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Forgot to thank you and everyone regarding this problem.
Ta,
Michael.
oceanchimes wrote:
>
> Michael,
> I have this problem also and came up with this code with the help of
> TJ's example code from AB Help. It uses loops to find the actual
> entry details. All comments and insights welcome. Using array AFL
> only works if there are no redundant buy signals and exrem is used.
> Yes horse & cart argument, since sell signal not known if money
> management only used ie. sell=0;. Hence the need for loops. I would
> like to take this opportunity to thank you for all your help on this
> and other forums.
> franc
>
> //----------------------------------------------------------
> x = Cum(1);
> buy = put your signals here
> sell = 0;
>
> InitialStop = put your code here
>
> //----------------------------------------------------------
> //STOPS - worst first
> //----------------------------------------------------------
> //Breakeven
> //Stop at breakeven price once threshold reached
> //BB-BarAtBuy, bar-current bar, perc-threshold percent
> function BrkEvenStop(bar,BB,perc)
> {
> BrkEven = 0;
> threshold = BuyPrice[BB]*(1+perc);
>
> if( C[bar] > InitialStop[BB] )
> {
> //search back for threshold, then set BrkEven,
> //within limits j=0...barcount
> for( j=Bar; j>=BB AND j>=0 AND j<BarCount AND BrkEven==0; j-- )
> {
> if( C[j] >= threshold ) //threshold found
> { BrkEven = 1; }
> }
> }
> return ( C[bar] <= BuyPrice[BB] AND BrkEven )
> OR C[bar] <= InitialStop[BB];
> }
>
> //----------------------------------------------------------
> //MAEStop
> //Exit once Adverse Trade by perc amount
> function MAEStop(bar,BB,perc)
> {
> return L[bar] <= BuyPrice[BB]*(1-perc);
> }
>
> //----------------------------------------------------------
> //MaxTradeExit
> //Exit once a Target High has been reached
> function MaxTradeExit(bar,BB,perc)
> {
> return H[bar] >= BuyPrice[BB]*(1+perc);
> }
>
> //----------------------------------------------------------
>
> //Check for valid Stops and Exits
> //loops needed to find entryprice, for the following reasons
> //1. cannot find entry or exit condition without stable flip operation
> //2. Flip func messed up since Sell=0 (all exits are MoneyManagement)
> //3. multiple Buy/Sell, (redundant signals present)
> // since AA may enter 2 or 3rd buy andso not same bar as flip func
> //4. exrem loses redundant entries all except 1st buy since no sells
> BarAtBuy = 0;
> MAECutoff = 0.025; //MAE percent
> MaxExitValue = 0.50; //Target Exit percent
> BrkEvenPt = 0.15; //Breakeven threshold percent
> MAECode = 11; //select exit code(s)
> MaxExitCode = 12;
> BrkEvenCode = 13;
>
> //from least to most important,
> //because subsequent stop will over-write previous Exitcode
> for( i=0; i<BarCount; i++ )
> {
> if( Buy[i] AND BarAtBuy==0 ) {BarAtBuy=x[i]-1;}
> //cum(1)-1->>0..barcount
>
> if( BarAtBuy>0 ) //allows same bar exit
> {
> BuyBar[i] = BarAtBuy;
>
> if( MaxTradeExit(i,BarAtBuy,MaxExitValue) ){ExitCode=MaxExitCode;}
>
> if( MAEStop(i,BarAtBuy,MAECutoff) ) {ExitCode=MAECode;}
>
> if( BrkEvenStop(i,BarAtBuy,BrkEvenPt) ) {ExitCode=BrkEvenCode;}
> }
> else
> {
> Sell[i] = 0;
> ExitCode = 0; //cleans redundant sell signals
> }
>
> if(ExitCode>0)
> {
> Buy[i] = 0;
> Sell[i] = ExitCode; //mark appropriate exit code
> BarAtBuy = 0; //reset price
> ExitCode = 0;
> }
> }
>
> //----------------------------------------------------------
>
> --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>,
> "Michael.S.G." <OzFalconAB@xxx> wrote:
> >
> > I seem to be stuck in a rut and can not figure this out. Any help
> would
> > be greatly appreciated.
> >
> > I would like to correctly calculate the bars since a buy or sell
> signal,
> > Then find the HHV or LLV since that Buy or Sell signal.
> > Seems simple enough, But my code is not producing the required results.
> > ie. The BarsSinceBuy is NOT reseting after a Buy Sig.
> > Here are two pictures showing the problem. And the code following.
> >
> > 1) Bar count after sell is correct. (ie Bars since SellSig = 7)
> >
> >
> >
> > 1) Bar count after buy is incorrect and should = 7. (ie Bars since
> > BuySig = 195)
> >
> >
> > CODE:
> > _SECTION_BEGIN("TestSystem");
> > //Init
> > SetBarsRequired(10000,10000);
> > Buy[0]=0;
> > Sell[0]=0;
> >
> > // optimize values
> > CMAV = Optimize("Common MA value", 20, 20, 80, 1 );
> > BuyHook = Optimize("Buy Hook percent", 1, 1, 20, 1 );
> > SellHook = Optimize("Sell Hook percent", 1, 1, 20, 1 );
> >
> > //Manual Overides
> > CMAV = Param("Common MA value", 20, 10, 80, 1 );
> > BuyHook = Param("Buy Hook percent", 2, 1, 20, 1 );
> > SellHook = Param("Sell Hook percent", 2, 1, 20, 1 );
> >
> > z = Param("BuySell Delay", 1, 0, 20, 1 );
> >
> > // Calc
> > CMA = MA(C,CMAV);
> >
> > BarsSinceBuy = BarsSince(Buy);
> > SMAhhv = HHV(CMA, BarsSinceBuy);
> > SMAmod = 1-((SellHook/1000));
> > SMAadj = SMAmod * SMAhhv;
> > Sell = Cross(SMAadj,CMA);
> >
> > BarsSinceSell = BarsSince(Sell);
> > BMAllv = LLV(CMA, BarsSinceSell);
> > BMAmod = ((BuyHook/1000))+1;
> > BMAadj = BMAmod * BMAllv;
> > Buy = Cross(CMA,BMAadj);
> >
> > Buy = ExRem(Buy,Sell);
> > Sell = ExRem(Sell,Buy);
> >
> > Buyplt=Ref(Buy,-z);
> > Sellplt=Ref(Sell,-z);
> >
> > // plot & title
> > Color = IIf(O > C, colorBlack, colorYellow);
> > Plot( Close, "Price", color, styleCandle);// | styleOwnScale );
> > Plot( CMA, "Common MA", colorBlack, styleLine);
> > PlotShapes( shapeSmallUpTriangle*Buyplt, colorGreen, 0, O, 10 );
> > PlotShapes( shapeSmallDownTriangle*Sellplt, colorRed, 0, O, -10 );
> >
> > _N(Title = "Test System " + Date() + " Open "+O+" Hi "+H+" Low "+L+"
> > Close "+C+" Volume "+WriteVal(V,1) + "\nBase Index:" + GetBaseIndex() +
> > "\nDebug" +
> > "\nBuy = "+Buy + " Sell = "+Sell +
> > "\n" +
> > "\nBars since BuySig: " + BarsSinceBuy +
> > "\nSMAmod : " + SMAmod +
> > "\nSMAhhv : " + SMAhhv +
> > "\nCMA : " + CMA +
> > "\nSMAadj : " + SMAadj +
> > "\n" +
> > "\nBars since SellSig: " + BarsSinceSell +
> > "\nBMAmod : " + BMAmod +
> > "\nBMAllv : " + BMAllv +
> > "\nCMA : " + CMA +
> > "\nBMAadj : " + BMAadj +
> > "\n");
> > _SECTION_END();
> >
>
>
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