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Ok, I found it.
The entry is
Buy = C > MA(C,100);
rather than the cross(C,MA(C,100));
Volker Knapp actually depicts two methods in the Active Trader Magazine
article, one for trend and one range (i.e. counter trend).
The counter trend entry is:
Long at market if todays low is 10% below the high 4 days ago
Initial Exit: limit order at 2.5 * ATR(10) plus abs(todays C minus
yesterdays C)
Trailing Exit: If C is the highest of the past 10 days, raise the limit
order by the abs(C - yesterdyas C). If it fails to make a 10 days high
close, lower it by the same amount.
He says that the method underperforms a Buy and Hold of the SP500,
however, he likes that the equity curve looks smoother.
Anthony
Edward Pottasch wrote:
ok good. Maybe if you provide some
more details on the stop method or where it seems to go wrong I could
help. On a first glanse the stop looks interesting but some tests do
not give very good results. So maybe I missed some details of how it
should work. Guess the idea is to let winners run and cut losers short.
But is seems to cut of winners too early.
regards, Ed
-----
Original Message -----
Sent:
Wednesday, January 07, 2009 7:37 AM
Subject:
Re: [amibroker] Top Stop Exit programming question
Ed,
I just saw your answer now. Thank you so much.
I was unable to reproduce the exact chart as in the AT magazine,
however, the white stop array line looks similar to the ones in the
article. A little tweaking, therefore, and it should be done.
Thanks again.
Edward Pottasch wrote:
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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