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Hi Walt
As usual... thanks so much - this is what I was looking for! I was
trying to figure out how to call my own custom stops but I didn't'
realize that I could do it using the Applystops function and then in the
third field enter the name of my custom stop. That is a huge help. I
will be able to try this after 10:00 pm tonight.
Having heard Yuki's take on trailing 'percent of profit' stops and then
seeing that there aren't a flood of responses providing different
generic code for stops such as these, I am forced to consider the
possibility that many people don't use these types of stops in their
systems. Which is a bit of a surprise....if not these, then what?
Take care and thanks again
Nikku
hairy_mug wrote:
>
> Nik,
>
> Try something like this:
>
> //--------------------------------
>
> buyat=BuyPrice; //the price you bought at
>
> MinGainPct=.04; //minimum gain % before activating trail
>
> trailPct=1.5; //% trailing stop
>
> //if not at min%, set it impossibly high...
> pct=IIf((C-buyat)/buyat > MinGainPct,trailPct,9999);
>
> ApplyStop(stopTypeTrailing,stopModeRisk,pct,2,True);
>
> //---------------------
>
> Experiment with the different % using the "optimize" and
> the other settings for "ApplyStop" command.
>
>
> Walt
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, nikku <nikku@xxxx> wrote:
> > Hi Terry
> >
> > I really want to say thanks for taking the time to compose this
> detailed
> > reply. I realize it must have taken you a while.
> >
> > I now understand the basics of what is being attempted here. I too
> am
> > unsure if it is doing what it is meant to do since I am not getting
> > results which match the expectation given the content of your
> explanation.
> >
> > I'll try to get some more insight into this but at the same time I
> am
> > going to try to take what you gave me and construct another bit of
> stop
> > code to see if I can get it to do what I want.
> >
> > I just wonder how others deal with this problem since the inbuilt
> stops
> > in the Settings--stops window don't deal with it and the ApplyStop
> > function doesn't deal with it (I tried implementing the stops from
> the
> > code level as well); there must be a way of telling AB to act in
> the way
> > I want. I cannot believe that this can't be done in this software.
> >
> > For those who don't want to scroll all the way through to figure
> out
> > what I am referring to, it's easy - my trailing 'percent of profit'
> > stops are kicking in when a position goes even $0.05 profitable and
> I am
> > subsequently taken out if the trade gives back eve a tiny amount
> (i.e.
> > if it retraces $0.02 I am stopped out). How do you let a
> trade 'breathe
> > a bit' in the beginning? How do you implement a trailing 'percent
> of
> > profit' stop that only kicks in after a trade gets past a certain
> > threshold of profitability?
> >
> > Thanks, Nikku
> >
> > Terry wrote:
> >
> > > Here's what it says in plain English (English following each line
> of code
> > > with no > in front of the English part):
> > >
> > > > /* a sample low-level implementation of trailing stop in AFL: */
> > > > Short = your rule here
> > > >
> > > >
> > > > trailstop =0;
> > > First set the entire array called trailstop to 0.
> > > This means all bars for all of your data.
> > >
> > > > for( i = 1; i < BarCount; i++ )
> > > Loop through all bars of data one by one (instead of using array
> function
> > > which does all bars of data simultaneously).
> > > > {
> > > All statements between {} pairs go with the loop
> > >
> > > > if( trailstop == 0 && Short[ i ] ) trailstop = High[ i ];
> > > If trailstop is set to 0, which it is, AND IF we are Short set
> > > trailstop to
> > > the High of the day so it has room to move against you.
> > >
> > > > if( trailstop > 0 AND High[ i ] > trailstop )
> > > Now test to see if the trailstop is > zero, which it will be
> since we just
> > > set it to the High of the day AND the current High > trailstop,
> which it
> > > can't be because we just set it == the High
> > > > {
> > > If the test was True, which it can't be because we just forced
> the
> > > trailstop
> > > to be equal to the High, then
> > > > Cover[ i ] = True;
> > > set Cover to True so we exit.
> > > > CoverPrice[ i ] = trailstop;
> > > Set CoverPrice = trailstop (which was equal to the High)
> > > > trailstop= 0;
> > > Re-zero the trailstop value. This makes the trailstop variable
> appear
> > > to be
> > > numeric, but I think it must be an array??
> > > > }
> > > > else Cover[ i ] = 0;
> > > If the test above was False, then set Cover = False (same as = 0)
> > >
> > > > if( trailstop > 0 )
> > > Now, if tne trailstop is still set to the high, then set the
> trailstop
> > > equal
> > > to the lower of yesterday's high or today's high (since trailstop
> =
> > > today's
> > > high)
> > > > {
> > > > trailstop = Min( High[ i - 1 ], trailstop );
> > > > }
> > > Previous set of {} are unnecessary since there's only a single
> statement.
> > >
> > > > }
> > > Matching } to beginning of loop.
> > >
> > > So, now that I wrote the English version, I question (would need
> to test)
> > > the logic. It seems that the stop will never be hit since the
> stop is
> > > set to
> > > the high of the day and then it tests to see if the stop has been
> > > exceeded,
> > > but I don't see how that's ever possible. Second observation is,
> in my
> > > experience, when you set a variable as in the very first
> statement, this
> > > becomes an array variable. This may be an exception because there
> are many
> > > reserved variables in AB. I don't know where the "list" of these
> variables
> > > is, if there is a list. Thus, it could be a single numeric
> variable if it
> > > has been predefined by AB somewhere.
> > >
> > > I always hate to doubt the AB boys. They are nearly ALWAYS right!
> If
> > > Marcin
> > > is reading, maybe he can clarify these points.
> > > --
> > > Terry
> > >
> > > > From: nikku <nikku@xxxx>
> > > > Reply-To: amibroker@xxxxxxxxxxxxxxx
> > > > Date: Mon, 06 Dec 2004 23:50:49 -0500
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: [amibroker] request for help with trailing stops
> > > >
> > > >
> > > > Hi all
> > > >
> > > > I hope someone can help me out with my trailing stops problem.
> Now that
> > > > I have purchased the s/w I can backtest multiple securities.
> However,
> > > > when I backtest trying to use the 'percent of profit' type
> stops, I have
> > > > a problem. Let's say I short MMM at the open at 50.00, with a
> trailing
> > > > 'percent of profit' stop of 20%. If MMM trades down to 49.80 by
> days
> > > > end, all is well. However, if it opens at 49.90 the next day, I
> am
> > > > stopped out because $0.10 is 50% of my total profit which is
> $0.20.
> > > >
> > > > I asked Marcin for some help with this and he sent me the
> following
> > > > code. I am not sure if he meant this as a fix for my specific
> problem or
> > > > not. The trouble is... and I am sorry about this... the
> following
> > > > doesn't mean much to me, being a total AFL newbie.
> > > >
> > > > Can anyone review the following and either give me a plain
> English idea
> > > > of what it says or simply re-read the above and suggest a way
> that I can
> > > > tell AB that I want to give my trades a bit of 'room to
> breathe' and
> > > > that even if a trade goes immediately positive, then backs up
> and maybe
> > > > even goes slightly negative, that I want to stay in? I can
> envision
> > > > using an n-bars stop, but how can I tell AB to not allow
> the 'percent of
> > > > profit' stop to kick in until xx actual profit has been made (a
> > > > threshold large enough that I am not taken out prematurely)?
> > > >
> > > > Yes, I have read all the helps re: trailing stops and if
> someone can
> > > > show me where this specific issue is addressed, I would welcome
> it.
> > > >
> > > > I wish I could offer more (or more accurately, anything at all)
> in
> > > > return for the help... maybe someday.
> > > >
> > > > Regards, Nikku
> > >
> > >
> > >
> > > Check AmiBroker web page at:
> > > http://www.amibroker.com/
> > >
> > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > >
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> >
> >
> > --
> > The majority meet with failure because of their lack of persistence
> in creating new plans to take the place of those which fail.
>
>
>
>
>
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