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try using Applystop with nbar exit
On Sun, 31 Oct 2004 18:15:53 -0500, Owen Davies <owen5819@xxxxxxxxxxxx> wrote:
>
> 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
>
>
> 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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