Hello
Could any AFL expert or any one else see why the traing stop (for long
side) in the code below does not work?
I have uploaded a PDF ("PROFIT LOCKING AND THE RELATIVE PRICE
CHANNEL-2.pdf "
http://f1.grp.yahoofs.com/v1/0IVuSoMsbmfIJkS8BkrK-OzCjyoqwQfjxR02zpQSIVvPq-fWYu_5Bakzj2IZQxSdhHaawLCqyDLqtawdnYI3uJezUqn-/PROFIT%20LOCKING%20AND%20THE%20RELATIVE%20PRICE%20CHANNEL%202.pdf)
of screen shots of Amibroker and the working version of Metastock for
the same indicator in the files section for temporary reference.
There seems to be an intial value that I cannot see where it originates
from. There are some commented out attempts to see where the problem
left in the code below that can be deleted - they give the same result.
Thanks in advance for some input
Ed
Code:
//PROFIT LOCKING AND THE RELATIVE PRICE CHANNEL
//Amended - 27 July 2009
//S&C Traders' Tips Issue 1/2008
Version(5.20); //Requires v5.20
SetBarsRequired(sbrAll); //Use all available bars
dt = ParamDate("Date of the trend", "2008-11-21" ); // get start date
Value1 = Param("Bearish Periods", 21, 3, 55 );
Value2 = Param("Multiplication Factor", 3.8, 1, 10 );
Value3 = Param("Initial Stop", 10, 0, 1e6 );
Value4 = Param("Channel Periods", 21, 3, 55 ); // Channel Periods
Value5 = Param("Overbought region", 75, 1, 100 ); // Overbought region
Value6 = Param("Channel Smoothing", 1, 1, 10 );
Start = Cross(DateNum(),dt);
Started = Flip(Start, 0);
HoldingDays = BarsSince( DateNum() < dt );
Index = RSI( Value4 );
OB = EMA( Index - Value5, Value6 );
Bullish = Close - ( Close * OB/100 );
//Calculate trailing stop line
TL = Null;
Stop = Null;
Prev = 0; //Temporary scalar variable
trailstop = 0;
Bearish = Sum( abs( Low - Ref( Low, -1 ) ), Value1 ) / Value1;
RangeA = Sum( Close - Low, Value1 ) / Value1;
Stop = Close - ( ( Bearish + RangeA ) * Value2 );
for( i = 1; i < BarCount; i++ )
{
if(Started[i] == 0 ) continue;
Prev = TL[ i - 1 ];
Cond1 = Stop[ i ] > Prev;
// if(NOT(Started[i-1]) AND Started[i]) TL[i-1] = Value3; //OR use
TL[i-1] = Stop[i-1];
/* if( Stop[ i ] > Prev AND Stop[ i ] > Value3)
trailstop = Stop[ i ];
else
if( Stop[ i ] > Prev AND Stop[ i ] < Value3)
trailstop = Value3;
else
if( Stop[ i ] <= Prev)
trailstop = Prev;
else trailstop = Stop[ i ] * HoldingDays[ i ] ;
TL[ i ] = trailstop;
*/
/*
TL[ i ] = IIf( Stop[ i ] > Prev AND Stop[ i ] > Value3, Stop[ i
],
IIf( Stop[ i ] > Prev AND Stop[ i ] < Value3, Value3,
IIf( Stop[ i ] <= Prev, Prev, Stop[ i ] * HoldingDays[ i ] ) ) );
*/
TL[ i ] = IIf( Cond1 AND Stop[ i ] > Value3, Stop[ i ],
IIf( Cond1 AND Stop[ i ] < Value3, Value3,
IIf( NOT Cond1, Prev, Stop[ i ] * HoldingDays[ i ] ) ) );
}
/* _TRACE(" i = " + NumToStr(i, 1.0) + " index date = " + NumToStr(dt,
1.0) + " Stop i = " + NumToStr(Stop, 3.0) + " TL[i] = " + NumToStr(TL,
3.0)); */
// TL = IIf( HoldingDays == 0, Null, TL ); // Plot from the input date
Bullish = IIf( HoldingDays == 0, Null, Bullish );
Plot( C, "Price", IIf( C > O, colorGreen, colorRed ), styleCandle );
Plot( TL, "TL", colorBlue );
Plot( Stop, "Stop", colorGreen );
// Plot( Prev, "Prev", colorRed );
// Plot( Bullish, "Bullish", colorLightGrey );
// PlotOHLC( TL, TL, Bullish, Bullish, "", ColorRGB( 230, 230, 230),
styleCloud | styleNoLabel );
Title = "{{NAME}} - {{DATE}} - {{VALUES}}";