|
PureBytes Links
Trading Reference Links
|
BuyPrice??? Interesting, I tried using the SellPrice in the scale out
bar and that didn't work so I figured I was on the wrong trail.
I'm not exactly sure why it should work this way, but since the scale
out signal itself is defined as:
Buy[i] = sigScaleOut;
I suppose it kinda makes since. But why is it working like this in the
first place? Why would the sigScalout parameter not more logically be
paired with the exit, like Sell[i] or Cover[i]???
If someone could explain this it will help more fully understand how
this section of code functions.
Thanks.
Pete :-)
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> You need to define the BuyPrice at the scaleout bar
>
>
> --
> Cheers
> Graham Kav
> AFL Writing Service
> http://www.aflwriting.com
>
>
>
> 2009/2/2 Pete <dryheat3@xxx>:
> > I have spent several hours trying to implement the Scale-out strategy
> > using futures contracts. I have finally come to the conclusion that
> > the example in the help file does not create a true scale out system.
> >
> > Here's what I found:
> > On the bar where a scale out is triggered, instead of reporting the
> > target price that triggered the scale out, the back tester actually
> > reports the open or close of that bar. (depending upon what settings
> > are used in the trades tab). This does not match a real trading
> > environment where you would place sell limit orders at your various
> > targets and wait for the price to hit them.
> >
> > I have spent many frustrated hours trying to get it to show the actual
> > target price as the exit price in the back tester but so far this
> > alludes me.
> > Here's an example of what I am trading in real life but so far cannot
> > write code to duplicate in the back tester:
> > Enter long 3 contracts.
> > Stop loss set at buy price minus 1.25 points
> > Target one set to buy price plus 1.25 points
> > Target two set to buy price plus 2.5 points
> > Remaining contract exits when close crosses below EMA(C, 20).
> >
> > The code below is what I have accumulated so far:
> >
> > Buy = <<Insert favorite buy signal here>>;
> > Sell = 0;
> > SystemExit = Cross(EMA(C, 20), Close);
> > // 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 = 1.25; // profit
> > SecondProfitTarget = 2.5; // in points
> > TrailingStop = 1.25; // 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 <= 2 AND
> > SystemExit[i] )
> > {
> > //system exit hit - exit any remaining contracts
> > SellPrice[i] = Close[i];
> > exit = 3;
> > }
> >
> > if( exit == 0 AND
> > High[ i ] >= FirstProfitTarget + priceatbuy )
> > {
> > // first profit target hit - scale-out
> > exit = 1;
> > Buy[ i ] = sigScaleOut;
> > }
> >
> > if( exit == 0 AND
> > High[ i ] >= SecondProfitTarget + priceatbuy )
> > {
> > // second profit target hit - exit
> > exit = 2;
> > Buy[ i ] = sigScaleOut;
> > //SellPrice[ i ] = Max( Open[ i ],
SecondProfitTarget + priceatbuy );
> > }
> >
> > if( Low[ i ] <= priceatbuy - TrailingStop )
> > {
> > // trailing stop hit - exit
> > exit = 3;
> > SellPrice[ i ] = Min( Open[ i ], priceatbuy - TrailingStop );
> > }
> >
> > if( exit >= 3 )
> > {
> > Buy[ i ] = 0;
> > Sell[ i ] = exit + 1; // mark appropriate exit code
> > exit = 0;
> > priceatbuy = 0; // reset price
> > highsincebuy = 0;
> > }
> > }
> > }
> >
> > SetPositionSize( 15, spsPercentOfEquity ); //Equity is set at
10,000.00
> > SetPositionSize( 1/3, spsPercentOfPosition * ( Buy == sigScaleOut ) );
> > // scale out 50% of position
> >
>
------------------------------------
**** 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/
|