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Been bashing my head against the proverbial brick wall for a couple
of days now.
I'm trying to test 3 different exit strategies using the Optiniser.
The Optimiser runs 3 times but gives the same number of trades and
the same profit - should not be possible, so I am obviously missing
something in the logic.
Testing against ASX300 for 2000 - 2007.
See relevant code below. Any help please.
Graham
vaIsValidSignal = BuyLongTrig == True
AND PriceGate == True
AND MFGate == True;
vaBgColour = IIf(vaIsValidSignal == 0, BkGndColor, colorOrange);
//vEntry = 3;
vEntry = Optimize("Entry Strategy", 1,1, 3, 1);
vTime = 1;
//vTime = Optimize("Time Exit Strategy", 1,1, 2, 1);
switch(vEntry) // Entry Strategies
{
case 1: //Stop entry next bar at signal bar High
vaEntryPrice = Ref(High, -1);
Buy = Ref(vaIsValidSignal,-1) AND High >=
vaEntryPrice;
BuyPrice = Max(Open, vaEntryPrice);
case 2: //Stop entry next bar at signal bar Close
vaEntryPrice = Ref(Close, -1);
Buy = Ref(vaIsValidSignal,-1) AND High >=
vaEntryPrice;
BuyPrice = Max(Open, vaEntryPrice);
case 3: //Enter at next bar Open
vaEntryPrice = Open;
Buy = Ref(vaIsValidSignal,-1);
BuyPrice = Open;
}
Sell = 0;
vaTrailStop = Null;
vaSellStop = 0;
vaSellTarget = 0;
vATRMult = 0;
//vATRMult = Optimize("ATR Multiplier", 0, 0, 2, 0.2);
vATRPer = 5;
//vATRPer = Optimize("ATR Period", 5, 5, 20, 5);
VEntryBar = 0;
vTempStop = 0;
vaInitStop = EMA(Open, MAPd) - (vAtrMult * ATR(vATRPer));
vTimeStop = 5;
//vTimeStop = Optimize("Time Stop", 7, 5, 10, 1);
vTrigger = 0;
for(vCnt = 1; vCnt < BarCount; vCnt++)
{
if(vTempStop == 0
AND Buy[vCnt] == 1) // Entry Bar & 0 positions
open
{
// Position Opened
vTempStop = vaInitStop[vCnt - 1];
vEntryBar = vCnt;
}
else
{
Buy[vCnt] = 0; // Remove excess Buy signals
} // Not Entry Bar
if(vTempStop > 0)
{
if ((vCnt - vEntryBar) - 1 == vTimeStop) //
need -1 so that stop is adjusted the bar after vTimeStop is reached
{ // test # Bars Open
switch(vTime) // BreakEven/Exit Strategies
{
case 1: // Move stop to entry price
vTempStop = Max
(vTempStop, BuyPrice[vEntryBar]);
case 2: // Move stop to entry price
if Close > entry price
if (Close[vCnt] >
BuyPrice[vEntryBar])
{
vTempStop =
Max(vTempStop, BuyPrice[vEntryBar]);
}
}
} // Position Open & not Entry Bar
vTempStop = Max(vaInitStop[vCnt - 1], vTempStop);
vaTrailStop[vCnt - 1] = Max(vaTrailStop[vCnt - 1],
vTempStop);
if(Low[vCnt] <= vaTrailStop[vCnt - 1])
{
Sell[vCnt] = 1;
SellPrice[vCnt] = Min(Open[vCnt], vaTrailStop
[vCnt - 1]);
vTempStop = 0;
}
//_TRACE("Bar " + BarIndex() + " Buy " + Buy + " Sell " + Sell + "
Target " + vaTargetVal + " Stop " + vTempStop);
} // Position Open
} // for
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