[amibroker] Re: pyramiding - problems with code

["gborrageiro" <gborrageiro@xxxxxxxxxxx>]

hi Edward,

I do read replies...for some reason when I searched for my prior post it did'nt come up, so I thought it had'nt been posted.
Thanks for your code, it works!
I spent three weeks with Amibroker support and could'nt get it resolved. Code issues are not high on the list of their priorities unfortunately. 

thanks again.

--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx> wrote:
>
> do you ever read replies?
> 
> 
>   ----- Original Message ----- 
>   From: gborrageiro 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Thursday, June 25, 2009 6:36 PM
>   Subject: [amibroker] pyramiding - problems with code
> 
> 
> 
> 
> 
>   hi,
> 
>   I am testing some scaling out strategies and can't get the backtester to go short. There's a prob with my code somewhere but I just can't see where. 
> 
>   Your help would be appreciated! thanks
> 
>   SetTradeDelays( 0, 0, 0, 0 );
>   BuyPrice = Avg;
>   ShortPrice = Avg;
>   SetOption( "FuturesMode", True );
>   SetOption( "InitialEquity", 100000 );
> 
>   fast = ema(avg,10);
>   slow = ema(avg,100);
> 
>   Buy = Cross( fast, slow ) ;
>   Short = Cross( slow, fast ) ;
>   Sell = 0;
>   Cover = 0;
> 
>   FirstProfitTarget = 0.02; 
>   TrailingStop = 0.06; 
>   StopLoss = 0.02;
> 
>   priceatbuy = 0;
>   highsincebuy = 0;
>   priceatshort = 0;
>   lowsinceshort = 0;
> 
>   exit = 0;
> 
>   for ( i = 0; i < BarCount; i++ )
>   {
>   if ( priceatbuy == 0 AND Buy[ i ] )
>   {
>   priceatbuy = BuyPrice[ i ];
>   }
> 
>   if ( priceatshort == 0 AND Short[ i ] )
>   {
>   priceatshort = ShortPrice[ 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 ( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
>   {
>   // trailing stop hit - exit
>   exit = 2;
>   SellPrice[ i ] = Min( Avg[ i ], ( 1 - TrailingStop * 0.01 ) * highsincebuy );
>   }
> 
>   if ( Low[ i ] <= ( 1 - StopLoss * 0.01 ) * priceatbuy )
>   {
>   // Stop Loss hit - exit
>   exit = 3;
>   SellPrice[ i ] = Min( Avg[ i ], ( 1 - StopLoss * 0.01 ) * priceatbuy );
>   }
> 
>   if ( exit >= 2 )
>   {
>   Buy[ i ] = 0;
>   Sell[ i ] = exit + 1; // mark appropriate exit code
>   exit = 0;
>   priceatbuy = 0; // reset price
>   highsincebuy = 0;
>   }
>   }
> 
>   if ( priceatshort > 0 )
>   {
>   lowsinceshort = Min( Low[ i ], lowsinceshort );
> 
>   if ( exit == 0 AND
>   Low[ i ] <= ( 1 - FirstProfitTarget * 0.01 ) * priceatshort )
>   {
>   // first profit target hit - scale-out
>   exit = 1;
>   Short[ i ] = sigScaleOut;
> 
>   }
> 
>   if ( High[ i ] >= ( 1 + TrailingStop * 0.01 ) * lowsinceshort )
>   {
>   // trailing stop hit - exit
>   exit = 2;
>   CoverPrice[ i ] = Max( Avg[ i ], ( 1 + TrailingStop * 0.01 ) * lowsinceshort );
>   }
> 
>   if ( High[ i ] >= ( 1 + StopLoss * 0.01 ) * priceatshort )
>   {
>   // Stop Loss hit - exit
>   exit = 3;
>   CoverPrice[ i ] = Max( Avg[ i ], ( 1 + StopLoss * 0.01 ) * priceatshort );
>   }
> 
>   if ( exit >= 2 )
>   {
>   Short[ i ] = 0;
>   Cover[ i ] = exit + 1; // mark appropriate exit code
>   exit = 0;
>   priceatshort = 0; // reset price
>   lowsinceshort = 0;
>   }
>   }
>   }
> 
>   SetPositionSize( 2, spsShares );
> 
>   SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) ); // scale out 50% of position
>   //SetPositionSize( 50, spsPercentOfEquity );
>




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