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Hi,
Thank you for your code.
With something so apparently simple I was really hoping to it done
without looping code.
Regards
Alan
Stephane Carrasset wrote:
>Hello,
>I was often dispointed with applystops, so i have written my own loop
>to manage differents exits.
>of course the code is a "little" long, but if you take some time to
>try it you must find it usefull, below is an example to get two
>differents profit, so you can change it to get two differents stoploss
>
>Stephane
>
>Title= "Rem afl";
>Setup=Cross( MFI(3),0);
>
>/*****************************/
>BuyCond= Ref(Setup,-1);
>Entryprice=O;
>Exitprice=Low;// or Close
>Stoploss=LLV(L,3)-0.75*ATR(10) ;
>Stoptrail=LLV(L,3)-1.75*ATR(10);
>Pf=7;
>Stopprofit=(1+(Pf/100))*Entryprice;
>
>
>//Initialize
>Buy=Sell=0;
>SellPr=Null;
>TrailPr=Null;
>TargetPr=Null;
>StopLossPr=Null;
>lastbuyprice=0;
>stoplossprice=0;
>profitprice=0;
>trailingprice=0;
>oldtrailingprice=0;
>trailingstop=0;
>Count=0;
>
>Empty=IsNull(stoploss) OR IsNull(stoptrail) OR IsNull(stopprofit);
>
>for( i = 0; i < BarCount; i++ )
>{
> if(buycond[i] AND NOT(Empty[i]))
> {
> Buy[i]=1;
> Sell[i]=0;
>
> }
>/*Remove Buy signals if trade was already initiated*/
> if(lastbuyprice>0 )
> {
> Buy[i]=0;
> Count++;
> }
>
>/*get the buyprice AND the stoplossprice AND the profitprice*/
> if (lastbuyprice == 0 )
> {
> if( Buy[ i ] == 1)
> {
> trailingstop = 0;
> trailingprice = 0;
> oldtrailingprice = 0;
> lastbuyprice= entryprice[i];
> stoplossprice=stoploss[i];
> profitprice=stopprofit[i];
> }
> }
>
>// CONDITIONS EXIT
>
> if(lastbuyprice>0)
> {
>//StopLoss price
> StopLossPr[i]=stoplossprice;
>//stopTrail price
> trailingprice = stoptrail[i] ;
> if (trailingprice < oldtrailingprice)
> trailingprice = oldtrailingprice;
> else
> oldtrailingprice = trailingprice;
> TrailPr[i]=trailingprice; // pour connaitre l'array
>du trailing price init;
>//Target Price array
> if(Count<5)
> TargetPr[i]=profitprice;
> else
> TargetPr[i]=profitprice + profitprice-trailingprice;
>
> if (Exitprice[i] <= Max
>(stoplossprice,trailingprice ))//stoploss
> {
> if(Exitprice[i]==Low
>[i])
> {
> if(Open[i]
><=Max(stoplossprice,trailingprice ))
> SellPr
>[i]=Open[i];
> else
> SellPr
>[i]=Max(stoplossprice,trailingprice );
> }
> else
> {
> if(exitprice
>[i]==Close[i])
> SellPr
>[i]=Close[i];
> }
>
> Sell[i]=1;
> lastbuyprice=0;
> stoplossprice=0;
> profitprice=0;
> trailingprice = 0;
> oldtrailingprice = 0 ;
> trailingstop=0;
> Count=0;
> }
> else
> {
> if( High[i] > TargetPr[i] )
>// trailingstop stoploss
> {
> if(Open[i]> TargetPr[i] )
> SellPr[i]=Open[i];
> else
> SellPr[i]= TargetPr[i] ;
>
>
> Sell[i] = 1;
> lastbuyprice = 0;
> stoplossprice = 0;
> profitprice = 0;
> trailingprice = 0;
> oldtrailingprice = 0;
> trailingstop=0;
> Count=0;
> }
> }
> }
>
> if(Sell[i]==0)
> SellPr[i]=Close[i];
> nCpt[i]=Count;
>}
>
>
>Plot(Close,"Close",IIf( Buy, colorGreen, IIf(Sell ,
>colorRed ,1 )),64);
>PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,L,-20);
>PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,H,-20);
>
>Plot(TrailPr,"",colorGreen,1);
>Plot(StopLossPr,"",colorRed,1);
>Plot(TargetPr,"",colorBlue,1);
>Plot(ValueWhen(Sell,SellPr),"SellPr",colorYellow,1);
>//Plot(ncpt,"",colorBlue,1);
>
>
>
>>Thank you for pointing out the flaw. I changed the code from day()
>>
>>
>to
>
>
>>datenum() which gives a unique day for the trade.
>>
>>
>>StopLvl = 0.0030;
>>
>>Buydate = ValueWhen(Buy,Datenum()); // Determine buy date
>>
>>StopLvlWid = 0.0010;
>>
>>StopLvl = IIf( Datenum()!=Buydate, StopLvl+StopLvlWid, StopLvl);
>>
>>ApplyStop(stopTypeLoss, stopModePoint, StopLvl, True, True);
>>
>>
>>With an addcolumn, I can see StopLvl changes from 0.0030 to 0.0040
>>when the date changes but the trade is still stopped out at 0.0030
>>
>>
>on
>
>
>>the following day.
>>
>>Still puzzled.
>>
>>Regards
>>Alan
>>
>>
>>--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
>>wrote:
>>
>>
>>>Hello,
>>>
>>>Your formula logic is flawed.
>>>
>>>Day() represents DAY NUMBER (1-31) not date,
>>>so
>>>ValueWhen(Buy,Day())
>>>will be true EVERY MONTH when day is the same as day of the entry
>>>(previous month(s))
>>>
>>>
>>>Best regards,
>>>Tomasz Janeczko
>>>amibroker.com
>>>----- Original Message -----
>>>From: "firehorse888uk" <firehorse888uk@xxxx>
>>>To: <amibroker@xxxxxxxxxxxxxxx>
>>>Sent: Friday, May 27, 2005 7:50 PM
>>>Subject: [amibroker] 'Simple!' dynamic applystop help please
>>>
>>>
>>>
>>>
>>>>Hi,
>>>>
>>>>I'm backtesting forex.
>>>>
>>>>On the day of the trade, I want the stop loss to be 30pts.
>>>>On subsequent days, I want the stop loss to be 40pts.
>>>>Edited relevant section of code follows:
>>>>
>>>>StopLvl = 0.0030;
>>>>
>>>>Buydate = ValueWhen(Buy,Day()); // Determine buy day
>>>>
>>>>StopLvlWid = 0.0010;
>>>>
>>>>StopLvl = IIf( Day()!=Buydate, StopLvl+StopLvlWid, StopLvl);
>>>>
>>>>ApplyStop(stopTypeLoss, stopModePoint, StopLvl, True, True);
>>>>
>>>>
>>>>Can anyone see why the above code doesn't work.
>>>>I've tracked StopLvl and it changes correctly for the following
>>>>
>>>>
>>day.
>>
>>
>>>>I've set dynamic level to true so I don't understand why the
>>>>
>>>>
>trade
>
>
>>>>stops out at 30pts rather than 40pts on subsequent days.
>>>>
>>>>Thanks
>>>>Alan
>>>>
>>>>
>
>
>
>
>
>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
>
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>
>
>
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>
>
>
>
>
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