----- Original Message -----
Sent: Monday, January 09, 2006 5:01
PM
Subject: [amibroker] How to set the
"amount" in ApplyStop(stopTypeTrailing, stopModePoint,amount,1,1,1)
Greetings,
I am trying to implement the Elder Safe Zone stop from code I got
from the library and elsewhere. Try as I might (and it's been a while),
I cannot determine how to convert the stop price I get from the SZ
calculation into the "amount" for a trailing stop. I have searched Help,
the AB site and newsgroups here but have not found any useful information on
how to make this work or how AB handles a trailing stop.
As you can see below, I have approximated a trailing stop, but it has the
disadvantage of using the the next day's open when the actual stop is greater
than the next day's prices and it does not exit intraday.
The setup for EOD trading, exiting intraday is in my formula -- the
profit stop I've coded works as expected. Following the work-around for
the trailing stop is the code I started for the trailing Applystop, bu t of
course the code for the "amount" is wrong. What is there is
the closest I could come to getting the right amount and it's very
wrong.
Thank you for any help you can provide.
TrailingStop = 4; //simulate trailing stop
LookbackPeriod = 8;//Optimize("SZLkBk",12,4,12,1); //Set Lookback period
AvgDnPenCoeff = 1.9;//;//Optimize("SZLongCoeff", 1.35, 1.5, 3.5, 0.1);
//
DownPen = IIf(Low < L1, L1 -
Low, 0); //Identify
amount of each penetration -- O=none
DownPenSum = Sum(DownPen,LookbackPeriod);
//Total volume of penetrations during the lookback
period
DownPenCount = Sum(Low < L1,
LookbackPeriod); //Number of penetrations during lookback
period
AvgDownPen = DownPenSum/DownPenCount; //Average
penetration amount during lookback period
AvgDownPen = Nz(AvgDownPen, 0);//Insure it is not
NAN
DownPenSum = Sum(DownPen, LookbackPeriod);
//Total volume of penetrations during the lookback
period
SafeZoneLong = L1 - (AvgDownPen*AvgDnPenCoeff); //
"Place your stop at a multiple of yesterday's AveDownPen below yesterday's
low."
SafeZoneTrailLong = HHV( SafeZoneLong, BarsSince(Buy) + 1
);//stop can' t drop during trade
SZStopLong = IIf( Low <= Ref( SafeZoneTrailLong, -1),
True, False); //the stop is
trigger
SZStopLong = ExRem(SZStopLong,
Buy);//mask off secondary SZ signals
//Trailing stop workaround
for( i = 0; i < BarCount;
i++ )
{
if(
SZStopLong[i] == True )
{
SellPrice[i] = SafeZoneTrailLong[i];
Sell[i] = TrailingStop;
}
}
Plot(SafeZoneTrailLong, "
SellStop", colorYellow,
styleStaircase);
//How to make this work?
SZTrailLong_Amount = High - Ref(SafeZoneTrailLong, - 1);
//Wrong
SZTrail_ExitAtStop = 1;
SZTrail_Volatile = True;
SZTrail_ReEntryDelay = 1;
ApplyStop(stopTypeTrailing, stopModePoint, SZTrailLong_Amount,
SZTrail_ExitAtStop, SZTrail_Volatile, SZTrail_ReEntryDelay);
Best regards,
Joe
Yahoo! Photos – Showcase holiday pictures in hardcover
Photo
Books. You design it and we’ll bind it!
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