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Sorry I didnt explain myself very well in the last post. You are OK
with a single security, as all the buy/sell conditions are in the
same order. However this is a problem which effects multiple security
trading where for example because of capital allocation you might not
have taken the first buy signal in a given stock. However when using
stuff like bassince etc you may be told that you did.
--- In amibroker@xxxxxxxxxxxxxxx, "fanziguk" <maxdanzig@xxxx> wrote:
> When you start trying to simulate limit orders and further when you
> have multiple entry and/or exit criteria you will see what I mean.
>
> Basically even in your code below if on bar 1 you have "buy"
> conditions and you bought, but you also had "buy" conditions on
bars
> 2 and 3, then barssince would be calculated from bar 3.
>
> Ah, I hear you say, what about EXREM. Well there's nothing magical
> about that. It will simply zero all further buy conditions until
you
> get to a sell condition. Not the actual trade. Lets give an example.
>
> "If today's price is less than yesterday's price then we want to
buy
> tomorrow at today's price or better on limit. Th exact opposite for
a
> sell."
>
> So
> Bar1 $10
> Bar2 $9
> Bar3 $8
> Bar4 $11
> Bar5 $8
> Bar6 $7
> Bar7 $9
> Bar8 $9
>
> So our order is at the end of bar2 at $9 or better. We buy bar3 @
$8.
> Bar5 we want $11 or better as an exit, but there is no fill.
> So we try again after Bar7 @ $9. This gets filled and we are out @
$9
> on Bar8.
>
> Your exrem statement is "foiled" by Bar4 & Bar5. This is a "Sell"
> condition. So now Amibroker does not have to ignore the next "Buy"
> condition at Bar5 for a trade on Bar6.
>
> Therefore if you ask for any stats via valuewhen/barssince etc you
> will be "told" you got in at Bar6, where in fact you got in at Bar3.
>
> Max
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> > What do you mean by this?
> > >>But it does have a major flaw vs other software
> > products. AFL code has NO ACCESS to your ACTUAL trade stats
> > (entryprice, bars in trade etc). <<
> > Scan and backtest gives you all of this
> > or
> > you can simply write an exploration to provide all that data and
> more
> >
> > or maybe I missed your point!
> >
> > buy=yourbuyconditions;
> > sell=yoursellconditions;
> > buy=exrem(buy,sell);
> > sell=exrem(sell,buy);
> >
> > filter=1;
> > addcolumn(barssince(buy),"BarsInTrade",1);
> > addcolumn(valuewhen(buy,buyprice),"BuyPrice",1.3);
> > adddcolumn(c/valuewhen(buy,buyprice),"TradeMove",1.3);
> >
> >
> > etc
> >
> >
> >
> >
> >
> > On 5/26/05, fanziguk <maxdanzig@xxxx> wrote:
> > > Ill put you out of your misery, Peter, and save you weeks if not
> > > months of mucking around as I have.
> > >
> > > Amibroker is a wonderful program - uniquely fast with it's array
> > > based technology. But it does have a major flaw vs other
software
> > > products. AFL code has NO ACCESS to your ACTUAL trade stats
> > > (entryprice, bars in trade etc). Unless you use the built in
> commands
> > > to do ultra simple stuff (Applystop etc), you are simply
guessing
> > > based on the movement of the market. EXREM and EXREMSPAN just
help
> > > you guess better!
> > >
> > > Don't be too depressed though, as the new Custom Backtester
does
> have
> > > access to the actual trade. But it is very cryptic (easy to
make a
> > > mistake) and Tomasz appears reluctant to give support for it. I
> have
> > > written a piece of CB code that will do what you want. It looks
> > > correct but does not work presently. Tomasz has it and
> (hopefully!)
> > > one rainy day he might get around to correcting it. I will post
it
> > > here if so. Or perhaps he would like to?
> > >
> > > Max
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Peter" <pa299@xxxx> wrote:
> > > > Hi
> > > > I'm a new to AFL and need some help with code for a exit on
> first
> > > > profitable open.
> > > >
> > > > I've been using this code in a Commentary window to check if
it
> > > > works.
> > > >
> > > > The problem I have is that at times after entering a long
> position
> > > > (Buy = false) the variable BuyBarsSince in the line
> > > > BuyBarsSince = BarsSince(Buy == 1);
> > > > will reset to 0 when Cond1 AND Cond2 AND Cond3 are all true
> > > >
> > > > The result is an exit below the entry price.
> > > >
> > > > My question is why at times does
> > > > BarsSince(Buy == 1)
> > > > reset to 0 when Buy = false?
> > > >
> > > >
> > > > Am I missing obvious?
> > > > Any help would be appreciated?
> > > > Thanks
> > > > Peter
> > > >
> > > >
> > > > //3Down Close Commentary
> > > >
> > > > Cond1 = Ref(C,1) > Ref(C,0);
> > > > Cond2 = Ref(C,-2) > Ref(C,-1);
> > > > Cond3 = Ref(C,-3) > Ref(C,-2);
> > > >
> > > > Buy = Cond1 AND Cond2 AND Cond3 ;
> > > > BuyPrice = Ref(Open,0);
> > > >
> > > > //------------------------------------------
> > > > // Exit 1st Profitable Open
> > > > // How many bars ago was the last Buy signal?
> > > > BuyBarsSince = BarsSince(Buy == 1);
> > > > // Actual Price of buy
> > > > Price4LastBuy = Ref(BuyPrice, -BuyBarsSince);
> > > >
> > > > SellCond1 = Cross(Open,Price4LastBuy);
> > > > SellCond2 = BarsSince(Buy == 1) > 0;
> > > >
> > > > Sell = SellCond1 AND SellCond2;
> > > > SellPrice = Ref(O,0);
> > > >
> > > > Sell=ExRem(Sell,Buy); Buy=ExRem(Buy,Sell);
> > > >
> > > >
> > > >
> > > > //------------------------------------------
> > > >
> > > > "3 Down Close Commentary";
> > > > "";
> > > > "Cond1 is " + WriteVal(Cond1);
> > > > "Cond2 is " + WriteVal(Cond2);
> > > > "Cond3 is " + WriteVal(Cond3);
> > > > "Buy is " + WriteVal(Buy);
> > > >
> > > > "";
> > > > "BuyPrice is " + WriteVal(Price4LastBuy );
> > > > "BarsSince(Buy)is " + WriteVal(BarsSince(Cond1 AND Cond2));
> > > > "Price4LastBuy is " + WriteVal(Price4LastBuy);
> > > >
> > > > "";
> > > > "SellCond1 is " + WriteVal(SellCond1 );
> > > > "SellCond2 is " + WriteVal(SellCond2 );
> > > >
> > > > "Sell is " + WriteVal(Sell );
> > > > "SellPrice is " + WriteVal(SellPrice );
> > >
> > >
> > >
> > >
> > >
> > > Please note that this group is for discussion between users
only.
> > >
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> >
> >
> > --
> > Cheers
> > Graham
> > http://e-wire.net.au/~eb_kavan/
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