GP,
I took your comments to heart and started looking at resolving
the discrepancies. Great comments on your part, but I was unable to get
anything resolved after spending several hours on the problem. Too many
variables to consider with my rather limited programming skills.
So I decided to try a different approach, abandon the max loss
problems, and instead confirm that TJ’s original code on the
trailing stop was doing what was intended. Well, I got some surprising
results. Tj’s code, at least in my testing is not giving consistent
results between the loop version and the apply stop version, and furthermore
there are discrepancies between the two versions posted and the backtest
results.
Again, his code is at this address:
o
www.amibroker.com/kb/2007/03/24/how-to-plot-a-trailing-stop-in-the-price-chart
I used Tj’s code in a 1 minute database using 3 min bars on
10/3/2008 and tested it on RIMM. I used TJ’s parameter values and
set the trails top to 1.3%. The only modifications I made to
the code were display items to present the data so that I could see what
is going on. Oh, I did make one other change, changed Sell[i] = 1; to
Sell[i] =4; in the TrailStopLoop code si that the sell by the trail stop would
show properly in the backtest.
Here is my TrailApplyStop code:
SetChartOptions( 0, chartShowArrows
| chartShowDates );
SetOption( "FuturesMode", False );
SetOption( "InitialEquity", 10000 );
SetOption( "MinShares", 1 );
SetOption( "allowpositionshrinking", True );
SetOption( "priceboundchecking", True );
SetOption( "commissionMode", 2 );
SetOption( "commissionAmount", 1 );
RoundLotSize = 100;
StopLevel = Param("trailing
stop %", 1.3, 0.1, 10, 0.1 );
SetTradeDelays(0,0,0,0);
Short = Cover = 0;
Buy = Cross( MACD(), Signal() );
Sell = 0;
ApplyStop( stopTypeTrailing, stopModePercent,
StopLevel, True );
Equity( 1, 0 ); // evaluate stops, all quotes
e = Equity(1,0);
InTradelong = Flip( Buy, Sell
);
intradeshort = Flip(Short,Cover);
SetOption("EveryBarNullCheck", True );
stopline = IIf( InTradelong, HighestSince( Buy, High
) * ( 1 - 0.01 * StopLevel ), Null
);
PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,Low);
PlotShapes(Sell*shapeDownArrow,colorRed,0,High);
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 );
SetBarFillColor( IIf( C > O,
colorBrightGreen, colorRed ) );
Plot( Close,"Price",colorWhite,styleCandle);
Plot( stopline, "trailing
stop line", colorRed );
Title = _DEFAULT_NAME() + StrFormat("{{NAME}} -
{{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g ", O, H,
L, C ) ;
///////////////////////////////////////////////End of
TrailApplyStop Code// Begin TrailStopLoop Code///////////////////////////////////////
SetChartOptions( 0, chartShowArrows
| chartShowDates );
SetOption( "FuturesMode", False );
SetOption( "InitialEquity", 10000 );
SetOption( "MinShares", 1 );
SetOption( "allowpositionshrinking", True );
SetOption( "priceboundchecking", True );
SetOption( "commissionMode", 2 );
SetOption( "commissionAmount", 1 );
RoundLotSize = 100;
StopLevel = 1 - Param("trailing
stop %", 1.3, 0.1, 10, 0.1)/100;
Short = Cover = 0;
Buy = Cross( MACD(), Signal() );
Sell = 0;
trailARRAY = Null;
trailstop = 0;
for( i = 1; i < BarCount;
i++ )
{
if( trailstop == 0 AND Buy[
i ] )
{
trailstop
= High[ i ] * stoplevel;
}
else Buy[ i ]
= 0; // remove excess
buy signals
if( trailstop > 0 AND Low[
i ] < trailstop )
{
Sell[
i ] = 4;
SellPrice[
i ] = trailstop;
trailstop
= 0;
}
if( trailstop > 0 )
{
trailstop
= Max( High[ i
] * stoplevel, trailstop );
trailARRAY[ i ] = trailstop;
}
}
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 );
PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,Low);
PlotShapes(Sell*shapeDownArrow,colorRed,0,High);
SetBarFillColor( IIf( C > O,
colorBrightGreen, colorRed ) );
Plot( Close,"Price",colorWhite,styleCandle);
Plot( trailARRAY,"trailing
stop level", colorRed );
Title = _DEFAULT_NAME() + StrFormat("{{NAME}} -
{{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g ", O, H,
L, C );
///////////////////////////////////////////////////////End of
TrailStopLoop Code////////////////////////////////////////////////
I will summarize the results:
TrailApplyStop TrailStopLoop BackTest
(both Systems)
Entry Exit Entry Exit Entry Exit
7:14 8:29 None None 7:14 8:59
9:38 10:14 9:38 10:14 None None
11:11 11:20 11:11 11:20 11:11 11:23
11:53 12:11 11:53 12:11 11:53 12:11
Note that the TrailStopLoop code did not show the 7:14AM trade
that the TrailApplyStop code showed and there is a discrepancy on the exit time
of the backtest. Also the backtest did not show the 9:38 AM trade.
When I look at the Code, it is not at all obvious what the
problem is. It would seem that each version should be consistent with one
another, and that both should be consistent with the backtest results.
Any ideas? I am just not proficient enough to analyze what
is happening here.
Thanks for your help.
Grover
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of gp_sydney
Sent: Sunday, October 05, 2008 2:12 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: How to plot a maximum loss stop line
Grover,
Sorry, I don't get attachments as I only view messages on the web
where attachments aren't saved.
However, on doing as you suggested with GE, but changing the Buy/Short
conditions of the ApplyStop version to be the same as the loop version
(ie. MA crossover rather than MACD signal crossover), I noticed the
following:
- Your loop stop uses close as the entry price and high or low as the
stop price. I think ApplyStop uses your trade price settings
programmed in the AA settings (although I've never really experimented
with ApplyStop to be sure what it's using). Consequently, if they are
not set to sell on low and cover on high, there will be some difference.
- Your loop code can display signals for concurrent long and short
trades, whereas ApplyStop with Equity(1) can't (in reality you
wouldn't have both, as the second would be a sell/cover of the first
rather than a new position, but I've never checked what happens if you
have a short signal while you're already long without a corresponding
sell). The ApplyStop version doesn't show any short trades because the
whole period is mostly in long trades and all short signals are within
open long trades (I only have a limited amount of data for GE though).
Remember, when you use Equity(1), it leaves your signal arrays showing
the actual trades that would be taken, removing all signals that
wouldn't be taken. You can't have an open long and short trade in the
same stock at the same time.
Hope this helps.
Regards,
GP
--- In amibroker@xxxxxxxxxxxxxxx,
"Grover Yowell" <gyowell1@xxx> wrote:
>
> GP, I will try to get on the same sheet of music with you.
>
> I went to the daily database that ships with AB, and pulled up GE.
Put in
> ticksize = .01 in the window brought up by the little "I" icon.
Then I
> changed the parameter values for stop level ticks to range up to 200
ticks
> which would be 200 X .01 = $2.00 of price change for GE. Then I put the
> ApplyStop version in the upper pane and the loop version in the
lower pane
> and set the stoplevel ticks to 200 for each pane. Then I exported
the image
> to MaxLoss.png which is attached. Then what I see is no stop levels
on the
> Applystop version in the top pane and two stop levels with the two short
> signals for the loop version in the lower pane. Checking the price
shown
> for the stop levels in the lower pane, they check out exactly at
$2.00 above
> the short price.
>
>
>
> Next I reduced the stoplevel ticks on the upper pane until I had
stop levels
> showing. This was at 70 ticks, or $0.70 stop loss. No stop levels were
> showing until I reached 70 ticks on the upper pane. But on the
lower pane,
> the stop level moved smoothly from it's location at 200 ticks down to 70
> ticks. I have attached the png file for this image as
> MaxLossStopTicks70.png.
>
>
>
> Conclusions:
>
>
>
> I would think that the two versions should give similar results.
>
> Something is different using the ApplyStop version.
>
> I don't know for sure that my loop version is correct, but it works more
> like I expect it to work.
>
>
>
> Any ideas?
>
>
>
> Thanks again for your help!
>
>
>
> Grover
>
>
>
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of gp_sydney
> Sent: Saturday, October 04, 2008 4:24 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: How to plot a maximum loss stop line
>
>
>
> 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
<mailto:amibroker%40yahoogroups.com> ,
> "Grover Yowell" <gyowell1@> 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%40yahoogroups.com>
> [mailto:amibroker@xxxxxxxxxxxxxxx
<mailto:amibroker%40yahoogroups.com> ]
> On Behalf
> > Of gp_sydney
> > Sent: Friday, October 03, 2008 7:43 PM
> > To: amibroker@xxxxxxxxxxxxxxx
<mailto:amibroker%40yahoogroups.com>
> > 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>
> <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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