PureBytes Links
Trading Reference Links
|
Chorlton,
Sorry, I haven't really looked much at SAR. I'd say you'd need to
calculate a modified version of your own for what you want though. You
can find the formula on Wikipedia here:
http://en.wikipedia.org/wiki/Parabolic_SAR
Take a look at how that works and see if you can see what needs
changing to get it to do what you want.
Regards,
GP
--- In amibroker@xxxxxxxxxxxxxxx, "chorlton_c_hardy"
<chorlton-c-hardy@xxx> wrote:
>
>
> Hello GP,
>
> Thanks for the reply.
>
> I wasn't really expecting a response but I'm so glad that you did as
> you have explained it very well.
>
> Many Thanks....
>
> On a slightly different topic, as you've already been most helpful,
> would you have any ideas/opinions with regard to my other recent post
> entitled SAR Indicator (post # 117994)
>
> Once again Thanks,
>
> Chorlton
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@>
> wrote:
> >
> > Chorlton,
> >
> > The loop code does the same thing as the first three lines, but
> allows
> > you to remove extra buy signals as you go so that they don't affect
> > the sell array (since sell signals are based on the date of buy
> signals).
> >
> > The HighestSince line just says set hsb to the highest value of the
> > AccDist array since the most recent buy signal (which is where you
> can
> > get a problem if there's a new buy signal while you're still
> holding).
> > Sell is then the AccDist value dropping more than 10% below that
> > highest value. Note that hsb is an array in this case.
> >
> > The loop is broken into two main cases: when it's not holding
> already,
> > and when it is. When it's not holding, it's looking for buy signals.
> > When it is holding, it removes any more buy signals and just looks
> for
> > sell signals. When not holding and a buy signal is encountered, it
> > changes the state to holding (ie. doHold = True) and sets the
> highest
> > AccDist value (hsb) to the current bar's AccDist value. When
> holding,
> > it first checks for the current bar's AccDist value being higher
> than
> > the highest already recorded, and changes the highest to the new
> > higher value if so, then checks to see if the current bar's AccDist
> > value is more than 10% below the currently-recorded highest value.
> If
> > so, then that's a sell signal, in which case it sets the Sell array
> to
> > True at that bar, and changes the state to not holding (doHold =
> > False). Note that hsb is a single value in this case, not an array.
> >
> > Hope this helps.
> >
> > Regards,
> > GP
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "chorlton_c_hardy"
> > <chorlton-c-hardy@> wrote:
> > >
> > >
> > > Hello GP,
> > >
> > > Thanks for your detailed reply.
> > >
> > > Looking at the code posted, I think I will need to refer back to
> the
> > > manual just to ensure that I understand what every line of code
> is
> > > actually doing, as my programming is pretty basic!!! :-/
> > >
> > > However, I do appreciate your time in posting the answer.
> > >
> > > Many Thanks & All the best,
> > >
> > > Chorlton
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@>
> > > wrote:
> > > >
> > > > That's not really a trailing stop, since the AccDist line can
> fall
> > > as
> > > > long as it doesn't exceed your limit.
> > > >
> > > > You could try something like:
> > > >
> > > > ad = AccDist();
> > > > hsb = HighestSince(Buy, ad);
> > > > Sell = ad < hsb*0.9;
> > > >
> > > > Note though that this will be upset by new buy signals before a
> sell
> > > > if the AccDist value has dropped somewhat from its highest
> value
> > > since
> > > > the last buy. When you hit a new buy, hsb will then be the
> highest
> > > > since that buy, which may be lower than the highest value since
> the
> > > > original buy. This could allow AccDist to drop more than 10%
> from
> > > the
> > > > highest value since the original buy without triggering a sell.
> If
> > > you
> > > > want to avoid that, you'd probably need to generate the Sell
> array
> > > > iteratively using a loop, removing redundant Buy signals as you
> go:
> > > >
> > > > ad = AccDist();
> > > > Sell = False;
> > > > hsb = 0;
> > > > doHold = False;
> > > > for (i = 0; i < BarCount; i++)
> > > > {
> > > > if (!doHold)
> > > > {
> > > > if (Buy[i])
> > > > {
> > > > doHold = True;
> > > > hsb = ad[i];
> > > > }
> > > > }
> > > > else
> > > > {
> > > > Buy[i] = False;
> > > > if (ad[i] > hsb)
> > > > hsb = ad[i];
> > > > if (ad[i] < hsb * 0.9)
> > > > {
> > > > doHold = False;
> > > > Sell[i] = True;
> > > > }
> > > > }
> > > > }
> > > >
> > > > Regards,
> > > > GP
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "chorlton_c_hardy"
> > > > <chorlton-c-hardy@> wrote:
> > > > >
> > > > > Hello All,
> > > > >
> > > > > I'm tryin to code a trailing stop loss but am having a number
> of
> > > > > problems with writing the code.
> > > > >
> > > > > What I'm trying to achieve is:
> > > > >
> > > > > 1. Once a Buy signal appears from my system, the value of the
> > > current
> > > > > AccDist() Line should be recorded.
> > > > >
> > > > > 2. As long as the AccDist() moves upwards the trade should
> remain
> > > > > open.
> > > > >
> > > > > 3. However, once the AccDist() line falls by a certain
> percentage
> > > > > (say 10% for this example) from its Highest value since the
> trade
> > > was
> > > > > opened, the trade should be stopped out.
> > > > >
> > > > > I have some code for a simple trailing stop based on the Low
> of
> > > the
> > > > > price (see below) but I'm not sure how to modify it to
> accomplish
> > > the
> > > > > above.
> > > > >
> > > > > Any ideas would be most welcome...
> > > > >
> > > > >
> > > > > Initial = LLV(Low,5);
> > > > >
> > > > > stop[0] = Close[0];
> > > > > for( i = 1 ; i < BarCount; i++)
> > > > > {
> > > > > if( Close[i] > stop[i-1])
> > > > > {
> > > > > stop[i] = Max( initial[i], stop[i-1] );
> > > > > }
> > > > > else { stop[i] = initial[i]; }
> > > > > }
> > > > >
> > > > > Plot( stop, " Stop Loss", ParamColor("Color", colorCycle ),
> > > ParamStyle
> > > > > ("Style", styleDots | styleNoLine, maskDefault | styleDots |
> > > > > styleNoLine ) );
> > > > >
> > > > >
> > > > > Many Thanks in advance,
> > > > >
> > > > > Chorlton
> > > > >
> > > >
> > >
> >
>
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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|