|
PureBytes Links
Trading Reference Links
|
Hello,
It is good to read User's Guide sometimes.
You are using looping and the answer to your problem is
SetBarsRequired(100000, 100000 );
See
http://www.amibroker.com/f?setbarsrequired
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "lacour_defanel" <pfrengle@xxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, July 30, 2005 6:47 PM
Subject: [amibroker] Problem: AB seems to have two! different SellPrice values (Bug?)
> Hello,
>
> I have experienced a strange behavior of my trading system. If I plot
> the SellPrice-array in an indicator-window and display the SAME
> arrayvalue in the Guru-Commentary, the values are sometimes different.
> It seems that the values the indicator shows are correct (I calculated
> it manually), but the system trades at the values of the Guru. This
> inconsistency seems like a bug to me.
> Last week I could just copy the code and save it in a new file and it
> worked again, both values were the same. Today the problem occured
> again, but doesn't react that friendly. :-(
> I hope someone can help me with this problem, cause it'll soon drive
> me mad if it won't work reliably.
>
> I attach two versions of the system, the first one seems to work (a
> simplified version and rebuild from scratch). The second doesn't show
> consistent Sell oder CoverPrice values. It is reduced from my actual
> system to the essential.
>
> Regards,
> Andreas Pfrengle
>
> ---------------------------------------
>
> Simplified System:
> //Initialize
> SetTradeDelays(0,0,0,0);
> Buy = 0;
> BuyPrice = O;
> Sell = 0;
>
> inmarket = 0;
> range = 14;
> StopPriceArray = 0;
> StopPriceNew = 0;
> AvgTR = ATR(range);
>
> //Trading Loop
> for (i = range; i < BarCount; i++)
> {
> if (inmarket == 0) Buy[i] = 1;
> if (Buy[i] == 1)
> {
> inmarket = 1;
> StopPrice = C[i] - 2 * AvgTR[i];
> }
> StopPriceNew[i] = C[i-1] - 2 * AvgTR[i-1];
> if (Buy[i] != 1) StopPrice = Max(StopPrice, StopPriceNew[i]);
> StopPriceArray[i] = StopPrice;
> SellPrice[i] = Min(StopPrice, O[i]);
> if (inmarket == 1) Sell[i] = (L[i] <= StopPrice);
> if (Sell[i] == 1) inmarket = 0;
>
> }
> PositionSize = -10;
>
> //Debug
> "AvgTR: " + WriteVal(AvgTR, 1.3);
> " ";
> "StopPrice: " + WriteVal(StopPriceArray, 1.2);
> "SellPrice: " + WriteVal(SellPrice, 1.2);
>
> Plot(StopPriceArray, "Stop", colorBlack, styleDots);
> Plot(SellPrice, "SellPrice", colorGrey50, styleDots);
> Plot(AvgTR, "AvgTR", colorGold, styleDots|styleOwnScale);
> Plot(Buy, "Buy", colorTeal, styleOwnScale);
> Plot(Sell, "Sell", colorDarkTeal, styleOwnScale|st
> yleDots|styleNoLine);
>
>
> -------------------------------------------
>
> System with odd behavior:
>
> //Parameters
> nATR = Param("Stop ATR amount", 2, 0.5, 3, 0.5);
> k0 = Param("Adverse Trailing for Stop", 20, 20, 60, 5);
> RSLtrigger = Param("Min RSL-Value", 1, 1, 1.251, 0.05);
> Slip = Param("Slippage in Percent per Trade", 0, 0, 2, 0.1);
> range = Param("Time Range", 14, 7, 21, 1);
> EMAHHVsc = 0.2; //Smoothing Constant for EMA HHV Since Buy
> EMALLVsc = 0.2; //Smoothing Constant for EMA LLV Since Short
>
>
> //Initialize
> SetTradeDelays(1,0,1,0);
> Buy = 0;
> BuyPrice = O;
> Sell = 0;
> Short = 0;
> CoverPrice = O;
> Cover = 0;
> EMAROC = EMA(ROC(C, 1)/100, 3);
> EMAHHV[0] = C[0];
> EMALLV[0] = C[0];
> inmarket = 0;
> inmarketshort = 0;
> StopPrice = 0;
> StopPriceNew = 0;
> StopPriceArray = 0;
> StopPriceShort = 0;
> StopPriceShortNew = 0;
> StopPriceShortArray = 0;
> AvgTR = ATR(range);
>
> //Trading Loop
> for (i = range; i < BarCount; i++)
> {
> // Long-Section
> Buyrule[i] = 1;
> if (inmarket == 0 AND inmarketshort == 0) Buy[i] = Buyrule[i];
> if (Buy[i] == 1)
> {
> inmarket = 1;
> StopPrice = C[i] - nATR * AvgTR[i];
> }
> if (Buy[i] == 1) EMAHHV[i] = C[i];
> else EMAHHV[i] = (1-EMAHHVsc) * EMAHHV[i-1] + EMAHHVsc * H[i];
> StopPriceNew[i] = EMAHHV[i-1] - (k0*EMAROC[i-1] + nATR) * AvgTR[i-1];
> if (Buy[i] != 1) StopPrice = Max(StopPrice, StopPriceNew[i]);
> //Trailing Stop
> StopPriceArray[i] = StopPrice;
> SellPrice[i] = (1 - Slip/100) * Min(StopPrice, O[i]); //Sell at Stop
> (or Open if lower) minus Slippage
> Sellrule[i] = L[i] <= StopPrice;
> if (inmarket == 1) Sell[i] = Sellrule[i];
> if (Sell[i] == 1 AND Buy[i] == 1) Sell[i] = 0; //Avoid Sell on same
> day as Buy because of TradeDelay (1 day)
> if (Sell[i] == 1) inmarket = 0;
>
> // Short-Section
> Shortrule[i] = 1;
> if (inmarket == 0 AND inmarketshort == 0) Short[i] = Shortrule[i];
> if (Short[i] == 1)
> {
> inmarketshort = 1;
> StopPriceShort = C[i] + nATR * AvgTR[i];
> }
> if (Short[i] == 1) EMALLV[i] = C[i];
> else EMALLV[i] = (1-EMALLVsc) * EMALLV[i-1] + EMALLVsc * L[i];
> StopPriceShortNew[i] = EMALLV[i-1] + (-k0*EMAROC[i-1] + nATR) *
> AvgTR[i-1];
> if (Short[i] != 1) StopPriceShort = Min(StopPriceShort,
> StopPriceShortNew[i]); //Trailing Stop
> StopPriceShortArray[i] = StopPriceShort;
> CoverPrice[i] = (1 + Slip/100) * Max(StopPriceShort, O[i]); //Coverat
> Stop (or Open if higher) minus Slippage
> Coverrule[i] = H[i] >= StopPriceShort;
> if (inmarketshort == 1) Cover[i] = Coverrule[i];
> if (Cover[i] == 1 AND Short[i] == 1) Cover[i] = 0; //Avoid Cover on
> same day as Short because of TradeDelay (1 day)
> if (Cover[i] == 1) inmarketshort = 0;
>
> }
>
> WriteVal(EMAHHV, 1.3) + " : EMAHHV";
> WriteVal(AvgTR, 1.3) + " : AvgTR";
> " ";
> "Open: " + WriteVal(O, 1.3);
> "StopPrice: " + WriteVal(StopPriceArray, 1.2);
> "SellPrice: " + WriteVal(SellPrice, 1.2);
> " ";
> "StopShort: " + WriteVal(StopPriceShortArray, 1.2);
> "CoverPrice: " + WriteVal(CoverPrice, 1.2);
>
>
> Plot(SellPrice, "SellPrice", colorBlack, styleDots);
> Plot(CoverPrice, "CoverPrice", colorGrey50, styleDots);
> Plot(Buy, "Buy", colorTeal, styleOwnScale);
> Plot(Sell, "Sell", colorDarkTeal, styleOwnScale|st
> yleDots|styleNoLine);
>
>
>
>
>
>
>
> 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
>
>
>
>
>
>
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
<font face=arial size=-1><a href="http://us.ard.yahoo.com/SIG=12hlk82qp/M=362343.6886682.7839641.1493532/D=groups/S=1705632198:TM/Y=YAHOO/EXP=1122993414/A=2894350/R=0/SIG=10tj5mr8v/*http://www.globalgiving.com";>Make a difference. Find and fund world-changing projects at GlobalGiving</a>.</font>
--------------------------------------------------------------------~->
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|