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I'd like to write the code for a stop that is 2*ATR below the price
at which I buy the stock. I can't figure it out. I am trying to
translate the Turtle Trading Rules below. Has anyone tried this?
Can someone tell me how to do the STOP?
I tried ApplyStop but couldn't figure it out. I am totally new to
AFL, and to Amibroker.
Thanks, Balin Butler
/// Turtle 20-Day Breakout
Replica //////////////////////////////////////
vars: N(0),StopLoss(1),DV(0),BB(0),AccountBalance(0),DollarRisk
(0),LTT(0),
Tracker(0),LastTrade(0),HBP(0),LBP(0); input: InitialBalance
(100000),Length(20);
if marketposition = 0 then begin
BB = 0;
N = xAverage( TrueRange, Length );
DV = N * BigPointValue;
AccountBalance = InitialBalance;
DollarRisk = AccountBalance * .01;
LTT = IntPortion(DollarRisk/DV);
StopLoss = 2 * DV * LTT;
if LastTrade = -1 then begin
buy LTT shares next bar highest(h,20) or higher;
buy LTT shares next bar highest(h,20) + (0.5*N) or higher;
buy LTT shares next bar highest(h,20) + (1.0*N) or higher;
buy LTT shares next bar highest(h,20) + (1.5*N) or higher;
sellshort LTT shares next bar lowest(l,20) or lower;
sellshort LTT shares next bar lowest(l,20) - (0.5*N) or lower;
sellshort LTT shares next bar lowest(l,20) - (1.0*N) or lower;
sellshort LTT shares next bar lowest(l,20) - (1.5*N) or lower;
end;
if LastTrade = 1 then begin
buy LTT shares next bar highest(h,55) or higher;
buy LTT shares next bar highest(h,55) + (0.5*N) or higher;
buy LTT shares next bar highest(h,55) + (1.0*N) or higher;
buy LTT shares next bar highest(h,55) + (1.5*N) or higher;
sellshort LTT shares next bar lowest(l,55) or lower;
sellshort LTT shares next bar lowest(l,55) - (0.5*N) or lower;
sellshort LTT shares next bar lowest(l,55) - (1.0*N) or lower;
sellshort LTT shares next bar lowest(l,55) - (1.5*N) or lower;
end;
end;
// PREVIOUS TRADE TRACKER
if HBP = 0 and h > highest(h,19)[1] then begin
Tracker = 1; HBP = h; LBP = 0;
end;
if LBP = 0 and l < lowest(l,19)[1] then begin
Tracker = -1; LBP = l; HBP = 0;
end;
if Tracker = 1 then begin
if l < HBP - (2*N) then LastTrade = -1;
if h > HBP + (4*N) then LastTrade = 1;
end;
if Tracker = -1 then begin
if h > LBP + (2*N) then LastTrade = -1;
if l < LBP - (4*N) then LastTrade = 1;
end;
// LONG 20
if LastTrade = -1 and marketposition = 1 then begin
BB = BB + 1;
if currentshares = LTT then begin
buy LTT shares next bar highest(h,20)[BB] + (0.5*N) or higher;
buy LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;
buy LTT shares next bar highest(h,20)[BB]+ (1.5*N) or higher;
end;
if currentshares = LTT * 2 then begin
buy LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;
buy LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;
end;
if currentshares = LTT * 3 then
buy LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;
end;
// LONG 55
if LastTrade = 1 and marketposition = 1 then begin
BB = BB + 1;
if currentshares = LTT then begin
buy LTT shares next bar highest(h,55)[BB] + (0.5*N) or higher;
buy LTT shares next bar highest(h,55)[BB] + (1.0*N) or higher;
buy LTT shares next bar highest(h,55)[BB]+ (1.5*N) or higher;
end;
if currentshares = LTT * 2 then begin
buy LTT shares next bar highest(h,55)[BB] + (1.0*N) or higher;
buy LTT shares next bar highest(h,55)[BB] + (1.5*N) or higher;
end;
if currentshares = LTT * 3 then
buy LTT shares next bar highest(h,55)[BB] + (1.5*N) or higher;
end;
sell ("out-S") next bar lowest(l,10) or lower;
// SHORT 20
if LastTrade = -1 and marketposition = -1 then begin
BB = BB + 1;
if currentshares = LTT then begin
sellshort LTT shares next bar lowest(l,20)[BB] - (0.5*N) or lower;
sellshort LTT shares next bar lowest(l,20)[BB] - (1.0*N) or lower;
sellshort LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;
end;
if currentshares = LTT * 2 then begin
sellshort LTT shares next bar lowest(l,20)[BB] - (1.0*N) or lower;
sellshort LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;
end;
if currentshares = LTT * 3 then
sellshort LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;
end;
// SHORT 55
if LastTrade = 1 and marketposition = -1 then begin
BB = BB + 1;
if currentshares = LTT then begin
sellshort LTT shares next bar lowest(l,55)[BB] - (0.5*N) or lower;
sellshort LTT shares next bar lowest(l,55)[BB] - (1.0*N) or lower;
sellshort LTT shares next bar lowest(l,55)[BB] - (1.5*N) or lower;
end;
if currentshares = LTT * 2 then begin
sellshort LTT shares next bar lowest(l,55)[BB] - (1.0*N) or lower;
sellshort LTT shares next bar lowest(l,55)[BB] - (1.5*N) or lower;
end;
if currentshares = LTT * 3 then
sellshort LTT shares next bar lowest(l,55)[BB] - (1.5*N) or lower;
end;
buytocover ("out-B") next bar highest(h,10) or higher;
// STOPS
if currentshares = (2 * LTT) then StopLoss = DV * 3.5 * LTT;
if currentshares = (3 * LTT) then StopLoss = DV * 4.5 * LTT;
if currentshares = (4 * LTT) then StopLoss = DV * 5.0 * LTT;
setstoploss (StopLoss);
// COMMENTARY
commentary ("LTT: ",LTT,Newline);
commentary ("CurrentShares: ",CurrentShares,Newline);
commentary ("StopLoss: ",StopLoss,Newline);
commentary ("AccountBalance:",AccountBalance,NewLine);
commentary ("LastTrade: ",LastTrade,NewLine);
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