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Please help.
I have spent another 2 hours trying to get this to work. Below is the
code I have tweaked hoping to get it to scale out 1 contract on first
target, 2nd contract on second target and 100% on trailing stop. In
backtesting all exits are ocurring with all three original contracts. It
is not scaling out. What am I missing?
////////////////////////Code Below///////////////////////////////////
_SECTION_BEGIN("ScaleOut");
//Example of code that exits 1/3 on first profit target,
//1/3 on next profit target AND everything at trailing stop.
//For use in trading futures
Sell = 0;
// the system will exit
// 1 contract if FIRST PROFIT TARGET stop is hit
// 1 contract if SECOND PROFIT TARGET stop is hit
// 100% of position if TRAILING STOP is hit
FirstProfitTarget = Param("Target 1", 4, 2, 6, 1); // profit in points
SecondProfitTarget = Param("Target 2", 8, 6, 12, 1); // in points
TrailingStop = Param("TrailStop", 3, 1, 4, 0.5); // also in points
priceatbuy=0;
highsincebuy = 0;
exit = 0;
for( i = 0; i < BarCount; i++ )
{
if( priceatbuy == 0 AND Buy[ i ] )
{
priceatbuy = BuyPrice[ i ];
}
if( priceatbuy > 0 )
{
highsincebuy = Max( High[ i ], highsincebuy );
if( exit == 0 AND
High[ i ] >= (FirstProfitTarget + priceatbuy ))
{
// first profit target hit - scale-out
exit = 1;
Buy[ i ] = sigScaleOut;
}
if( exit == 1 AND
High[ i ] >= (SecondProfitTarget + priceatbuy ))
{
// second profit target hit - exit
exit = 2;
SellPrice[ i ] = Max( Open[ i ], ( SecondProfitTarget +
priceatbuy ));
}
if( Low[ i ] <= (highsincebuy - TrailingStop ) )
{
// trailing stop hit - exit
exit = 3;
SellPrice[ i ] = Min( Open[ i ], (highsincebuy - TrailingStop )
);
}
if( exit >= 2 )
{
Buy[ i ] = 0;
Sell[ i ] = exit + 1; // mark appropriate exit code
exit = 0;
priceatbuy = 0; // reset price
highsincebuy = 0;
}
}
}
//SetPositionSize( 50, spsPercentOfEquity );
//SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) );
// scale out 1 contract
SetPositionSize( 3, spsShares );
SetPositionSize( 1, spsShares * ( Buy == sigScaleOut ) ); // scale out 1
contract
////////////////////////End Code/////////////////////////////////////
--- In amibroker@xxxxxxxxxxxxxxx, "Pete" <dryheat3@xxx> wrote:
>
> I give up. I tried for a couple hours to get the example in the help
> file of the scale out code to work for futures. I'm just not getting
it.
> I need a section of code to define the scale out strategy based not on
> percent of position size but rather on points. For instance, I would
> like to scale out of a futures position after profit reaches 1 point
> and scale out further when profit reaches 3 points, allowing the 3rd
> and final contract to run out until the sell signal is triggered. I
> sure hope there is some code out there that does this.
>
> The example from the help file:
>
> Buy = Cross( MA( C, 10 ), MA( C, 50 ) );
> Sell = 0;
>
> // the system will exit
> // 50% of position if FIRST PROFIT TARGET stop is hit
> // 50% of position is SECOND PROFIT TARGET stop is hit
> // 100% of position if TRAILING STOP is hit
>
> FirstProfitTarget = 10; // profit
> SecondProfitTarget = 20; // in percent
> TrailingStop = 10; // also in percent
>
> priceatbuy=0;
> highsincebuy = 0;
>
> exit = 0;
>
> for( i = 0; i < BarCount; i++ )
> {
> if( priceatbuy == 0 AND Buy[ i ] )
> {
> priceatbuy = BuyPrice[ i ];
> }
>
> if( priceatbuy > 0 )
> {
> highsincebuy = Max( High[ i ], highsincebuy );
>
> if( exit == 0 AND
> High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy )
> {
> // first profit target hit - scale-out
> exit = 1;
> Buy[ i ] = sigScaleOut;
> }
>
> if( exit == 1 AND
> High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy
)
> {
> // second profit target hit - exit
> exit = 2;
> SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget *
> 0.01 ) * priceatbuy );
> }
>
> if( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
> {
> // trailing stop hit - exit
> exit = 3;
> SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 )
> * highsincebuy );
> }
>
> if( exit >= 2 )
> {
> Buy[ i ] = 0;
> Sell[ i ] = exit + 1; // mark appropriate exit code
> exit = 0;
> priceatbuy = 0; // reset price
> highsincebuy = 0;
> }
> }
> }
>
> SetPositionSize( 50, spsPercentOfEquity );
> SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) );
> // scale out 50% of position
>
------------------------------------
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