|
PureBytes Links
Trading Reference Links
|
Hi,
Both codes are WRONG. There are trades with the same buyprice and
sellprice, i.e. 0% profit.
I am sorry to say that it is not possible to program a useful system
with combined StopLoss and Profittarget with TRADE DELAY in
Amibroker. Let's forget the trailing stop that we discussed below.
Let's make it simple.
OK, show me a simple system that has any buy condition based on Close
price and Buyprice is on next day Open. It exits anytime if the High
hits Profittarget% OR it exits if the Close price drops below StopLoss
% of the BuyPrice and exits on next day at Open price.
Please copy the code here and I will show you that it has wrong exits.
BR,
Zozuka
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> Hello,
>
> Of course it should be:
> ApplyStop( stopTypeLoss, stopModePoint, Close - High +
OrigStopAmount, 2, True );
>
> The rest (the second formula) is OK.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "zozuzoza" <zozuka@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, October 14, 2008 3:23 PM
> Subject: [amibroker] Re: Applystop StopLoss - trade on next day
OPEN when PREVIOUS day CLOSE
>
>
> > Hello,
> >
> > Please note that SetOption("AllowSameBarExit",1) is NOT wrong
because
> > I want to use Profittarget since Buyprice=Open triggered on
previous
> > day Buy signal (SetTradeDelays( 1, 1, 1, 1 )). I want to exit on
the
> > same day with Profittarget if possible.
> >
> > Your code is not according to the AFL Function Reference, which
says
> > ApplyStop( type, mode, amount, exitatstop, volatile = False,
> > ReEntryDelay = 0 )
> >
> > and your code is
> > ApplyStop( stopTypeLoss, stopModePoint, OrigStopAmount, Close -
High
> > + OrigStopAmount, 2, True );
> >
> > I have already tried the 2nd code and I could not get it right. I
try
> > again but I doubt that the exit signals will be right.
> >
> > Best regards,
> > Zozuka
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@>
> > wrote:
> >>
> >> Hello,
> >>
> >> *Everything* is possible in AFL.
> >> You can print it and hang over your desk.
> >>
> >> What's more there are usually many ways to do every thing.
> >> From complicated ones to easy ones.
> >>
> >> The fact that you don't know how to do given thing
> >> does not mean that it is impossible. It only means that
> >> you need to learn.
> >>
> >> Answering original poster:
> >> >> The settings I would like to use is as follows.
> >> >> SetOption("AllowSameBarExit",1);
> >> WRONG. Should be set to zero (false).
> >> This should be only set to true when SINGLE BAR trade is allowed.
> >> In your case it is NOT because exit is based on PREVIOUS BAR
close.
> >>
> >> If you want to use CLOSE instead of High-Low range for stop loss,
> >> you should simply use Volatile = True setting in ApplyStop
> >> and add the difference between High and Close to your stop
amount:
> >>
> >> OrigStopAmount = 0.3;
> >>
> >> ApplyStop( stopTypeLoss, stopModePoint, OrigStopAmount, Close -
> > High + OrigStopAmount, 2, True );
> >>
> >> This is assuming that you need stop in points.
> >>
> >> The other method is presented in the Knowledge Base and it does
> >> not require ApplyStop at all. It is general-purpose code for any
> > kind of stop
> >> with any imaginable setup
> >> http://www.amibroker.com/kb/2007/03/24/how-to-plot-a-trailing-
stop-
> > in-the-price-chart/
> >>
> >> With modification of two lines we can adopt it to max. loss stop
> > that acts on next
> >> open based on prev day penetration of stop level by close price
> >>
> >> stopLevel = 1 - Param("stop %", 3, 0.1, 10, 0.1)/100;
> >>
> >> Buy = Cross( MACD(), Signal() );
> >> Sell = 0;
> >> trailARRAY = Null;
> >> trailstop = 0;
> >>
> >> for( i = 1; i < BarCount; i++ )
> >> {
> >> if( trailstop > 0 AND Low[ i ] < trailstop )
> >> {
> >> Sell[ i ] = 1;
> >> SellPrice[ i ] = Open[ i ];
> >> trailstop = 0;
> >> }
> >>
> >> if( trailstop == 0 AND Buy[ i ] )
> >> {
> >> trailstop = Close[ i ] * stoplevel;
> >> }
> >> else Buy[ i ] = 0; // remove excess buy signals
> >>
> >> if( trailstop > 0 )
> >> {
> >> trailARRAY[ i ] = trailstop;
> >> }
> >>
> >> }
> >>
> >> PlotShapes(Buy*shapeUpArrow,colorGreen,0,Low);
> >> PlotShapes(Sell*shapeDownArrow,colorRed,0,High);
> >>
> >> Plot( Close,"Price",colorBlack,styleBar);
> >> Plot( trailARRAY,"trailing stop level", colorRed );
> >>
> >> Best regards,
> >> Tomasz Janeczko
> >> amibroker.com
> >> ----- Original Message -----
> >> From: "zozuzoza" <zozuka@>
> >> To: <amibroker@xxxxxxxxxxxxxxx>
> >> Sent: Tuesday, October 14, 2008 2:16 PM
> >> Subject: [amibroker] Re: Applystop StopLoss - trade on next day
> > OPEN when PREVIOUS day CLOSE
> >>
> >>
> >> > Unfortunately, this is not possible in AFL I am afraid. I
tried
> > the
> >> > following but does not work either because sometimes it gives
> > wrong
> >> > signals.
> >> >
> >> > Sell=C<(1-StopLoss/100)*ValueWhen(Buy,Ref(O,1),1)
> >> >
> >> > I wonder if anybody managed to build proper trading system
based
> > on
> >> > EOD data in Amibroker, which can be used in real trading. If
your
> >> > indicators are based on Close then you have to trade on next
day
> >> > Open, in which case you need to use Settradedelays and you are
> >> > immediately dead as AFL does not support this. If you want to
use
> >> > combined StopLoss and Profittarget exits together, it does not
> > work.
> >> > If you want to use combined Trailing stop and PT exits, it
does
> > not
> >> > work. You can find couple of useless examples in AFL Function
> >> > Reference under ApplyStop, which has nothing to do with real
> > trading.
> >> >
> >> > I am really disappointed with Amibroker and AFL. I have been
> >> > programming it for 2 years so I know what I am talking about.
You
> >> > cannot find out what the reason of the bad exit signals are.
It
> > is
> >> > like a black box.
> >> >
> >> >
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@> wrote:
> >> >>
> >> >> Hi,
> >> >>
> >> >> I would like to apply a stoploss on next day OPEN when
PREVIOUS
> > day
> >> >> CLOSE hits stop and Sellprice=Open. In the AFL library, I
could
> > only
> >> >> find the solution for
> >> >> "Scenario 3:
> >> >> you trade on next day OPEN and want to exit by stop on OPEN
price
> >> >> when PREVIOUS day H-L range hits stop"
> >> >>
> >> >> This is almost good for me except I want the Applystop
function
> > to
> >> >> check the PREVIOUS day Close instead of the H-L range.
> >> >>
> >> >> The settings I would like to use is as follows.
> >> >> SetOption("AllowSameBarExit",1);
> >> >> SetOption( "ActivateStopsImmediately", 1);
> >> >> SetTradeDelays( 1, 1, 1, 1 );
> >> >> BuyPrice=O;
> >> >> SellPrice=O;
> >> >>
> >> >> I am stucked. Could anybody help me please how I can do it.
> >> >>
> >> >> Thank you.
> >> >>
> >> >
> >> >
> >> >
> >> > ------------------------------------
> >> >
> >> > **** IMPORTANT ****
> >> > This group is for the discussion between users only.
> >> > This is *NOT* technical support channel.
> >> >
> >> > *********************
> >> > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
> > directly to
> >> > SUPPORT {at} amibroker.com
> >> > *********************
> >> >
> >> > For NEW RELEASE ANNOUNCEMENTS and other news always check
DEVLOG:
> >> > http://www.amibroker.com/devlog/
> >> >
> >> > For other support material please check also:
> >> > http://www.amibroker.com/support.html
> >> >
> >> > *********************************
> >> > Yahoo! Groups Links
> >> >
> >> >
> >> >
> >>
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > *********************
> > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
directly to
> > SUPPORT {at} amibroker.com
> > *********************
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > *********************************
> > Yahoo! Groups Links
> >
> >
> >
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|