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Pete
I'm glad to see you got it working. I am looking forward to you
positing the AFL to see how you did it.
Thanks
Larry
--- In amibroker@xxxxxxxxxxxxxxx, "Pete" <dryheat3@xxx> wrote:
>
> I GOT IT! So easy to miss. Since I my system is entering at the
close of
> the bar I need to exclude the high/low of the entry bar from my
test for
> profit targets and stop loss.
> So very simple:
> //check if 1st target hit and short[i] = 0
> if( Short[i] == 0 AND exit == 0 AND
> Low[ i ] <= priceatshort - FirstProfitTarget -
TickIncrement )
> {
> // first profit target hit - scale-out
> exit = 1;
> Short[ i ] = sigScaleOut;
> ShortPrice[i] = priceatshort - FirstProfitTarget;
> //_TRACE("Exit1: " +exit);
> }
> Only the entry bar with show Short[i] == 1, so just make sure Short
[i]
> == 0 before checking for potential exits. Now I need to do the same
for
> the long side of the code.
>
> I am really glad I had to work through this problem. Had someone
given
> me the solution I would not have learned so much about the use of
the
> debugging tool. Now that I have this part working correctly I will
debug
> the rest of the script and once I have a fully operational code I
will
> post it on the AFL library (this will be my first!).
>
> Pete :-)
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Pete" <dryheat3@> wrote:
> >
> > Thanks Grover, I tried this and it did not work. Great suggestion
> > though.
> > See below for debug output:
> >
> > I took the time to format the output for maximum clarity.
> > 1. The first short on 1/23/09 4:00 pm is not within the range of
the
> > back test so no trade should take place, note the equity starts at
> > 10,000.00
> > 2. The second short is within range of the back test and should
appear
> > in the back test but it does not, note equity is now at POSITIVE
> > 9,840.40
> > 3. Continuing on you will see every long signal appears on the
back
> test
> > while none of the short signals appear until after equity again
rises
> to
> > the POSITIVE side, 2,477.90
> >
> > At this point I am not sure the portfolio equity, in-loop, really
has
> > anything to do with this.
> >
> > Larry, thanks for confirming you have tried to get this to work
and
> > failed as well. It certainly provided some comfort knowing I am
not
> the
> > only one failing to get this working.
> >
> > Unless Tomasz or someone else has a way to get this to work I will
> > probably report this as a bug on the Amibroker support site.
> > Thanks for all who take the time to try and unravel this one!
> >
> > Pete :-)
> >
> >
> > ************************************************************
> >
> > ShortEntry: 1/23/2009 4:00:00 PM <<Not in Selected Range>>
> >
> > ShortPrice = 825.25 Equity in-loop: 10000
> >
> > ************************************************************
> >
> > ShortEntry: 1/26/2009 7:30:00 AM <<Absent From Back Test>>
> >
> > ShortPrice = 824.5
Equity
> > in-loop: 9840.4
> >
> > ************************************************************
> >
> > LongEntry: 1/26/2009 8:36:00 AM <<Present In Back Test>>
> >
> > BuyPrice: 827 Equity in-loop:
7465.4
> >
> > ************************************************************
> >
> > ShortEntry: 1/26/2009 11:48:00 AM <<Absent From Back Test>>
> >
> > ShortPrice = 839.75 Equity in-loop: -
4647.1
> >
> > ************************************************************
> >
> > LongEntry: 1/26/2009 12:30:00 PM <<Present In Back Test>>
> >
> > BuyPrice: 844.25 Equity in-loop: -
8922.1
> >
> > ************************************************************
> >
> > ShortEntry: 1/26/2009 12:33:00 PM <<Absent From Back Test>>
> >
> > ShortPrice = 840.5 Equity in-loop: -
5359.6
> >
> > ************************************************************
> >
> > LongEntry: 1/26/2009 3:00:00 PM <<Present In Back Test>>
> >
> > BuyPrice: 835.25 Equity in-loop: -
372.1
> >
> > ************************************************************
> >
> > ShortEntry: 1/26/2009 3:42:00 PM <<Present In Back Test>>
> >
> > ShortPrice = 832.25 Equity in-loop: 2477.9
> >
> > ************************************************************
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Grover Yowell" gyowell1@ wrote:
> > >
> > > Larry,
> > >
> > > I recall from several years ago someone suggested that
priceatshort
> > should
> > > be initialized as a very large number such as 99999999 instead
of
> zero
> > as is
> > > in your code. I tried it at the time and it worked. You might
try
> > that.
> > >
> > > Grover
> > >
> > >
> > >
> > > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On
> > Behalf
> > > Of onelkm
> > > Sent: Sunday, February 08, 2009 6:34 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: Last Try, Scale out with short and long
> > entry's
> > >
> > >
> > >
> > > Pete
> > > I have tried to do the same thing without success. I hope
someone
> > > will suggest how this can be done.
> > > Larry
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker%40yahoogroups.com>
> > ,
> > > "Pete" dryheat3@ wrote:
> > > >
> > > > Ok, here's the code that I built. As far as my understanding
goes,
> > > this
> > > > code should work perfectly. Yet it does not. Load this into
your
> AB
> > > and
> > > > before running the back test make sure you have debug app
running
> to
> > > > capture the _Trace() output.
> > > >
> > > > Run this against an intraday chart of ES. I am assuming you
> already
> > > have
> > > > the tick size, point value and margin deposit cofigured in
your
> > > > database. You can use a 3, 5 or 10 minute chart settings for
the
> > > > backtest. Run the back test in Short only mode and set the
report
> to
> > > > detailed log so you can see any scaling of trades. The scaling
> > > works,
> > > > this is NOT what I am trying to get working. The problem with
this
> > > code
> > > > is it misses entry signals ONLY when including shorts. Longs
work
> > > just
> > > > perfectly.
> > > >
> > > > Examining the debug output you will see the short signals are
> > > driving
> > > > portfolio equity into the negatives, even when the back
tester may
> > > be
> > > > reporting a net profit. It's when the portfolio equity is
driven
> > > into
> > > > the negatives that it cuases this system to miss several entry
> > > signals.
> > > >
> > > > You can scan the debug output for a point short entry where
the
> > > > portfolio equity is negative, then go to the back tester
output
> and
> > > see
> > > > if you can find that trade in the list. If the equity is
negative
> > > there
> > > > is no entry in the back tester. If the equity is positive,
then
> the
> > > > trade will be found in the back tester.
> > > >
> > > > Some of the statments in this code are a bit long so I'm not
sure
> > > how
> > > > well it will copy/paste from the web into .afl. You may need
to
> > > remove
> > > > some line wrapping after pasting into AB.
> > > >
> > > > I'm going to figure this out, or go mad trying. So your
assistance
> > > may
> > > > prevent my early retirement to the funny farm. lol!
> > > >
> > > > SetTradeDelays(0,0,0,0);
> > > > BuyPrice = Close;
> > > > SellPrice = Close;
> > > > SetOption("FuturesMode", True);
> > > > SetOption("InitialEquity", 10000);
> > > > Buy = Cross(MA(C, 20), MA(C,50));
> > > >
> > > > Short = Cross(MA(C,50), MA(C,20));
> > > >
> > > > SystemExitLong = Cross(MA(C,18), C); // This value will be
> adjusted
> > > > according the system's exit rules
> > > > SystemExitShort = Cross(C, MA(C,18));
> > > >
> > > > StopAmt = 1.5; //number of points
> > > > ProfitTarget = 3;//number of points
> > > >
> > > >
> > > >
> > > > TickIncrement = Param("Tick Increment", 0.25, 0.1, 1,
0.1);//ES =
> > > 0.25,
> > > > NQ = 0.10, YM = 1
> > > > TickIncrement = TickIncrement * 1; //change this value
according
> to
> > > the
> > > > expected slippage when stops are tiggered
> > > >
> > > > //set begining value of essential variables
> > > > TrailingStop = 0; // This value will be adjusted to
> > > FirstProfitTarget
> > > > only after SecondProfitTarget is hit
> > > > StopLoss = 0;
> > > > FirstProfitTarget = 0;
> > > > SecondProfitTarget = 0;
> > > > //set begining values for long variables
> > > > priceatbuy=0;
> > > > highsincebuy = 0;
> > > > Sell = 0;
> > > > TradeDate = DateTime();
> > > > //set begining values for short variables
> > > > priceatshort=0;
> > > > lowsincebuy = 0;
> > > > Cover = 0;
> > > >
> > > > //set exit to zero
> > > > exit = 0;
> > > > PortEq = Equity();
> > > >
> > > >
> > > >
> ////////////////////////////////////////////////////////////////////
> > > ////\
> > > > ///
> > > > //////////////Begin code to scale out of
> > > positions////////////////////
> > > >
> ////////////////////////////////////////////////////////////////////
> > > ////\
> > > > ///
> > > > for( i = 0; i < BarCount; i++ )
> > > > {
> > > > if( priceatbuy == 0 AND Buy[ i ] )
> > > > {
> > > > //initialize required variables
> > > > _TRACE("Long Entry = " + DateTimeToStr(TradeDate[i]) +" AND
Buy
> > > Price =
> > > > " +BuyPrice[i] +" AND Equity in-loop: " +PortEq[i]);
> > > > priceatbuy = BuyPrice[ i ];
> > > > StopLoss = StopAmt[i];
> > > > FirstProfitTarget = StopAmt[i];
> > > > SecondProfitTarget = ProfitTarget[i];
> > > > }
> > > >
> > > > if( priceatshort == 0 AND Short[ i ] )
> > > > {
> > > > //initialize required variables
> > > > _TRACE("Short Entry = " + DateTimeToStr(TradeDate[i]) +" AND
Short
> > > Price
> > > > = " +ShortPrice[i] +" AND Equity in-loop: " +PortEq[i]);
> > > > priceatshort = ShortPrice[ i ];
> > > > StopLoss = StopAmt[i];
> > > > FirstProfitTarget = StopAmt[i];
> > > > SecondProfitTarget = ProfitTarget[i];
> > > > }
> > > >
> > > > if( priceatbuy > 0 )
> > > > {
> > > > highsincebuy = Max( High[ i ], highsincebuy );
> > > >
> > > > //check if 1st target hit and long
> > > > if( exit == 0 AND
> > > > High[ i ] >= FirstProfitTarget + TickIncrement +
> > > priceatbuy )
> > > > {
> > > > // first profit target hit - scale-out
> > > > exit = 1;
> > > > Buy[ i ] = sigScaleOut;
> > > > BuyPrice[i] = FirstProfitTarget + priceatbuy;
> > > > }
> > > >
> > > > //check if 2nd target hit and long
> > > > if( exit == 1 AND
> > > > High[ i ] >= SecondProfitTarget + TickIncrement +
> > > priceatbuy
> > > > )
> > > > {
> > > > // second profit target hit - scale-out
> > > > exit = 2;
> > > > Buy[ i ] = sigScaleOut;
> > > > BuyPrice[i] = SecondProfitTarget + priceatbuy;
> > > > TrailingStop = FirstProfitTarget + priceatbuy; //after
> > > > hitting SecondProfitTarget, move
> > > >
> > > > //stop to FirstProfitTarget position
> > > > }
> > > >
> > > > //check if system exit hit and long
> > > > if( exit <= 2 AND
> > > > SystemExitLong [i]) //need to substitute system exit here
> > > > {
> > > > // System Exit hit - exit all remaining contracts
> > > > exit = 3;
> > > > SellPrice[i] = Close[i]; //all three contracts would
> > > exit
> > > > here
> > > > }
> > > >
> > > > //check if trailing stop hit and long
> > > > if( exit == 2 AND
> > > > Low[ i ] <= TrailingStop - TickIncrement )
> > > > {
> > > > // Trailing Stop target hit - exit trade with final
> > > contract
> > > > exit = 3;
> > > > SellPrice[ i ] = TrailingStop -
> > > TickIncrement ; //accounting
> > > > for one tick slippage
> > > > }
> > > >
> > > > //check if stop loss hit and long
> > > > if(Low[ i ] <= priceatbuy - StopLoss - TickIncrement )
> > > > {
> > > > // Stop Loss hit - exit
> > > > exit = 3;
> > > > SellPrice[ i ] = Min( Open[ i ], priceatbuy - StopLoss -
> > > > TickIncrement ); //assume one tick slippage
> > > > }
> > > >
> > > > //check if exit complete
> > > > if( exit >= 3 )
> > > > {
> > > > Buy[ i ] = 0;
> > > > Sell[ i ] = exit + 1; // mark appropriate exit code
> > > > exit = 0;
> > > > priceatbuy = 0; // reset price
> > > > highsincebuy = 0;
> > > > ThirdProfitTarget = 0;
> > > > TrailingStop = 0;
> > > >
> > > > }
> > > > }
> > > >
> > > > if( priceatshort > 0 )
> > > > {
> > > > lowsincebuy = Min( Low[ i ], lowsincebuy );
> > > > //check if 1st target hit and short
> > > > if( exit == 0 AND
> > > > Low[ i ] <= priceatshort - FirstProfitTarget -
> > > TickIncrement )
> > > > {
> > > > // first profit target hit - scale-out
> > > > exit = 1;
> > > > Short[ i ] = sigScaleOut;
> > > > ShortPrice[i] = priceatshort - FirstProfitTarget;
> > > > }
> > > > //check if 2nd target hit and short
> > > > if( exit == 1 AND
> > > > Low[ i ] <= priceatshort - SecondProfitTarget -
> > > TickIncrement
> > > > )
> > > > {
> > > > // second profit target hit - scale-out
> > > > exit = 2;
> > > > Short[ i ] = sigScaleOut;
> > > > ShortPrice[i] = priceatshort - SecondProfitTarget;
> > > > TrailingStop = priceatshort -
> > > FirstProfitTarget ; //after
> > > > hitting SecondProfitTarget, move
> > > >
> > > > //stop to FirstProfitTarget position
> > > > }
> > > > //check if system exit and short
> > > > if( exit <= 2 AND
> > > > SystemExitShort[i]) //need to substitute system exit here
> > > > {
> > > > // System Exit hit - exit all remaining contracts
> > > > exit = 3;
> > > > CoverPrice[i] = Close[i]; //all three contracts would
> > > exit
> > > > here
> > > > }
> > > > //check if trailing stop hit and short
> > > > if( exit == 2 AND
> > > > High[ i ] >= TrailingStop + TickIncrement )
> > > > {
> > > > // Trailing Stop target hit - exit trade with final
> > > contract
> > > > exit = 3;
> > > > CoverPrice[ i ] = TrailingStop + TickIncrement ;
> > > > }
> > > > //check if stop loss hit and short
> > > > if(High[ i ] >= priceatshort + StopLoss + TickIncrement )
> > > > {
> > > > // Stop Loss hit - exit
> > > > exit = 3;
> > > > CoverPrice[ i ] = Max( Open[ i ], priceatshort +
> > > StopLoss +
> > > > TickIncrement ); //assume one tick slippage
> > > > }
> > > > //check if exit complete
> > > > if( exit >= 3 )
> > > > {
> > > > Short[ i ] = 0;
> > > > Cover[ i ] = exit + 1; // mark appropriate exit code
> > > > exit = 0;
> > > > priceatshort = 0; // reset price
> > > > highsincebuy = 0;
> > > > ThirdProfitTarget = 0;
> > > > TrailingStop = 0;
> > > >
> > > > }
> > > > }
> > > >
> > > > }
> > > >
> > > > SetPositionSize(3,spsShares); //Trade 3 contracts on entry
> > > > SetPositionSize( 1, IIf( Short == sigScaleOut OR Buy ==
> sigScaleOut,
> > > > spsShares, spsNoChange ) ); //scale out 1 contract at a time
until
> > > > position closed
> > > >
> ////////////////////////////////////////////////////////////////////
> > > ////\
> > > > ///
> > > > //////////////End of code to scale out of
> > > positions////////////////////
> > > >
> ////////////////////////////////////////////////////////////////////
> > > ////\
> > > > ///
> > > >
> > >
> >
>
------------------------------------
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