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Hi Howard,
Thanks a lot for the help. It looks a lot of how I have it in mind.
I will rebuild the code for my two systems. With your suggestions it
probably will be a success.
Greets,
Ronald
--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> Hi David --
>
> See if this helps.
>
> It has not been tested completely, and may have coding errors in it.
>
> Thanks,
> Howard
>
> // Multiple Systems in One AFL.afl
>
> // An outline of a technique for combining multiple trading
systems
> // in a single afl
> //
> // Howard Bandy
> // www.quantitativetradingsystems.com
> //
> // This was done quickly and tested lightly.
> // It is intended to be educational -- not necessarily
profitable.
> // Verify that it works for you before using it.
> //
> // Assumptions:
> // 1. Only long trades are taken.
> // All systems can be only Long or Flat.
> // 2. System A is a trend following system
> // and is the "boss".
> // Whenever A is Long, B cannot make a trade.
> // 3. System B is a swing trading system
> // It goes Long or Flat, but only when A is Flat.
>
> // Code for System A
> // Assume it is long term moving average crossover
> // or breakout.
> FastMA = MA(C,10);
> SlowMA = MA(C,100);
> BuyA = Cross(FastMA,SlowMA);
> SellA = Cross(SlowMA,FastMA);
>
> // Code for SystemB
> // Assume it is mean reversion system.
> // Buy every time the fast stochastic rises through 10
> // Sell every time the fast stochastic drops through 90
> //
> FastStoch = StochK(5,3);
> BuyB = Cross(FastStoch,10);
> SellB = Cross(90,FastStoch);
>
> // Combine the two systems
>
> // Set up a "state" corresponding to whether System A is Long or
Flat
> AIsLong = Flip(BuyA,SellA);
> AIsFlat = Flip(SellA,BuyA);
>
>
> // Buy whenever there is a Buy Signal from System A,
> // or a Buy Signal from System B while System A is Flat.
> Buy = BuyA OR (AIsFlat AND BuyB);
>
> // Two different exit conditions -- pick one.
>
> // Sell on either sell signal.
> //Sell = SellA OR SellB;
>
> // Or -- Exit System A only from Systems A's Sell
> Sell = SellA OR (AIsFlat AND SellB);
>
>
> Plot(C,"C",colorBlack,styleCandle);
> Plot(FastMA,"FastMA",colorGreen,styleLine);
> Plot(SlowMA,"SlowMA",colorBlue,styleLine);
> PlotShapes(shapeSmallCircle*BuyB+shapeSmallCircle*SellB,
> IIf(BuyB,colorGreen,colorRed));
> PlotShapes(shapeUpArrow*Buy+shapeDownArrow*Sell,
> IIf(Buy,colorGreen,colorRed));
>
> Plot(FastStoch,"FastStoch",colorRed,styleLine|styleLeftAxisScale);
> Plot(90,"90",colorYellow,styleLine|styleLeftAxisScale);
> Plot(10,"10",colorYellow,styleLine|styleLeftAxisScale);
>
>
> Plot(AIsFlat,"AIsFlat",colorGreen,styleLine|styleLeftAxisScale);
>
>
>
>
> On 5/5/07, Fred <ftonetti@xxx> wrote:
> >
> > For starters try explaining it so that someone outside of
yourself
> > understands what it is are trying to accomplish without having to
ask
> > additional questions ...
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
> > "optiekoersen" <optiekoersen@>
> >
> > wrote:
> > >
> > > Okay, thanks for this advice. Seems an impressive and useful
book.
> > > But for the moment I am at a death point. Are there anymore
> > > suggestions how I can solve this issue quickly?
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "David
> > Fitch" <davidfitch@>
> > > wrote:
> > > >
> > > > You might try Howard Bandy's Book, Quantitative Trading
Systems.
> > He
> > > covers this as well as many other subjects. And it includes AFL
> > > examples as well.
> > > > Dave
> > > >
> > > > ----- Original Message -----
> > > > From: optiekoersen
> > > > To: amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>
> > > > Sent: Saturday, May 05, 2007 6:30 AM
> > > > Subject: [amibroker] mixing two systems
> > > >
> > > >
> > > > I have two systems. A trendfollowing one and a trendreversal
> > > system.
> > > > I use them seperately. Normally I use the trendfollowing
system
> > > untill
> > > > I get a signal from my trendreversal one. Now I would like to
> > put
> > > them
> > > > together in 1 code. The problem is that after getting a buy
> > from
> > > my
> > > > trendreversal system I do not like to follow signals from my
> > > > trendfollowing system until my stoploss or profit is reached.
> > > >
> > > > I seriously have no idea which arguments I should use to solve
> > > this
> > > > problem. Is there anyone who can help me further?
> > > >
> > >
> >
> >
> >
>
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