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These apply I believe, I have included allowance for trade delays (see
also Amibroker Knowledge Base website for a description of applystop)
SetTradeDelays (1,1,1,1);
Budl = Status("buydelay");
Sedl = Status("selldelay");
ApplyStop(stopTypeTrailing, stopModePoint, TS, 1, TRUE);
stopline = IIf( InTrade, HighestSince( Ref(Buy,-budl), High ) - TS, Null );
ApplyStop(stopTypeTrailing, stopModePoint, TS, 1, False);
stopline = IIf( InTrade, HighestSince( Ref(Buy,-budl), High ) -
valuewhen(Buy,TS) , Null );
I cannot recall if this should be this instead, needs to be checked
stopline = IIf( InTrade, HighestSince( Ref(Buy,-budl), High ) -
valuewhen(Ref(Buy,-budl),TS) , Null );
I do not believe there is applystop for this
stopline = IIf( InTrade, HighestSince( Ref(Buy,-budl), High - TS ), Null );
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
2008/7/16 Flávio Veloso <flavso@xxxxxxxxx>:
> Hi Tomasz.
>
> Thanks for replying. I already read that article. I applied the ideas
> presented there but unfortunately they did not solve the issue.
>
> Problem is: the example provided in the article shows how a
> stopModePercent trailing stop can be ploted. Just to be more clear: the
> issue is that it's not clear how one know the *values* to set the stops
> at (or plot in the charts) when using a *variable stopModePoints
> trailing stop*.
>
> I updated my sample AFL with to use the technique presented in that
> article. Here's the updated system:
>
> ------------snip-------------
> SetOption("InitialEquity", 100000);
>
> BuyPrice = SellPrice = Open;
> SetTradeDelays(1, 1, 1, 1);
>
> Buy = Cross(Signal(), MACD());
> Sell = Cross(MA(C, 200), C);
>
> TS = 4 * ATR(20);
> ApplyStop(stopTypeTrailing, stopModePoint, TS, 1, TRUE);
>
> Equity( 1, 0 ); // evaluate stops, all quotes
>
> InTrade = Flip( Buy, Sell );
>
> SetOption("EveryBarNullCheck", True );
> stopline = IIf( InTrade, HighestSince( Buy, High ) - TS, Null );
>
> PlotShapes(Buy*shapeUpArrow,colorGreen,0,Low);
> PlotShapes(Sell*shapeDownArrow,colorRed,0,High);
>
> #include "Formulas/Basic Charts/Price.afl"
> Plot( stopline, "trailing stop line", colorRed, styleDots | styleNoLine);
> ------------snip-------------
>
> It seems that the problem is in this statement:
>
> stopline = IIf( InTrade, HighestSince( Buy, High ) - TS, Null );
>
> When using a stopModePercent trailing stop, calculating stopline is
> obvious: just multiply the highest high value by the stop percent factor
> and you're done. That's what the code in the article does.
>
> However, when dealing with dynamic stopModePoints trailing stops, the
> math is a bit different: the stop value should be *subtracted* from the
> highest high. Well, at least that's what I thought how it should be done
> until I tried to plot it and saw different numbers.
>
> Try it for yourself backtesting the DJI using the example above, which
> is basically the code in the article updated to use a pretty basic 4 x
> ATR(20) chandelier trailing stop.
>
> If I did cut'n'paste correctly, you will get a trade started in
> 2004-09-21 @ 10204.5 that is stopped out on 2005-03-29 @ 10373.5 in the
> backtester. However, the "trailing stop line" plot never reached that
> exit value. Actually, if the ts-line was used to trail the stop, the
> trade would be stopped much earlier in 2004-10-24 @ 9732.29, which is
> almost five months before!
>
> NB: you may want to change the stopline formula to the following:
>
> stopline = IIf( InTrade, HighestSince( Buy, High - TS ), Null );
>
> I think that the form above is much more appropriate for a dynamic
> trailing stop (TS changes on every bar). It also makes the plot much
> more easy to follow as the line always go up (note: this changes does
> not alter backtester results).
>
> So the question is: what math one should use to match the values used by
> ApplyStop(stopTypeTrailing, stopModePoints, ARRAY, 1, TRUE) in AB? Is it
> possible? Or maybe that's not how dynamic ApplyStop() works?
>
> Thanks in advance.
>
> Tomasz Janeczko escreveu:
>>
>>
>> Knowledge Base:
>>
>> http://www.amibroker.com/kb/2007/03/24/how-to-plot-a-trailing-stop-in-the-price-chart/
>> <http://www.amibroker.com/kb/2007/03/24/how-to-plot-a-trailing-stop-in-the-price-chart/>
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "Flávio Veloso" <flavso@xxxxxxxxx <mailto:flavso%40gmail.com>>
>> To: <amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>>
>> Sent: Monday, July 14, 2008 3:17 PM
>> Subject: [amibroker] Re: Dynamic trailing stop - ploting vs backtesting
>> giving different values
>>
>> > Hi all.
>> >
>> > Anybody cared to test this???
>> >
>> > Is anyone trailing stops manually on the broker
>> > matchingApplyStop(stopModeTrailing...) behavior?
>> >
>> > If so, how are you doing it? I.e. how do you know the exact value to set
>> > your stops at?
>> >
>> > Flávio Veloso escreveu:
>> >> Hi all.
>> >>
>> >> I'm trying to plot the trailing stop used by the ApplyStop() function
>> >> but had no success so far. Consider this simple system:
>> >>
>> >> ---------------------snip-------------------
>> >>
>> >> SetOption("InitialEquity", 100000);
>> >>
>> >> BuyPrice = SellPrice = Open;
>> >> SetTradeDelays(1, 1, 1, 1);
>> >>
>> >> Buy = Cross(Signal(), MACD());
>> >> Sell = Cross(MA(C, 200), C);
>> >>
>> >> TS = 4 * ATR(20);
>> >> ApplyStop(stopTypeTrailing, stopModePoint, TS, 1, TRUE);
>> >>
>> >> #include "Formulas/Basic Charts/Price.afl";
>> >>
>> >> Plot(High - TS, "Trailing Stop", colorRed, styleDots | styleNoLine);
>> >>
>> >> ---------------------snip-------------------
>> >>
>> >> For example, when I run this system on DJI from 2003 to 2007, I get a
>> >> trade started on 2006-08-14 with entry price equals to 11089.10. This
>> >> trade ends by triggering the backtester trailing stop in 2007-02-27 with
>> >> exit price at 12148.50.
>> >>
>> >> However, the trailing stop plot never reach the 12148.50 value exactly.
>> >> Actually, the highest value of the trailing stop plot since trade start
>> >> is 12237.11 (at 2007-02-20), which is higher than backtester exit price!
>> >>
>> >> Another example:
>> >>
>> >> Entry: 2004-09-21 @ 10204.50
>> >> Exit (trail): 2005-03-29 @ 10373.50
>> >> If following plot: trailing stop reached 9732.29 in 2004-10-04, which
>> >> would cause the trade to be stopped much earlier in 2004-10-25.
>> >>
>> >> (Note: I'm using Yahoo free EOD data -- if you use another feed then
>> >> your numbers may be different.)
>> >>
>> >> This is frustating because I developed and optimized a system that
>> >> perform somewhat well in the backtester, but I can't apply it in real
>> >> life because I don't know how to move the stops in my broker to match
>> >> the values used by AB.
>> >>
>> >> So... what's wrong in my code? How to plot the ACTUAL price that
>> >> ApplyStop(stotTypeTrailing, stopModePoint...) consider when exiting
>> trades?
>> >>
>> >> Thanks in advance.
>> >>
>> >
>> >
>> > --
>> > Flávio
>> >
------------------------------------
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