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Because you have volatility=true and zero bar trade entry delays then stop is
SetTradeDelays(0,0,0,0);
StopLevel = Param("trailing stop %", 1.3, 0.1, 10, 0.1 );
Short = Cover = 0;
Buy = Cross( MACD(), Signal() );
Sell = 0;
ApplyStop( stopTypeTrailing, stopModePercent, StopLevel, True );
Equity( 1, 0 );
LongStop = highestsince( buy, H ) - H*stopline/100;
inLongTrade = Flip(Buy,Sell);
Plot( Close,"Price",colorWhite,styleCandle);
plot( iif(inLongTrade , LongStop , null ), "Stop Line", colorred, styleline ) ;
PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,Low, -12);
PlotShapes((Sell>0)*shapeDownArrow,colorRed,0,High, -12);
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
2008/10/6 Grover Yowell <gyowell1@xxxxxxxxxx>:
> 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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