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Re: [amibroker] Tomasz - Re: Limit Trade Length by Number of Bars



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I have never found any bug with Nbarstop
ex below works perfectly 

Buy= DayOfWeek()==5;
Sell=0;
BuyPrice= C ;
ApplyStop (stopTypeLoss, stopModePoint,2*ATR(10) ,True) ;
ApplyStop (stopTypeTrailing, stopModePoint, 20*ATR(10) ,True,False) ;
ApplyStop (stopTypeProfit, stopModePoint, 20*ATR(10) ,True,False) ;
ApplyStop(stopTypeNBar,stopModeBars,50);


Plot(Close,"close",colorBlack,64);
Equity(1);
PlotShapes(IIf(Buy,
shapeUpArrow,shapeNone),colorGreen,0,L,-20);
PlotShapes(IIf(Sell,
shapeDownArrow,shapeNone),colorRed,0,H,-20);

// StopLoss
Plot(ValueWhen(Buy,C+2*ATR(10)),"Profit",colorBlue,1);
Plot(ValueWhen(Buy,C-2*ATR(10)),"StopLoss",colorRed,1);
Plot(HighestSince(Buy,H)-ValueWhen(Buy,2*ATR(10)),"Trailing",colorGreen,1);: 


>
> Dear Tomasz,
>
> Fellow AB Forum members have kindly offered suggestions to my problem
> but it has not been resolved.  I was wondering if you might give this
> problem some thought.
>
> It seems to me that the N-Bar stop feature in AB might have a bug, or
> perhaps I am doing something wrong.  I have tried suggestions made
> recently by other members but somehow I am not getting any difference
> in my results.  (To see the code I am running please refer to
> previous posts made by me under the title 'Limit Trade Length by
> Number of Bars').  In my attempts to resolve my problem I have tried
> the following steps:
>
> 1. I placed the line ApplyStop( stopTypeNBar, stopModeBars, 50 );
> right after the 2 'stop' lines in my code and submitted the code; many
> trades still run much longer than 50 Bars.
>
> 2. I ran the code with the line above placed IN FRONT OF my 2 'stop'
> lines in my code and submitted the code; the result is the same as run
> (1).
>  
> 3. I enabled the N-bar stop by clicking the 'bars' radial button and
> typed 50 in the Bars box and ran the code; again, same result as run
> (1).
>
> I would like to clarify the problem I am encountering by showing you
> some of my output results.  The following shows 15 lines of output
> results, sorted by #bars in descending order (1 heading line and 14
> lines of actual data).  I have omitted certain columns because they
> are irrelevant:
>
> Ticker Trade                Date            Price      Ex. date    
> Ex. Price   Profit          # bars
>
> CTRA  Long (profit)    11/13/1998   6.8438   2/3/2000     35.00      
> 4,519.15      320
> ECPG Long (profit)      8/7/1998     3.5313    7/9/1999     
> 9.13        1,938.20      241
> MBLA  Long (n-bar)     3/5/1997      6.8175    7/8/1997     
> 6.75           -25.21        90
> AVD    Long (n-bar)     1/23/1995    1.8783    5/25/1995   
> 1.75           -43.17        87
> PEX    Long (n-bar)      8/19/1999   6.25       12/9/1999    
> 6.00           -64.25        81
> CRRC Long                11/10/1997  8.6667    2/20/1998   
> 8.07         -105.85        75
> CNBC Long (n-bar)       4/23/1998  8.227     8/4/1998     
> 6.68          -297.82        74
> CRED Long (n-bar)       2/2/1996    0.9375   5/15/1996   
> 0.97             13.59        72
> CLFC  Long (n-bar)       6/13/2002  6.4815   9/18/2002   
> 6.00          -506.42        68
> PTEN  Long (n-bar)     11/1/1994    0.9844   2/3/1995     
> 0.75          -129.32        66
> DCAI   Long (n-bar)       1/27/1999  0.6094   4/27/1999    
> 0.64            36.48        65
> AVD    Long (max loss)  8/4/1997   2.5482   10/30/1997  
> 1.91         -338.26        64
> IPAR   Long (n-bar)      11/17/2000 5.9167   2/20/2001    
> 6.08             77.46       64
> CW     Long (n-bar)     10/24/1994  8.95315 1/23/1995    
> 8.88           -18.30        63
>
> As you can see, the 1st two lines, CTRA and ECPG, exit for Long
> (profit) reason, which means because of the ApplyStop (1, 1, 90, 1)
> code for target profit.  The next 3 lines show exit for Long (n-bar)
> reason, which means because of the code ApplyStop( stopTypeNBar,
> stopModeBars, 50 ) for 50-bar limit.  The remaining 9 lines show exit
> for reasons of MFI crossover at 80, 50-bar limit, stop loss 25%, and
> 50-bar limit.
>
> It is immediately obvious that the 50-bar limit is not controlling
> the exit, or perhaps it is not working properly --- maybe there is a
> bug?  Or perhaps I am not setting it up correctly?
>
> Can you please check the possibility that AB's N-Bar stop is not
> overriding the other stops, i.e. maybe there is a bug?
>
> Thank you.
>
> Josef
>
>
>
>
>
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> http://www.amibroker.com/
>
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