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Re: [amibroker] Re: Q regarding removing succeeding signals from HighestSince or LowestSince



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Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "janhausd" <janhaus@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, January 25, 2008 10:15 PM
Subject: [amibroker] Re: Q regarding removing succeeding signals from HighestSince or LowestSince


> Hi Gordon,
> 
> Do you suppose you can post those files in the Files folder or
> someplace? The attachments aren't showing up in the post :( I just see:
> 
> Attachment(not stored)
> Chandelier.dll
> 
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Gordon Sutherland" <gosuth@xxx> wrote:
>>
>> 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@> 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);
>> > --
>> >
>> 
>> 
>> 
>> 
>> 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
>> 
>> 
>> 
>> 
>> /* 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).
>>
> 
> 
> 
> 
> 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
> 
> 
> 


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
 
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