Would you clarify #3. I don't understand your
description
ara
----- Original Message -----
From: "stevemajors" <stevemajors@yahoo.com>
To: <amibroker@xxxxxxxxxps.com>
Sent: Wednesday, December 10, 2008 9:18 PM
Subject: [amibroker] Van Tharp trading exits
> Has anybody already coded Van Tharps suggested Exits as follows:
>
> 1. Initial stop - entry price minus three-times-volatility (3* 10 Day
ATR)
>
> 2. Second, - whenever the market moves twice the daily volatility from
> yesterday's close against you in a single Day (2 * Avg 10 Day ATR)
>
> 3. Lastly, a 4-R profit will after a 4-R profit is triggered, your
> trailing volatility stop moves up to 1.6 times the average True range
> (i.e., instead of 3 times).
>
> I have the following for the AFL code for 1 and 2:
>
> //1. Initial stop
> ApplyStop( stopTypeLoss, stopModePoint, 3 * ATR( 10 ), True );
>
> //2. Second stop
> Sell = (Ref(C,-1) - C > 2 * ATR(10));
>
> I'm not sure how to calculate the last exit (3. 4-R profit)?
> If I give buyprice = ... same as buy formula, how do I keep the value
> of (3 * ATR(10)) at the time the buy occurs to calculate initial risk?
>
> Thanks
>
>
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