered.
Very short-term trading interests me most, so I run into this kind of
thing a lot, not only with the bailout exit but with several other ideas
that seem worth testing. I have found work-arounds for a few very
specific circumstances, but nothing that is generally applicable.
MetaStock used the BarsSince(Entry) function to solve the problem. I
believe Tomasz was kind enough to supply ExRemSpan() in response to my
need for an equivalent some time ago and rather suspect that he now
thinks I'm an idiot for not understanding that it does the job. But if
ExRemSpan() or the combination of ExRemSpan() and ExRem() works for this
I probably am an idiot, because I really can't see it.
BarsSince(Entry) really did make this kind of logic very easy to code.
(Sigh.)
Any insights or ideas, anyone?
Thanks.
Owen Davies
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