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Sam,
To see the difference between normal exit prices and best exit prices you
have to set the SellPrice and Cover price. Run the code below on, try LLTC
EOD, in the optimizer. You get two result lines, one using best prices and
one using normal prices. I think you can place some of the variables in
AddColumn()s to allow verification - I did not test the code extensively.
You must enter at the open because the MFE and MAEs can happen any time
during the day. I think you have to delay the best price to make it
available at the time of the exit signal. The profit ratio is something like
8000%(normal prices) to 4 billion%(BestPrices) in about ten years. Try the
system you might be able to improve it... it is an old one from my files.
Good luck,
herman
// BestSellPrice experiment
// Run in Optimizer on LLTC, when Test==1 you are trading best prices
SetTradeDelays(1,1,1,1);
SetOption("PriceBoundChecking",False);
Test = Optimize("Test",0,0,1,1);
BuyPrice = SellPrice = ShortPrice = CoverPrice = Open;
//////////////// SumRSI system by herman ////////////////
Ind=(Sum(RSI(3)-LLV(RSI(3),17),6)/Sum(HHV(RSI(3),17)-LLV(RSI(3),17),6))*100;
Buy=Cross(50,Ind);
Sell=Cross(Ind,50);
Short = Sell;
Cover = Buy;
E=Equity(1);
///////////////////////////////////////////////////////
Pos = Flip(Buy,Sell);
BestSellPrice = Ref(ValueWhen(Sell,HighestSince(Buy,H),0),-1);
BestCoverPrice = Ref(ValueWhen(Cover,LowestSince(Short,L),0),-1);
if(Test)
{
SellPrice = BestSellPrice;
CoverPrice = BestCoverPrice;
}
else
{
SellPrice = Open;
CoverPrice = Open;
}
Plot(C,"C",1,128);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),5);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),4);
Plot(BestSellPrice,"BestSellPrice",5,styleStaircase);
Plot(BestCoverPrice,"BestCoverPrice",4,styleStaircase);
//Plot(E,"E",2,1);
-----Original Message-----
From: qweds_560 [mailto:qweds_560@xxxxxxxxx]
Sent: Wednesday, January 19, 2005 5:55 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Best exit price?
Hi Herman,
Yes, I did mange to plot (by creating a new indicator), many thanks.
It does show the best prices that could have been achieved. The ref
function in the last line:
BestSellPrice = Ref(Temp ,-1);
seems redundant. I used BuySellPrice = temp and it gives the same
results.
I then pasted the whole code into Explorer and I managed to obtain
some output. I then copied and pasted into Excel (had to do this
twice, with different filter settings in Explorer) and then had to
do a few manipulations in Excel to obtain something which was close
to what I wanted. Not at all elegant, i'm afraid!!!
I tried to use the code in the backtester (without the plot) but it
didn't work there. I set SELL= bestsellprice. Any way of just using
the code in the backtester?
Any further suggestions to try and simplify would be appreciated!!
Many thanks again
Sam
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> Did you plot the code i posted [ Tue 01/18/2005 7:59 PM ]? Your
best bet to
> solve this problem is to visualize it.
>
> herman
> -----Original Message-----
> From: qweds_560 [mailto:qweds_560@x...]
> Sent: Wednesday, January 19, 2005 12:34 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Best exit price?
>
>
>
> Many thanks Graham,
>
> Unfortunately, it doesn't seem to work. I may be doing something
> wrong:
>
> My code is:
>
> buy=...conditions
> short=...conditions
>
> sell=short;
> cover=buy;
>
> BestLong = valuewhen( sell, highestsince(buy,h) );
> BestShort = valuewhen( cover, lowestsince(short,L) );
>
> Sell=bestlong;
> Cover=bestshort;
>
> Buy = ExRem(Buy,Short);
> Sell = ExRem(Sell,Buy);
> Short = ExRem(Short,Buy);
> Cover = ExRem(Cover,Short);
>
> The sell happens on the next bar after a buy rather than
searching
> for the highest high before a short signal.
>
> Any assistance would be appreciated,
>
> Cheers
>
> Sam
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx>
wrote:
> > You can probably get more complex or easier solutions, here is
one
> >
> >
> > BestLong = valuewhen( sell, highestsince(buy,h) );
> > BestShort = valuewhen( cover, lowestsince(short,L) );
> >
> >
> >
> > On Tue, 18 Jan 2005 23:22:43 -0000, qweds_560 <qweds_560@xxxx>
> wrote:
> > >
> > >
> > > Hello,
> > >
> > > I have been trying to solve this problem for some time using
all
> > > sorts of functions in the backtester: HHV, barssince,
valuewhen,
> > > barindex and so on.
> > >
> > > Consider a simple stop and reverse system. I want to know
what
> the
> > > best exit price could have been from a long position before
the
> > > system reverses and what the best exit price that could be
from a
> > > short position before the system reverses and goes long.
> > >
> > > To put it another way, I would like to peek into the future
to
> see
> > > what the best price I could exit my position at BEFORE I
receive
> a
> > > signal in the opposite direction.
> > >
> > > I am trying to find out the maximum profit that could be made
> using
> > > the system if you had the foresight to know exactly when to
exit
> > > each and every position.
> > >
> > > I would be grateful for any suggestions.
> > >
> > > Many thanks
> > >
> > > Sam
> > >
> > >
> > > 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
>
>
>
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