[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: [amibroker] Bitten the bullet on loops



PureBytes Links

Trading Reference Links

Hi, Steve  ....  look's good.    I really like loops and inlude files.   
Added some detail to get worst case intraday slippage numbers.
The following example does not account for daily gaps not an issue with
intraday stuff, but should be added.
 
It's also meant for LMT orders on  Buy/Short and MKT orders on Sell/Cover.
I like putting repetitive code in include files, just another example;
 
--jeff
 
//=========================   Main Program =========================

Stopprofit=0.0030;
Stoploss=
0.0015; //1.2


BuyCond  = 
SellCond =
ShortCond =
CoverCond =
#include "C:\Program Files\AmiBroker\Formulas\Include\BuySell.afl"
//========================= End Main Program =========================

// include the following in file:  buysell.afl
//=begin= "C:\Program Files\AmiBroker\Formulas\Include\BuySell.afl"===

Buy=Sell=Short=Cover=isLong=isShort=0;   //initialize
for( i = 1; i < BarCount
; i++ )
{
   
if (NOT isLong AND
BuyCond [i])
   {   
      
if
(isShort)
      {
         
Cover[i]=1
;
         
CoverPrice[i]= Open[i]+TickSize;  //MKT Order

         isShort=
0
;
      }
      
Buy[i]=1
;
      
BuyPrice[i]=Open[i];  //LMT Order

      TargetPr =
BuyPrice
[i] + Stopprofit;
      StopLossPr =
BuyPrice
[i] - StopLoss;
      isLong=
1
;
   }      

   
if (NOT isShort AND
ShortCond [i] )
   {
      
if
(isLong)
      {
         
Sell[i]=1
;
         
SellPrice[i]= Open[i]-TickSize;  //MKT Order

         isLong=
0
;
      }
      
Short[i]=1
;
      
ShortPrice[i]=Open[i];  //LMT Order

      TargetPr =
ShortPrice
[i] - Stopprofit;
      StopLossPr =
ShortPrice
[i] + StopLoss;
      isShort=
1
;
   }      

   
if
(isLong)
   {
      
// exit

      
if
(SellCond [i] )
      {
         
Sell[i]=1
;
         
SellPrice[i]= Open[i]-TickSize;  //MKT Order

         isLong=
0
;
      }
      
// Stop Loss

      
else if( Low[i] <= StopLossPr AND StopLoss > 0
)
      {
         
Sell[i]=1
;
         
SellPrice[i]= StopLossPr - TickSize;  // add sell at open, if gap, below target

         isLong=
0
;
      }
      
// Profit Target

      
else if( High[i] >= TargetPr AND Stopprofit > 0
)
      {
         
Sell[i]=1
;
         
SellPrice[i]= TargetPr-TickSize;  // add sell at open, if gap, above target

         isLong=
0
;
      }
   }      
   
   
if
(isShort)
   {
      
// exit

      
if
(CoverCond [i] )
      {
         
Cover[i]=1
;
         
CoverPrice[i]= Open[i]+TickSize;  //MKT Order

         isShort=
0
;
      }
      
// Stop Loss

      
else if( High[i] >= StopLossPr AND StopLoss > 0
)
      {
         
Cover[i]=1
;
         
CoverPrice[i]= StopLossPr + TickSize;  // add sell at open, if gap, below target

         isShort=
0
;
      }
      
// Profit Target

      
else if( Low[i] <= TargetPr AND Stopprofit > 0
)
      {
         
Cover[i]=1
;
         
CoverPrice[i]= TargetPr + TickSize;  // add sell at open, if gap, above target

         isShort=
0
;
      }
   }      
}
Equity(1); // To remove redundant signals

//===========  end of BuySell.afl =============================


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





SPONSORED LINKS
Investment management software Real estate investment software Investment property software
Software support Real estate investment analysis software Investment software


YAHOO! GROUPS LINKS