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Grover,
I'm not familiar with those futures. What's the current price?
And what do you see when it is not working? Is there no sell signal,
no stop line, a stop line with an incorrect value?
Perhaps give an example of one bar where it's not working, providing
the OHLC values and the value of the stop line at that bar, the entry
price, and the value of maxlossticks.
Regards,
GP
--- In amibroker@xxxxxxxxxxxxxxx, "Grover Yowell" <gyowell1@xxx> wrote:
>
> Hi GP,
>
>
>
> Thanks for the reply.
>
> The Ticksize is set to 0.25 since I am using the ESZ8-GLOBEX-FUT
futures
> for quotes.
>
>
>
> What I am finding is that the max loss stop works over a very
limited range
> of values of max loss, say 1 - 5 ticks.,
>
>
>
> To understand what is going on, I have also taken TJ's code
>
> for the loop version of the trailing stop referenced in the kb
article, and
> adapted it to do a loop version maxloss stop both long and short.
> Hopefully I don't have any errors in that code. And I have used
the loop
> version to compare with the this other version which we can call the
> ApplyStop version. The loop version works smoothly over the whole
range of
> values of max loss while the ApplyStop version works only over a small
> limited range. Here is the code for the loop version. For my
comparison, I
> changed the code in my earlier post to use identical buy/sell rules.
>
>
>
> My objective is to have a max loss stop function which will provide
a signal
> as an indicator as opposed to the backtester. If I can confirm that
my loop
> version is doing the job, I will go with it instead of the ApplyStop
> version.
>
>
>
> Again, thanks for your help. I would welcome any comments on the code
> below.
>
>
>
> Grover Yowell
>
>
>
> ///////////////////////////////////////////Loop Code
> begins///////////////////////////////
>
> Buy = Cross( MA( C, 10 ), MA( C, 20 ) );
>
> Short = Cross( MA( C, 20 ), MA( C, 10 ) );
>
> Sell = 0;
>
> Cover = 0;
>
>
>
> maxlossticks = Param( "MaxLossTicks", 5, 0, 20, 1 );
>
> maxlosspoints = maxlossticks * TickSize;
>
>
>
> MaxlossbuyARRAY = Null;
>
> MaxlossshortARRAY = Null;
>
> priceatbuy = 0;
>
> priceatshort = 0;
>
>
>
> for ( i = 1; i < BarCount; i++ )
>
> {
>
> //if( traillongstop == 0 AND Buy[ i ] )
>
> if ( priceatbuy == 0 AND Buy[i] ) //buy signal and not intrade
>
> {
>
> //traillongstop = High[ i ] - trailpoints;
>
> priceatbuy = Close[i]; //take the
> trade
>
> }
>
> else
>
> Buy[ i ] = 0; // remove excess buy signals
>
> if ( priceatbuy > 0 ) //we are
intrade long
>
> {
>
> maxlossbuyARRAY[i] = priceatbuy - Maxlosspoints;
>
> }
>
> if ( priceatbuy > 0 AND Low[i] < priceatbuy - Maxlosspoints )
//trade
> closed out
>
> {
>
> Sell[ i ] = 1;
>
> SellPrice[ i ] = Close[i];
>
> priceatbuy = 0;
>
> }
>
>
>
> //short
>
> if ( priceatshort == 0 AND Short[ i ] )
>
> {
>
> priceatshort = Close[i];
>
> }
>
> else
>
> Short[ i ] = 0; // remove excess short signals
>
>
>
> if ( priceatshort > 0 )
>
> {
>
> maxlossshortARRAY[i] = priceatshort + Maxlosspoints;
>
> }
>
>
>
> if ( priceatshort > 0 AND High[i] > priceatshort + Maxlosspoints )
> //trade closed out
>
> {
>
> Cover[ i ] = 2;
>
> CoverPrice[ i ] = Close[i];
>
> priceatshort = 0;
>
> }
>
> }
>
> PlotShapes( Buy*shapeUpArrow, colorBrightGreen, 0, Low );
>
> PlotShapes( Sell*shapeHollowDownArrow, colorRed, 0, High );
>
> PlotShapes( Short*shapeDownArrow, colorRed, 0, H );
>
> PlotShapes( Cover*shapeHollowUpArrow, colorBrightGreen, 0, L );
>
>
>
> SetBarFillColor( IIf( C > O, colorBrightGreen, colorRed ) );
>
> Plot( Close, "Price", colorWhite, styleCandle );
>
> Plot( maxlossbuyARRAY, "maxlossbuyArray", colorBrightGreen );
>
> Plot( maxlossShortARRAY, "maxlossShortARRAY", colorRed );
>
> Plot( MA( C, 10 ), "MA fast", colorBrightGreen );
>
> Plot( MA( C, 20 ), "MA slow", colorRed );
>
> InTradelong = Flip( Buy, Sell );
>
> InTradeshort = Flip( Short, Cover );
>
> Plot( 2, /* defines the height of the ribbon in percent of pane width
>
> */"ribbon",
>
> IIf( intradelong, colorBrightGreen, IIf( intradeshort, colorRed,
> colorYellow ) ), /* choose color */
>
> styleOwnScale | styleArea | styleNoLabel, -0.5, 100 );
>
> Title = _DEFAULT_NAME() + StrFormat( "{{NAME}} -
> {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g ", O, H, L, C );
>
>
>
> /////////////////////////////////////////////////Loop Code
> Ends//////////////////////////////////////
>
>
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of gp_sydney
> Sent: Friday, October 03, 2008 7:43 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: How to plot a maximum loss stop line
>
>
>
> What is your value of "TickSize"? If it's zero, ApplyStops seems to do
> nothing and you don't get any sell signals. If it's a positive value,
> then it is in dollars and the resulting value of stopLevelPoints may
> be too large for the current share price.
>
> If I try your formula with a tick size of 0.01 (ie. 1 cent), it works
> as expected.
>
> Regards,
> GP
>
> --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> ,
> "gyowell2000" <gyowell1@> wrote:
> >
> > I have been attempting to plot a maximum loss stop line following the
> > code for plotting a trailing stop provided by TJ in the Knowledge
> > base:
> >
> > http://www.amibroker.com/kb/2007/03/24/how-to-plot-a-trailing-stop-in-
> > the-price-chart/
> >
> > My code follows, unfortunately it doesn't work! I have used ticks
> > for max loss allowed instead of percentages. I also wanted a system
> > that would accomodate either long or short sales.
> >
> > ////////////////////////Code begins/////////////////////////////
> > StopLevelticks = Param("stoplevel ticks", 3, 0, 20, 1 );
> > stoplevelpoints = stoplevelticks*TickSize;
> > SetTradeDelays(0,0,0,0);
> >
> > Buy = Cross( MACD(), Signal() );
> > Short = Cross(Signal(), MACD() );
> > Sell = 0;
> > Cover = 0;
> > ApplyStop( stopTypeLoss, stopModePoint, StopLevelpoints, True );
> >
> > Equity( 1, 0 ); // evaluate stops, all quotes
> >
> > InTradelong = Flip( Buy, Sell );
> > InTradeshort = Flip( Short, Cover );
> >
> > SetOption("EveryBarNullCheck", True );
> > stoplinelong = IIf( InTradelong, ValueWhen( Buy, BuyPrice) -
> > stoplevelpoints , Null );
> > stoplineshort = IIf( InTradeshort, ValueWhen( Short, ShortPrice) +
> > stoplevelpoints , Null );
> >
> > PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,Low);
> > PlotShapes(Short*shapeDownArrow,colorRed,0,High);
> > PlotShapes(Cover*shapeHollowUpArrow,colorBrightGreen,0,Low);
> > PlotShapes(Sell*shapeHollowDownArrow,colorRed,0,High);
> >
> > SetBarFillColor( IIf( C > O, colorBrightGreen, colorRed ) );
> >
> > Plot( Close,"Price",colorWhite,styleCandle);
> > Plot( stoplinelong, "maxloss line long", colorBrightGreen );
> > Plot( stoplineshort, "maxloss line short", colorRed );
> > //////////////////////////Code Ends/////////////////////////////////
> >
> > Converting TJ's code from a trailing stop to a maximum loss stop and
> > getting the functionality to handle shorts proved to be be more
> > difficult than I had anticipated.
> >
> > I would appreciate any help in clearing up the problems in the code
> > above.
> >
> > Thanks in advance,
> >
> > Grover Yowell
> >
>
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