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Hi Larry,
I believe iterating through the price array using loops is the best
solution. For those (like me) uncomfortable with looping there is some code
that I believe will do what you want in the form of a custom function posted
by Geoff Mulhall on 24th October 2004. I attach:
1. The dll file to be placed in your \AmiBroker\Plugins folder
2. The AFL file
3. Text readme file
4. Graphic illustration png file
I hope this helps with your Chandelier Exits.
Regards,
Gordon
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of onelkm
Sent: Saturday, 26 January 2008 8:38 a.m.
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Q regarding removing succeeding signals from
HighestSince or LowestSince
I have struggled with the same issue.... can someone help - is there
a solution?
Larry
--- In amibroker@xxxxxxxxxxxxxxx, "janhausd" <janhaus@xxx> wrote:
>
> Hi,
>
> I did some searching in the posts, and it looks like many people
have
> asked for methods to remove the extraneous signals from HighestSince
> or LowestSince so that the function can return the very first signal
> and not the ones which appear afterwards.
>
> I've tried copying the code from these two posts, using loops or
loops
> + global vars, or some combination of ExRem, or Flip or ExRemSpan
but
> I have not yet gotten it working:
> http://finance.groups.yahoo.com/group/amibroker/message/117998
> http://finance.groups.yahoo.com/group/amibroker/message/72151
>
> Is there a simple way to accomplish this? Otherwise, the trailing
> stops don't work correctly since HighestSince is reset with each
> succeeding Buy signal and vice versa for LowestSince. The below is
the
> code I'm looking to fix:
>
> ---
> Buy = Signal1 & Signal2;
> Short = Signal1Rev & Signal2Rev;
> Buy = Ref(Buy,-1);
> Short = Ref(Short,-1);
> BuyPrice = O;
> ShortPrice = O;
> SetTradeDelays(0,0,0,0);
>
> sellstopline = HighestSince( Buy, High ) * STrailingStopPct;
> BuyBarsSince = BarsSince(Buy == 1);
> sellprofitline = Ref(BuyPrice, -BuyBarsSince) * SProfitStopPct;
> sellex = sellstopline > P;
> sellex2 = P > sellprofitline;
> Sell= IIf(sellex,4,(IIf((sellex2),3,0)));
> SellPrice = O;
>
> coverstopline = LowestSince( Short, Low ) * BTrailingStopPct;
> ShortBarsSince = BarsSince(Short == 1);
> coverprofitline = Ref(ShortPrice, -ShortBarsSince) * BProfitStopPct;
> buyex = P > coverstopline;
> buyex2 = coverprofitline > P;
> Cover= IIf(buyex==1, 4, (IIf((buyex2),3,0)));
> CoverPrice = O;
> Equity(1,0);
> --
>
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Attachment:
Description: application/msdownload
Attachment:
Description: Binary data
/* CHANDELIER EXIT Geoff Mulhall 24 Oct 2004
(Refer Folder:\GBS Notes\Chandelier Exits\Chandelier Zip - GBS)
---------------------------------------------------------------
Vers 1.02 - Improvements to problem data handling. Thks to James Kung
The chandelier exit is described at Chuck Le Beau's System Traders Club. Refer :
http://traderclub.com/cgi-bin/discus/show.cgi?107/107
If you are not familiar with the Chandelier Exit please refer to that site
before continuing.
The plugin provided here is a true Chandelier Exit ie it is always hung from
the highest high or highest close not as in the compromise version below which
readers may have seen else where ie
Chandelier = HHV(High - 3 * ATR(15),10); // Long Trade Exit
Chandelier = LLV(Low + 3 * ATR(15),10); // Short Trade Exit
As you will see from the PNG file attached the plugin provides a single function
which can be used for both short and long trades.
This is achieved by flipping whenever the close pierces the exit.
To plot a Chandelier exit hung from the close code as follows -
Plot(ChandelierCl(ATR(15),3),"ChandelierCl",colorBlue,styleLine);
To plot a Chandelier exit hung from the high or low code as follows -
Plot(ChandelierHL(ATR(15),3),"ChandelierHL",colorRed,styleLine);
Note both functions accept two parameters
1. The ATR array - in this case a 15 period - in this example ATR(15) and
2. The ATR multiplier - in this example 3
A trading system can be built using the functions provided as follows
Buy = Close > Ref( ChandelierCl(ATR(15),3), -1);
Sell = Close < Ref( ChandelierCl(ATR(15),3), -1);
Note the ref function is required due to the way the exit switches
between a long and short trade.
To install the the plugin
1. Shut down Amibroker
2. Copy the file Chandelier.dll to C:\Program Files\Amibroker\Plugins
3. Restart Amibroker (You will get a warning message that a new plugin
has been installed).
Attachment:
Chandelier.PNG
Description: PNG image
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