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Hello Tomasz,
thanks for your answer, I've put the "SetBarsRequired" line on top of my
formula; but unfortunately it didn't change anything :-/ Even if this
were the reason, I couldn't understand why the two shown values of the
same array are different (represented with "Plot" and "WriteVal"
respectively). That's what makes me a bit confused :-?
Thanks for your help,
Andreas Pfrengle
> 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);
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