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OK Graham... I'm going to work on the loops. I have the following example
from the help file which is going to either kill me or take me to the next
level. Is this what you were referring to?
Do you use applystop for all of your backtesting? Have you found it a good
way to do scaling? Do you think it would work OK for auto-trading? I'm
concerned that it is a bit of a black box -- that I won't really understand
what it is doing.
Thanks again so much.
chuck
Example 4: partial exit (scaling out) on profit target stops
Example of code that exits 50% on first profit target, 50% on next profit
target and everything at trailing stop:
Buy = Cross( MA( C, 10 ), MA( C, 50 ) );
Sell = 0;
// the system will exit
// 50% of position if FIRST PROFIT TARGET stop is hit
// 50% of position is SECOND PROFIT TARGET stop is hit
// 100% of position if TRAILING STOP is hit
FirstProfitTarget = 10; // profit
SecondProfitTarget = 20; // in percent
TrailingStop = 10; // also in percent
priceatbuy=0;
highsincebuy = 0;
exit = 0;
for( i = 0; i < BarCount; i++ )
{
if( priceatbuy == 0 AND Buy[ i ] )
{
priceatbuy = BuyPrice[ i ];
}
if( priceatbuy > 0 )
{
highsincebuy = Max( High[ i ], highsincebuy );
if( exit == 0 AND
High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy )
{
// first profit target hit - scale-out
exit = 1;
Buy[ i ] = sigScaleOut;
}
if( exit == 1 AND
High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy )
{
// second profit target hit - exit
exit = 2;
SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget * 0.01 )
* priceatbuy );
}
if( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
{
// trailing stop hit - exit
exit = 3;
SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 ) *
highsincebuy );
}
if( exit >= 2 )
{
Buy[ i ] = 0;
Sell[ i ] = exit + 1; // mark appropriate exit code
exit = 0;
priceatbuy = 0; // reset price
highsincebuy = 0;
}
}
}
SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) ); //
scale out 50% of position
----- Original Message -----
From: "Graham" <kavemanperth@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, January 08, 2006 8:55 PM
Subject: Re: [amibroker] Struggling again... advice requested
> You do not need Osaka for this, the loops are not that hard once you
> get the hang of them. It is more the logic you need to step through in
> detail, and include at each step what has to be remembered and passed
> on to each bar
>
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://e-wire.net.au/~eb_kavan/ab_write.htm
>
>
>
>
>
> On 1/9/06, Keith McCombs <kmccombs@xxxxxxxxxxxx> wrote:
>> Link for osaka:
>> http://www.amibroker.org/3rdparty/
>>
>>
>> cstrader wrote:
>>
>> Right but the problem is that this line:
>>
>> Bought = Flip(Buy, Sell,);
>>
>> won't execute because sell is not yet (cannot yet be) defined.
>>
>> Do you have a link for the osaka plugin? I can't seem to track it down.
>> Did see some posts about array "persistency" which is what I think I'm
>> looking for.
>>
>>
>>
>>
>>
>> ----- Original Message -----
>> From: Graham
>> To: amibroker@xxxxxxxxxxxxxxx
>> Sent: Sunday, January 08, 2006 7:06 PM
>> Subject: Re: [amibroker] Struggling again... advice requested
>>
>>
>> flip starts on the first bar with 1 and ends last bar with 0, so
>>
>> Buyprice = Valuewhen (Buy and ref(Bought,-1)==0);
>>
>>
>> --
>> Cheers
>> Graham
>> AB-Write >< Professional AFL Writing Service
>> Yes, I write AFL code to your requirements
>> http://e-wire.net.au/~eb_kavan/ab_write.htm
>>
>>
>> On 1/9/06, cstrader <cstrader232@xxxxxxxxxxxx> wrote:
>> >
>> >
>> >
>> > Hi Herman:
>> >
>> >
>> >
>> > Those are both excellent ideas. They may be what I need. Perhaps I'm
>> > making too much of it, but I am indeed in a quagmire. Let me try to be
>> > clearer.
>> >
>> >
>> >
>> > I want to get in and out of trades as the day goes on (not simple
>> > reversals, but in and out of trades). To set my exits I need to
>> > remember the initial buyprice of the entry. In actual trading I can
>> > get this entry price from the TWS, but I can't do that during
>> > development. I need also need to ignore later extraneous buy signals.
>> >
>> >
>> >
>> > Ideally the code would look something like that below. However, it is
>> > not possible, because you need to know the value of Sell in line 2 in
>> > order to determine whether you are at the real (first) buypoint rather
>> > than a later extraneous one. However Sell cannot be defined until
>> > line 4 (after buyprice is determined)
>> >
>> >
>> >
>> > A possibility is to set buyprice as static rather than array. As I
>> > mentioned earlier, this is a solution, but not a very good one.
>> >
>> >
>> >
>> > What am I missing?
>> >
>> >
>> >
>> > Chuck
>> >
>> >
>> >
>> >
>> >
>> > ///1
>> >
>> > Buy = buyconditions;
>> >
>> >
>> >
>> > ///2 We're in a buy now, until we get a sell signal
>> >
>> > Bought = Flip(Buy, Sell,);
>> >
>> >
>> >
>> > ///3 Where did we enter? Need to remember first buyprice and to ignore
>> > subsequent buy signals (e.g. signals where we are already in a buy)
>> >
>> > Buyprice = Valuewhen (Buy and !Bought);
>> >
>> >
>> >
>> > ///4 Now we go flat
>> >
>> > Sell = C > Buyprice + 2 or C < Buyprice - 2;
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> > ----- Original Message -----
>> > From: Herman van den Bergen
>> > To: amibroker@xxxxxxxxxxxxxxx
>> > Sent: Sunday, January 08, 2006 5:41 PM
>> > Subject: RE: [amibroker] Struggling again... advice requested
>> >
>> >
>> > Perhaps this will give you more ideas...
>> >
>> > In the past i have "attached" text, signals, trade information, etc. to
>> > bars by using staticvariables named with the bar's time appended. For
>> > text example you could use:
>> > staticvarsettext("Bar"+TimeNumber, "your info to attach"); Where the
>> > TimeNumber is SelectedValue(TimeNum()). You can also use
>> > StaticvarSet("Bar"+TimeNumber, Numericalvalue) to attach signals. This
>> > method will work if you only want to tag a limited number of bars (up
>> > to a few hundred). You can loop through the bars displayed and plot
>> > numbers or show/recall text from selected bars.
>> >
>> > I presume you have looked at using a table? Look at the OSAKA plugin.
>> >
>> > If you do not need to save data after shutdown you can, instead of
>> > using a text file, save long strings (same as file) in a
>> > StaticvarSetText(), easier?
>> >
>> > Chuck, i think you may be making is more complicated than it needs
>> > be...if you can describe exactly what your need perhaps we can help you
>> > better....
>> >
>> > herman
>> >
>> >
>> > -----Original Message-----
>> > From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On
>> > Behalf Of cstrader
>> > Sent: Sunday, January 08, 2006 12:54 PM
>> > To: amibroker@xxxxxxxxxxxxxxx
>> > Subject: Re: [amibroker] Struggling again... advice requested
>> >
>> >
>> > Thanks again Herman.
>> >
>> > I basically do that too, although it isn't really the issue I have.
>> >
>> > My thinking is now here: What I need is a new type of variable -- it
>> > is static in the sense that it holds its value across bars, but dynamic
>> > in the sense that it can change over time. The problem with static
>> > variables is that when you set them at, say 14:00, they change their
>> > value back at say 10:00 as well.
>> >
>> > In essence, what I want is a Hold() function where the length of the
>> > hold is determined dynamically rather than statically. Doesn't (yet)
>> > exist!
>> >
>> > What I think what I'm going to try (anyone else ever done this?) is to
>> > create a "history" text file. At the end of every bar I will write
>> > (append) the current status to a text file, along with the current
>> > barindex. This can be done realtime or by running the cursor across
>> > the chart. Then I'll read in from that history file as time goes on.
>> > This will allow me to know what my positions were at say 10:31, even
>> > when it's 14:01.
>> >
>> > I'm thinking this might help me,? although you've probably guessed by
>> > now that I really have no idea what I'm doing... :)
>> >
>> > chuck
>> >
>> > ----- Original Message -----
>> > From: Herman van den Bergen
>> > To: amibroker@xxxxxxxxxxxxxxx
>> > Sent: Sunday, January 08, 2006 11:50 AM
>> > Subject: RE: [amibroker] Struggling again... advice requested
>> >
>> >
>> > In real trading you can use LastPrice = Lastvalue(C) or
>> > GetRTData("Last");
>> >
>> > During developement I often use LastPrice = SelectedPrice(C); This
>> > allows me to step my cursor over the bars (or just click on the chart
>> > to select a bar) on the chart and trigger trades. Of course this is
>> > ONLY to test the mechanics of your system and profits and fills do not
>> > reflect real prices. Limit orders tend to fill only one way because the
>> > selectedprice can be far away from the market price seen by the TWS.
>> >
>> > For initial testing I find this much easier/faster than working with
>> > simulators or the DEMO TWS.
>> >
>> > herman
>> >
>> >
>> > -----Original Message-----
>> > From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On
>> > Behalf Of cstrader
>> > Sent: Sunday, January 08, 2006 11:20 AM
>> > To: amibroker@xxxxxxxxxxxxxxx
>> > Subject: Re: [amibroker] Struggling again... advice requested
>> >
>> >
>> > Herman....right but this assumes that you are real time and live or
>> > paper trading. But what do you do when you are developing the system?
>> >
>> > ----- Original Message -----
>> > From: Herman van den Bergen
>> > To: amibroker@xxxxxxxxxxxxxxx
>> > Sent: Sunday, January 08, 2006 11:15 AM
>> > Subject: RE: [amibroker] Struggling again... advice requested
>> >
>> >
>> > In simple system you can check the positionsize:
>> >
>> > IBPosSize = ibc.GetPositionSize( Ticker );
>> >
>> >
>> > assuming you got full fills you don't want to go short if you are
>> > already short, or long if you are already long.
>> >
>> > For this type of trading you could/should be using minute bars and
>> > limit trades to one per minute.
>> >
>> > If trading a reversal system you can also maintain your own Static
>> > position indicator...
>> >
>> > hreman
>> >
>> >
>> >
>> >
>> >
>> > -----Original Message-----
>> > From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On
>> > Behalf Of cstrader
>> > Sent: Sunday, January 08, 2006 11:04 AM
>> > To: amibroker@xxxxxxxxxxxxxxx
>> > Subject: Re: [amibroker] Struggling again... advice requested
>> >
>> > Sorry, I think my post wasn't that clear. I am trading intraday, and I
>> > want
>> > to get in and out of trades frequently during the day. The trouble I'm
>> > having is determining whether I should open a new trade, because I
>> > don't
>> > know yet whether I've gotten out of the old one. That is, you want to
>> > use
>> > Exrem() to avoid repeated buy signals, but you can't do that because
>> > you
>> > have to use the sell conditions to define the buy conditions. Am I
>> > making
>> > any sense?
>> >
>> >
>> > ----- Original Message -----
>> > From: "Tradingbasis" <tzg@xxxxxxxxxxxxxxxx >
>> > To: <amibroker@xxxxxxxxxxxxxxx>
>> > Sent: Sunday, January 08, 2006 10:56 AM
>> > Subject: RE: [amibroker] Struggling again... advice requested
>> >
>> >
>> > > Hi,
>> > >
>> > > try this one:
>> > >
>> > > Setup = your buy condition;
>> > > Tradedate = ValueWhen(setup,DateNum(),1);
>> > > LastTradedate = Ref(Tradedate,-1);
>> > > Otpd = Tradedate > Lasttradedate;//only one trade per day
>> > >
>> > > Buy = Setup;
>> > >
>> > >
>> > > - - - - - - - - - - - - - - - - - - - -
>> > > Best regards
>> > >
>> > > Thomas
>> > > www.tradingbasis.com
>> > > support@xxxxxxxxxxxxxxxx
>> > > - - - - - - - - - - - - - - - - - - - -
>> > >
>> > > -----Original Message-----
>> > > From: amibroker@xxxxxxxxxxxxxxx [mailto: amibroker@xxxxxxxxxxxxxxx]
>> > > On
>> > > Behalf
>> > > Of cstrader
>> > > Sent: Sunday, January 08, 2006 4:48 PM
>> > > To: amibroker@xxxxxxxxxxxxxxx
>> > > Subject: [amibroker] Struggling again... advice requested
>> > >
>> > > I am struggling (again!), and would like to request some advice.
>> > >
>> > >
>> > >
>> > > My new systems take more than one trade in a day. This creates what
>> > > I
>> > > call
>> > > the Catch-22 problem. You can't anymore use arrays to mark the
>> > > trades
>> > > because the entry is dependent on the exit which is dependent on the
>> > > entry... So now what do I do?
>> > >
>> > >
>> > >
>> > > One possibility is to code with loops. I hate that idea because it's
>> > > complicated and because I thought that AB was all about avoiding
>> > > loops.
>> > >
>> > >
>> > >
>> > > Another possibility is to mark the entry price with a static variable
>> > > and
>> > > hold it until the exit. This will (maybe) work OK in actual trading
>> > > and
>> > > in
>> > > AA but it is hard to tell what is happening because the buy and sell
>> > > arrows
>> > > on the chart display are no longer accurate (because later static
>> > > variable
>> > > assignments mess up the display of earlier ones).
>> > >
>> > >
>> > >
>> > > This seems like such a basic problem that someone else must have
>> > > dealt
>> > > with
>> > > it and found the solution.
>> > >
>> > >
>> > >
>> > > Thanks!
>> > >
>> > >
>> > >
>> > > chuck
>> > >
>> > >
>> > >
>> > >
>> > > 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
>> > >
>> > >
>> > >
>> > >
>> > >
>> > >
>> > >
>> > >
>> > >
>> > >
>> > > 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
>> > >
>> > >
>> > >
>> > >
>> > >
>> > >
>> >
>> >
>> >
>> > 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
>> >
>> >
>> >
>> >
>> >
>> >
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>>
>>
>>
>> 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:
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>>
>>
>>
>>
>>
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>>
>>
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>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
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>
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