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Thnaks but I'm really looking for the SAR of the indicator as part of my system. I'll re-post a clearer message.
--- In amibroker@xxxxxxxxxxxxxxx, "Grover Yowell" <gyowell1@xxx> wrote:
>
> Hi,
>
>
>
> Here is a copy of a message from Howard Bandy of Quantitative Trading
> Systems in which he provides the SAR (long only) . It will follow the Buy
> signal of your indicator and generate the parabolic SAR.
>
>
>
> Grover
>
> Howard's message begins here.
>
> Greetings all --
>
> Here is an AFL code that will implement the parabolic trailing stop for a
> long position. Set the Buy independently. Set the initial level of the
> trailing stop as you wish. The code takes care of raising the stop level as
> the price rises.
>
> ////////////////////////////////////////////
>
> // ParabolicStop.afl
> //
> // This implementation is for a long position.
> //
> // The parabolic trailing stop is set below the
> // entry point on the first day of long position,
> // and rises according to a formula as the price rises.
> // Unlike the traditional trailing stop, the
> // parabolic stop continues to rise even as the
> // price holds steady or drops. Eventually, the
> // price and the parabolic stop meet, which triggers
> // an exit.
> //
> SetTradeDelays(0,0,0,0);
>
> // Trading system entry logic goes here.
> // Exit will be made by the parabolic stop.
>
> // For example, use moving average crossover entry.
> MALen1 = Optimize("MALen1",30,1,31,1);
> MAvg = AMA(C,2/(MALen1+1));
>
> MALen2 = Optimize("MALen2",15,1,31,2);
> Pass = C>=MA(C,MALen2);
>
> Buy = pass AND Cross(C,MAvg);
>
> // The code for the Parabolic Trailing Stop begins here.
> //
> // Assume that entry will be made at the close of the day the
> // buy signal is generated.
> //
> // Setting TradeAtStop to 1 assumes that there is a stop
> // in place and the trade exits intraday at the stop price.
> // Setting TradeAtStop to 0 assumes that intraday exit
> // cannot take place (as in mutual fund end-of-day
> // trading) and the trade takes place at the close
> // of the signal day.
>
> TradeAtStop = Param("TradeAtStop",0,0,1,1);
>
> // Set the initial stop level.
> // For this example, it is set at the Lowest Low
> // for some number of days.
>
> LBDays = Optimize("LBDays",1,0,10,1);
>
> // Set the Acceleration factor and Maximum Acceleration.
>
> IAF = Param("IAF",0.02,0.001,0.1,0.001); // acceleration factor
> MaxAF = Param("MaxAF",0.2,0.001,1.0,0.001); // max acceleration
>
> Psar = Close; // initialize
> mp = 0; // flat initial conditions
> Sell = 0; // clear sell signals
> af = IAF; // initial acceleration factor
> hp = High [ 0 ];
> lp = Low [ 0 ];
> Lp = LLV(Low,LBDays);
>
> // Loop through all the bars.
>
> for( i = 2; i < BarCount; i++ )
> {
> // Check for exit from long position
>
> if ( (mp == 1) AND (Low[i] < Psar[i-1]) )
> {
> Sell[i] = 1;
> if (TradeAtStop)
> {
> SellPrice[i] = Psar[i-1];
> }
> else
> {
> SellPrice[i] = Close[i];
> }
> mp = 0;
> }
>
> // Continuation of long position -- adjust stop
>
> if ( mp == 1 )
> {
> if (High[i] > Hp)
> {
> Hp = High[i];
> af = af + IAF;
> if (af > MaxAF) af = MaxAF;
> }
> psar [ i ] = psar [ i-1 ] + af * ( hp - psar [ i-1 ] );
> }
> else
> {
> // not in a long position.
> // value of psar is not important.
> // set the psar level so it will plot
> // on the price graph.
>
> psar[i] = Close[BarCount-1];
> }
>
> // Check for new long position
>
> if ( (mp == 0) AND (Buy[i]) )
> {
> BuyPrice[i] = Close[i];
> Psar[i] = Lp[i];
> Hp = High[i];
> af = IAF;
> mp = 1;
> }
> }
>
> // The code for the Parabolic Trailing Stop ends here.
>
>
> Plot( Close, "Price", colorBlack, styleCandle );
> Plot( MAvg, "MAvg", colorBlue,styleLine);
> Plot( psar, "SAR", colorRed,
> styleDots | styleNoLine | styleThick );
>
> Buy = ExRem(Buy,Sell);
> Sell = ExRem(Sell,Buy);
> //Figure 7.11 Parabolic Stop - Looping Code
>
> ////////////////////////////////////////////
>
> Thanks,
> Howard
> www.quantitativetradingsystems.com
>
>
>
>
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> Of gmorlosky
> Sent: Saturday, April 25, 2009 4:27 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Need SAR in raw code form ?
>
>
>
>
>
>
>
>
> Does anyone have the SAR formula in it's raw Amibroker code. I want to use
> my indicator in place of the high and low value.
> Thanks
>
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