Re: [amibroker] Re: Money management AFL, AmiBroker Email List Archive

On Wed, Oct 21, 2009 at 1:35 AM, mkecera <mkecera@xxxxxxxxx> wrote:

Remember that if you do use scaling out you are just adding another system to your basic system. The same applies for scaling in.

MK

--- In amibroker@xxxxxxxxxxxxxxx, "kevinkee20" <kevinkee20@xxx> wrote:
>
> I'm trying to write a money management AFL. I start off with the scaling-out example in the user guide, and add just one more condition - after openinig a position, if it is initially profitable but before it hits the profit target of say 20% it appears to be turning into a loss. In this case I want to set the stop to be the BuyPrice.
>
> Unfortunately it doesn't work - it just doesn't exit when the price drops below the BuyPrice.
>
> Below please find the full AFL, would anyone be able to help ?
>
> Buy = Cross( MA( C, 10 ), MA( C, 30 ) );
> Sell = 0;//Cross(MA(C,30), MA(C,10));
>
> // 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
> SetTradeDelays( 0, 0, 0, 0 ); /* delay entry/exit by one bar */
>
> FirstProfitTarget = 20; // profit
> SecondProfitTarget = 40; // in percent
> TrailingStop = 25; // also in percent
>
> priceatbuy=0;
> highsincebuy = 0;
>
> exitoriginal = 0;
> exitriskfree = 0;
>
> exit = 0;
>
> for( i = 0; i < BarCount; i++ )
> {
> if( priceatbuy == 0 AND Buy[ i ] )
> {
> priceatbuy = BuyPrice[ i ];
> exitoriginal = 1;
> exitriskfree = 0;
> }
>
>
> if( priceatbuy > 0 )
> {
> highsincebuy = Max( High[ i ], highsincebuy );
>
> if (exitoriginal == 1 AND Close[i] > priceatbuy)
> {
> exitoriginal = 0;
> exitriskfree = 1;
> }
>
> if (exitriskfree == 1 AND Low[i] <= priceatbuy)
> {
> exit = 3;
> SellPrice[i] = priceatbuy;
> exitoriginal = 0;
> exitriskfree = 0;
> }
>
>
> if( exit == 0 AND
> High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy )
> {
> // first profit target hit - scale-out
> exit = 1;
> Buy[ i ] = sigScaleOut;
> }
>
> if( exit == 1 AND
> High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy AND
> exitriskfree ==1)
> {
> // second profit target hit - exit
> exit = 2;
> SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy );
> }
>
> if(( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy ) AND exitriskfree==1)
> {
> // trailing stop hit - exit
> exit = 3;
> SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 ) * highsincebuy );
> }
>
> if( exit >= 2 )
> {
> Buy[ i ] = 0;
> Sell[ i ] = exit + 1; // mark appropriate exit code
> exit = 0;
> priceatbuy = 0; // reset price
> highsincebuy = 0;
> }
> }
> }
>
> SetPositionSize( 20, spsPercentOfEquity );
> SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) ); // scale out 50% of position
> // scale out 50% of position
> PlotShapes( (Buy) * shapeUpArrow , IIf( (Buy), colorGreen,colorBlue ), 0,IIf( (Buy), L,H ),-20 );
> Plot( Close, "Price", IIf( Close > Open, colorGreen, colorRed ),styleCandle | styleThick );
> PlotShapes( (ExRem(Sell,Buy)) * shapeSmallDownTriangle , colorLightOrange, 0,H ,-15 );
>
> Plot( MA(C, 10), _DEFAULT_NAME(), colorGreen, styleLine);
> Plot( MA(C, 30), _DEFAULT_NAME(), colorRed, styleLine);
>