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Hi Herman,
Thanks for all your advice, really appreciated,
Sam
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> 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.
> -----Original Message-----
> From: qweds_560 [mailto:qweds_560@x...]
> Sent: Thursday, January 20, 2005 1:27 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Best exit price?
>
>
>
> 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@x...]
> > 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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> >
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>
>
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>
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>
>
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