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Sorry
sam, got busy with some other stuff...your code looks OK. Best check is always
to plot various variables and see whether things line up.
Only
comment is that a Null doesn't plot, a zero would plot down to
zero.
herman.
Hi Herman,
Thanks for
this. You have written pos=flip(buy,sell). I didn't
understand why since
this is not referred to by any of the other
variables and so is not used.
Is this correct?
I tried your code and it did give the best exits (yes,
optimizing
gives phenomenal results- wish i could see future
prices!).
I then had an idea and using the previous code you
gave me, I
managed to obtain output in the backtester which gave the
entries
together with the BEST exits! The key seems to be
adding:
SetOption("PriceBoundChecking",False);
and also
setting:
Sell=SellPrice == bestSellPrice;
Cover=CoverPrice ==
bestcoverPrice;
The whole code I used is as
follows:
SetOption("PriceBoundChecking",False);//switches off checking
high/low in bar
Buy = ..conditions;
Short =
...conditions;
Sell = Short;
Cover = Buy;
BuyPrice =
...
ShortPrice = ...
SellPrice=High;
CoverPrice=Low;
Buy =
ExRem(Buy,Short);
Sell = ExRem(Sell,Buy);
Short =
ExRem(Short,Buy);
Cover = ExRem(Cover,Short);
Pos =
Flip(Buy,Short);//returns 1 on each bar until it has a short
signal where
it reverts to 0
Temp = HighestSince(Buy,H);//highest high since a buy
signal
Temp = ValueWhen(Short,Temp ,0);//value of the highest buy since
a
buy signal if there is a short signal
Temp = IIf(pos, Temp ,
Null);//if in long mode, then return value of
the highest buy since a buy
signal as long as there is a short
signal, otherwise 0
BestSellPrice
= Temp;
pos1 = Flip(Short,Buy);
Temp1 =
LowestSince(Short,L);
Temp1 = ValueWhen(Buy,Temp1 ,0);
Temp1 = IIf(pos1,
Temp1 , Null);
BestcoverPrice = Temp1;
Sell=SellPrice ==
bestSellPrice;//sell where sellprice becomes equal
to
bestsellprice
Cover=CoverPrice == bestcoverPrice;
This has the added
benefit of correct time of the best exit (I am
testing on intraday data).
However, a minor inconvenience is that it
does not calculate the best
exits for the first buy and first short
trade that occurs in the data
(probably because there were no buys
and sells previously to reference
from).
Herman, can you tell me if the comments against the code are
correct? It's just that I am not 100% sure why the code should
work.
Many thanks for all your assistance
Sam
--- In
amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx>
wrote:
> 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@xxxx]
> 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@xxxx]
> > 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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>
>
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>
>
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> >
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> >
>
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>
>
>
>
>
> Check AmiBroker web page at:
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>
> Check group FAQ at:
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>
>
>
>
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>
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