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

[amibroker] Scaling Out ???



PureBytes Links

Trading Reference Links

I have been trying to modify this scaling out code from the help 
files for about 2 weeks with no luck.  I want to make it scale out 
of 2 futures contracts or two lots of Forex crosses. 

I believe it is just a matter of tweaking the Position size coding 
to shares, which I have tried, but it always seems to want to exit 
both shares on the first profit target instead of just one. 

Here is the original code from the help file. If any of you 
programming geniuses could tweak it to work with Forex/futures that 
would be really cool. THANK YOU!
______________________________________________________________

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 == 
ScaleOut ) ); // scale out 50% of position