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hi,
you indeed need a loop to program this. Ararys only
will not do it. Below the code from how I understand it from your
text.
regards, Ed
procedure sell_proc(Buy,BuyPrice,stp,hhvstp)
{
global BuyAdjusted;
global BuyPriceAdjusted;
global SellAdjusted;
global SellPriceAdjusted;
global stopArray;
BuyAdjusted = 0;
BuyPriceAdjusted = 0;
SellAdjusted = 0;
SellPriceAdjusted = 0;
stopArray = Null;
delay = 1;
slip = 0.0;
for( i = 1; i < BarCount; i++ )
{
if ( Buy[ i ])
{
BuyAdjusted[
i ] = 1;
BuyPriceAdjusted[ i ] = BuyPrice[ i ] + slip;
stopArray[ i ] = BuyPriceAdjusted[ i ] +
stp[ i ];
for (j = i + delay; j <
BarCount; j++)
{
if (hhvstp[ j ])
{
stopArray[
j ] = stopArray[ j - 1 ] +
abs(C[j - 1] - C[j - 2]);
}
else
{
stopArray[
j ] = stopArray[ j - 1 ] -
abs(C[j - 1] - C[j - 2]);
}
if (C[ j ] > stopArray[ j ])
{
SellAdjusted[
j ] = 1;
SellPriceAdjusted[
j ] = C[ j ] - slip;
i =
j;
break;
}
else if (j == BarCount - 1)
{
i =
BarCount;
}
}
}
}
}
SetBarsRequired(10000,
10000);
Buy = Cross(C,MA(C, 100)); Buy = Ref(Buy,-1);
BuyPrice = O;
// set initial exit limit at buy
stp = Ref(ATR(14)*4.5 + abs(C-Ref(C,-1)),-1);
// hhvstp is 1 when closing
price is highest of the past 20 days, else 0
hhvstp = Ref(HHV(C,20) == C,-1);
sell_proc(Buy,BuyPrice,stp,hhvstp);
Buy = BuyAdjusted;
BuyPrice = BuyPriceAdjusted;
Sell = SellAdjusted;
SellPrice = SellPriceAdjusted;
SetChartOptions(0,
chartShowDates);
GraphXSpace = 5;
Plot(C,"C",1,64);
Plot(stopArray,"stopArray",colorWhite,1);
Plot(MA(C,100),"ma",colorYellow,1);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,L,-15);
PlotShapes(IIf(Buy,shapeHollowUpArrow,shapeNone),colorWhite,0,L,-15);
PlotShapes(IIf(Buy,shapeHollowSmallCircle,shapeNone),colorWhite,0,BuyPrice,0);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,H,-15);
PlotShapes(IIf(Sell,shapeHollowDownArrow,shapeNone),colorWhite,0,H,-15);
PlotShapes(IIf(Sell,shapeHollowSmallCircle,shapeNone),colorWhite,0,SellPrice,0);
----- Original Message -----
Sent: Tuesday, December 30, 2008 6:01
AM
Subject: [amibroker] Top Stop Exit
programming question
Hi,
I am trying to program the Top Stop Exit as described by Volker
Knapp in
the September 08 edition of Active Trader Magazine.
The
entry rule is a basic moving average cross (for the trend strategy)
over
but the exit is giving me trouble.
The exit uses a limit order which
adjusts up or down depending on the
volatility.
The rules
are:
Limit exit: 4.5 times the ATR(14) plus the absolute value of
todays
closing price minus yesterdays closing price.
If the closing
price is highest of the past 20 days, raise the exit by
the absolute value
of todays closing price minus yesterdays closing price.
If the price fails
to make a new 20 day high, lower the exit price by
the same
amount.
Any help would be appreciated.
Thank you.
/* from
active trader mag. sep 08, p.54
*/
SetTradeDelays(1,0,1,0);
BuyPrice = C;
Buy =
Cross(C,MA(C, 100));
Entryprice = 0;
Limitexitprice =
0;
for (i=0; i < BarCount; i++)
{
if (Entryprice == 0 AND
Buy[i] == 1)
{
Entryprice = BuyPrice[i];
Limitexitprice = Entryprice
+ ATR(14)*4.5 + abs(C-Ref(C,-1));
}
else
if (Entryprice >
0 AND H[i] > Limitexitprice[i])
{
Sell[i] =1;
SellPrice[i] =
Limitexitprice;
Entryprice = 0;
}
else
if (Entryprice >
0)
{
Limitexitprice = IIf(C > HHV(C,20),
Limitexitprice +
ATR(14)*4.5 + abs(C-Ref(C,-1)),
Limitexitprice + ATR(14)*4.5 -
abs(C-Ref(C,-1)));
}
}
Sell = Cross(C,
Limitexitprice);
Buy = ExRem(Buy,Sell);
Sell =
ExRem(Sell,Buy);
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