Re: [amibroker] Re: exit formula help needed, AmiBroker Email List Archive

On Sat, May 3, 2008 at 11:03 AM, Mike <sfclimbers@xxxxxxxxx> wrote:

Hi,

It sounds like you have the wrong trade delays set in your settings.
For this particular code, you've already accounted for referring only
to previous bar values, so you might as well hard code the trade
delays directly into your code as follows:

SetTradeDelays(0, 0, 0, 0);

That way, if you ever mess around with the settings later, it won't
effect this script.

To start with, simplify your life and focus just on Buy/Sell. Leave
Short/Cover until after you have Buy/Sell working.

If it is possible to have redundant Buy signals, you will
need to remove them before using the ValueWhen on the Buy array when
calculating Low2:

Buy = NR4DayYest AND InsideDayYest AND HigherHigh;

Low1 = Ref(L, -2);
SellTrigger1 = L < Low1;

Buy = ExRem(Buy, SellTrigger1); // Remove redundant buys

Low2 = ValueWhen(Buy, Ref(L, -1) - 0.01);
SellTrigger2 = L < Low2;

Sell = SellTrigger1 OR SellTrigger2;

I notice a needed adjustment to the BuyPrice/SellPrice to correct for
the fact that if the current bar opens above/below your calculated
price, you have to take the Open rather than your calculated price.
So, you're BuyPrice becomes:

BuyPrice = Ref(High, -1);
BuyPrice = IIF(Open > BuyPrice, Open, BuyPrice);

And your SellPrice becomes:

SellPrice = IIf(L < Low1,
IIf(L < Low2,
Max(Low1, Low2),
Low1),
IIf(L < Low2,
Low2,
0)
);
SellPrice = IIF(Open < SellPrice, Open, SellPrice);

To help see what is going on, you can then add the following code to
the bottom of your script and show it all on a chart. Regular bars
will show as dark grey, NR4Days will show as pink, InsideDays will
show as blue, days that are both NR4Day and InsideDay will show as
orange, buy actions will show as a green circle at the actual buy
price, sell actions will show as a red circle at the actual sell
price:

Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);

BarColors = IIF(InsideDay,
IIF(NR4Day,
colorOrange,
colorBlue),
IIF(NR4Day,
colorPink,
colorDarkGrey)
);

Plot(Close, "Close", BarColors, styleBar);
PlotShapes(IIf(Buy, shapeSmallCircle, shapeNone), colorBrightGreen,
0, BuyPrice, 0);
PlotShapes(IIf(Sell, shapeSmallCircle, shapeNone), colorRed, 0,
SellPrice, 0);

Hope that helps.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "alta hob" <altahob@xxx> wrote:
>
> I tried changing it as you specified but when I run a backtest it
still will
> exit a trade on the previous bars high/low (depending on whether im
short or
> long). I want AB to exit on either the low/high of the inside day
or on a
> two bar trailing stop. Can you see what is causing this problem
because I
> can't work out why?
>
>
> thanks
> -------
>
> NR4Day = (H - L) < Ref(LLV(H-L,3),-1);
> Column1 = NR4Day;
> Column1Name = "Nr4Day";
>
> InsideDay = H < Ref(High,-1) AND Low > Ref(Low,-1);
> Column2 = InsideDay;
> Column2Name = "Inside Day";
>
>
> NR4DayYest = Ref( NR4Day, -1 ); // new array - NR4Day shifted
forward 1 bar
>
> InsideDayYest = Ref( InsideDay, -1 ); // new array - InsideDay
shifted
> forward 1 bar
>
> HigherHigh = High > Ref( High, -1 );
>
> LowerLow = Low < Ref( Low, -1 );
>
> Buy = NR4DayYest AND InsideDayYest AND HigherHigh;
>
> BuyPrice = Ref ( High, -1 );
>
> Low1 = Ref(L, -2);
> Low2 = ValueWhen(Buy,Ref(L,-1)-0.01);
>
> Sell = L < Low1 OR L < Low2;
>
> SellPrice = IIf(L < Low1,
> IIf(L < Low2,
> Max(Low1, Low2),
> Low1),
> IIf(L < Low2,
> Low2,
> 0)
> );
>
> Short = NR4DayYest AND InsideDayYest AND LowerLow;
>
> High1 = Ref(H, -2);
> High2 = ValueWhen(Sell,Ref(H,-1)+0.01);
>
> Cover = H > High1 OR H > High2;
>
> CoverPrice = IIf(H > High1,
> IIf(H > High2,
> Max(High1, High2),
> High1),
> IIf(H < High2,
> High2,
> 0)
> );
>
> On Fri, May 2, 2008 at 11:29 PM, Mike <sfclimbers@xxx> wrote:
>
> > Yes, it takes the lower of the two lows preceding the current
bar. If
> > you want specifically the low of two bars ago, just use:
> >
> > Low1 = Ref(L, -2);
> >
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "alta hob"
> > <altahob@> wrote:
> > >
> > > Thanks for taking the time to help. I will study the code you
gave
> > me.
> > >
> > > Another question.
> > >
> > > If I use the
> > >
> > > Low1 = Ref(LLV(L,2),-1);
> > >
> > > Does this take the lowest low of the last 2 bars? If it does
then
> > I have
> > > made a mistake. What I want to do is use the low from two bars
> > ago, not the
> > > lowest of the last two bars as this doesn't give my trade room
to
> > breathe.
> > >
> > > cheers
> > >
> > > AH
> > >
> > > On Fri, May 2, 2008 at 9:09 PM, Mike <sfclimbers@> wrote:
> > >
> > > > For these types of problems, it often helps to break up the
> > > > conditions for easier understanding.
> > > >
> > > > Using your example, what about something like:
> > > >
> > > > Low1 = Ref(LLV(L,2),-1);
> > > > Low2 = ValueWhen(Buy,Ref(L,-1)-0.01);
> > > >
> > > > Sell = L < Low1 OR L < Low2;
> > > >
> > > > SellPrice = IIF(L < Low1,
> > > > IIF(L < Low2,
> > > > max(Low1, Low2),
> > > > Low1),
> > > > IIF(L < Low2,
> > > > Low2,
> > > > 0)
> > > > );
> > > >
> > > > I'm assuming that if both conditions are met, then the one
that
> > > > happened first (i.e. the higher price point) would be the
selling
> > > > price.
> > > >
> > > > Mike
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%

40yahoogroups.com><amibroker%

> > 40yahoogroups.com>, "alta hob"
> > > > <altahob@> wrote:
> > > > >
> > > > > Hi
> > > > >
> > > > >
> > > > > I am trying to do something similar but need my sellprice to
> > > > execute at the
> > > > > point the sell criteria below is hit
> > > > >
> > > > > Sell = L < Ref(LLV(L,2),-1) OR L<ValueWhen(Buy,Ref(L,-1)-
0.01);
> > > > >
> > > > > Can someone please show me how to add the sellprice code to
> > this?
> > > > >
> > > > >
> > > > > thanks
> > > > >
> > > > >
> > > > > On Sat, Apr 26, 2008 at 12:03 AM, safetrading <safetrading@>
> > > > wrote:
> > > > >
> > > > > > Thanks Graham;
> > > > > >
> > > > > > That was exactly what I needed. I use Valuewhen all the
time,
> > for
> > > > > > some reason I just drew a blank on this. I think the "buy"
> > > > variable
> > > > > > threw me, as I have never really done anything with it
except
> > put
> > > > my
> > > > > > formula there.
> > > > > >
> > > > > > Anyways, thanks very much.
> > > > > >
> > > > > > Safetrading
> > > > > >
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%
> >
> > > > 40yahoogroups.com>,
> > > > Graham
> > > > > > <kavemanperth@> wrote:
> > > > > > >
> > > > > > > Valuewhen is useful for this
> > > > > > > I assume you are entering on same bar as buuy signal.
This
> > line
> > > > > > gives
> > > > > > > you the low of the bar before buy signal
> > > > > > >
> > > > > > > sell=L<valuewhen(buy,ref(l,-1)-0.01);
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > --
> > > > > > > Cheers
> > > > > > > Graham Kav
> > > > > > > AFL Writing Service
> > > > > > > http://www.aflwriting.com
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > 2008/4/26 safetrading <safetrading@>:
> > > > > >
> > > > > > > > This is probably easy for most of you, but I just
can't
> > seem
> > > > to
> > > > > > > > figure this out.
> > > > > > > >
> > > > > > > > I'm using one tick above the high of the previous day
for
> > an
> > > > > > entry
> > > > > > > > point and trying to create an exit rule where for a
long
> > > > > > position,
> > > > > > > > the exit would be one tick below the low of the day
prior
> > to
> > > > the
> > > > > > > > entry day ( the same days where I got my entry point
from)
> > > > > > until a
> > > > > > > > low exists that is above the high of my entry point,
at
> > which
> > > > > > time
> > > > > > > > the exit would then become one tick below that low and
> > > > continue
> > > > > > to
> > > > > > > > follow the trade like this; sell=L<ref(l,-1)-0.01;
> > > > > > > >
> > > > > > > > So what I need to do is label and hang on to the "one
tick
> > > > > > below"
> > > > > > > > the low of the day prior to entering. I believe I
need to
> > use
> > > > > > the
> > > > > > > > Hold function, but am not sure how to identify the
price
> > > > point I
> > > > > > > > need.
> > > > > > > >
> > > > > > > > Any suggestions would be appreciated.
> > > > > > > >
> > > > > > > > Thanks,
> > > > > > > >
> > > > > > > > Safetrading
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > ------------------------------------
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