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Hi Mark,
thanks for sharing this code.
this will definitely help me in my further study of the market.
I am just starting in Amibroker so i'm not yet an accomplished programmer. (i doubt i ever will be)
I know it's probably an open door but here it is anyway:
a good stoploss is indeed essential to all trading systems.
what is equally important, imo, is a good profit target mechanism as a way to get out of a trade.
I find the classic pivots to do a marvelous job at that.
I usually calculate pivots depending on the time frame i'm trading, (around 30 to 60 bars) i.e. 1 hour pivots for a minute chart or weekly pivots for a hourly chart.
hope this helps you in some way.
Thanks for sharing,
Marc.
--- In amibroker@xxxxxxxxxxxxxxx, "r22mark" <mtf_79@xxx> wrote:
>
> Hi.
>
> Money / risk management is an area of interest to me. I have tried to create a "smart" trailing stop, one that adjusts itself. There is also some stuff that people may not have encountered - Fixed Fractional Position Sizing with margin (to mimic CFD's) , various buy "filters", PositionScore, and the Graph / indicator plot code is handy for displaying trade arrows, and trade prices. Hope there is something of use for you. This is NOT a ready to trade system - you will likely find results are poor. It IS an example of what can be done other than a basic trail stop. This is an ongoing project. Plot it or drag it onto a chart to view / adjust the parameters.
>
> The risk management side has:
> - initial stop set at 20%.
> - after 5 days stop raised /risk reduced by 50%
> - stop moved to break even after 10 days
> - after 15 days stop raised / risk reduced by 50%
> - at any time you have 3 lower lows, risk is reduced by 25%, every time.
> - these can all adjusted via parameters.
>
> Again this is a code in progress, I use Plot() to verify what is happening at each bar. If you want to check my work, uncomment them. Let me know if you find any errors.
>
> So people. Comments? Ideas? Feedback? I haven't heard of anyone doing "smart" trail stops. Or am I am just wasting my time?
>
> Mark
>
>
> SetTradeDelays (0,0,0,0);
> SetOption("InitialEquity", 100000);
> SetOption("AccountMargin", 10); // only put up 10% funds, buying power x 10
> SetOption("CommissionMode", 1);
> SetOption("CommissionAmount", 0.10); // .1% commission per entry / exit
> SetOption("MaxOpenPositions", 12);
> SetOption("AllowSameBarExit", True);
>
> // FIXED FRACTIONAL POSITION SIZING
> CapRisk = Param("CapitalRisk", 2, 1,5,0.5); // capital risk %
> MaxCap = 10; // max capital % in one trade (10% capital = 2% stop)
> StopPct = Param("StopPct", 20, 1,25,1)/100; // stop % - initial risk
> FFRisk = Min(CapRisk/(StopPct*BuyPrice)*BuyPrice/10, MaxCap);
> "FF risk = " +WriteVal(ffrisk, 1.2);
> SetPositionSize(FFRisk * 10, spsPercentOfEquity);
>
>
> // POS SCORE - BANG FOR BUCK ($10,000)
> B4B = 10000/Ref(C,-1)*Ref(ATR(200),-1)/100;
> "10k BFB = " +WriteVal(B4B, 1.2);
> PositionScore = B4B;
>
>
> // INDEX TREND FILTER - 2 x moving averages
> SetForeign("$DJ"); // change to whatever index is of interest
> IFa = Param("IF FMA", 30,0,100,5); IFb = Param("IF SMA", 100,0,300,5);
> IFx = EMA(C,IFa); IFy = MA(C,IFb); IndexFilter = IFx > IFy;
> //Plot(IFx, "IF FMA", colorBlue, styleLine); Plot(IFy, "IF SMA", colorOrange, styleLine);
> //PlotForeign("XAO", "All Ords", colorBlack, styleLine);
> //Plot(IndexFilter,"Index Filter", colorBlack, styleLine);
> RestorePriceArrays();
>
>
> // TREND FILTER - 2 x moving averages
> j = Param("FMA", 30,0,50,5); k = Param("SMA", 100,0,100,5);
> FMA = EMA(C,j); SMA = EMA(C,k); TF = FMA > SMA;
> //Plot(FMA, "FMA", colorBlue, styleLine); Plot(SMA, "SMA", colorOrange, styleLine);
>
>
> // VOL FILTER - MONEY FLOW > $1 MILLION
> VF = EMA(V*C,21) > 1000000;
> Filter = VF; AddColumn(VF, "volFilter"); AddColumn(EMA(V*C,21), "V*C", 1.2); // leaves approx 225 from ASX 300
>
> BDC1 = Param("#buydays", 20, 5,50,5);
> BDC2 = Param("#buydays2", 70, 5,100,5);
> Cond1 = H > Ref(HHV(H,BDC1),-1) + 0.01;
> Cond2 = H > Ref(HHV(H,BDC2),-1) + 0.01;
> Buy = Cond1 AND Cond2 AND IndexFilter AND VF AND TF;
> BuyPrice = Max(O, Ref(HHV(H,BDC1),-1) + 0.01);
>
> Sell = 0;
>
> // REDUCE RISK - RAISE STOP X 2, RAISE TO BREAKEVEN, TIGHTEN AFTER 3 DOWN DAYS
> MSD = Param("#DaysB4MoveStop1", 5, 0,50,1) -1; // needs -1 to calculate correctly
> RSP = (100-Param("%raiseStop1By", 50, 0, 100, 5)) / 100;
> MSD2 = Param("#DaysB4MoveStop2", 15, 0,50,1) -1;
> RSP2 = (100-Param("%raiseStop2By", 50, 0, 100, 5)) / 100;
> MSBE = Param("#DaysB4MoveStopBE", 10, 0,50,1) -1;
> TSDM = 1 + Param("%raiseStop3DownDays", 25, 0,100,5) / 100 * StopPct; WriteVal(tsdm);
> IS = BuyPrice - (BuyPrice*StopPct);
> NS = Ref(C,-1) - (Ref(C,-1)*StopPct); // initial stop
> NS2 = Ref(C,-1) - (Ref(C,-1)*StopPct*RSP); // reduce risk
> NS3 = Ref(C,-1) - (Ref(C,-1)*StopPct*RSP*RSP2); // reduce risk again
>
>
> TS = 0; OpenPos = 0; j = 0; BES = Null; TSD = 0; LowDown = 0;
> TSa = Null; Spa = Null; ja = Null; nsa = Null; ns2a = Null;
> bpa = Null; besa = Null; ns3a = Null; TSDa = Null; Checka = Null;
>
> for(i=1; i<BarCount; i++)
> {
> if(Buy[i] AND OpenPos == 0 AND TS[i] == 0) {
> Buy[i] = 1;
> bpa[i] = BuyPrice[i];
> bes[i] = BuyPrice[i] * 1.005; // .5% to cover comissions, etc
> besa[i] = bes[i];
> TS = IS[i];
> OpenPos = 1;
> j = 0;
> TSD = L[i] - TS;
> TSDa[i] = TSD;
> }
> else Buy[i] = 0;
> if(OpenPos == 1 AND TS[i] > 0 AND L[i] <= TS[i]) {
> Sell[i] = 1;
> SellPrice[i] = Min(O[i], TS[i]);
> SPa[i] = SellPrice[i];
> TS = 0;
> OpenPos = 0;
> j = 0;
> BES[i] = 0;
> TSD = 0;
> TSDa[i] = TSD;
> LowDown = 0;
> }
> else Sell[i] = 0;
> // reduce risk after x days, first time
> if(TS[i] > 0 AND j <= MSD) {
> TS = Max(TS[i], NS[i]);
> TSa[i] = TS[i];
> NSa[i] = NS[i];
> }
> if(TS[i] > 0 AND j > MSD) {
> TS = Max(TS[i], NS2[i]);
> TSa[i] = TS[i];
> NS2a[i] = NS2[i];
> }
> // reduce risk after x days, second time
> if(TS[i] > 0 AND j >= MSD2) {
> TS = Max(TS[i], NS3[i]);
> TSa[i] = TS[i];
> NS3a[i] = NS3[i];
> }
> // raise stop to BE after x days
> if(OpenPos == 1) {
> BES[i] = Max(BES[i], BES[i-1]);
> BESa[i] = BES[i];
> }
> if(OpenPos == 1 AND j == MSBE) {
> TS = Max(TS[i], BES[i]);
> TSa[i] = TS[i];
> BESa[i] = BES[i];
> }
> // TSD getting smaller over last 3 days
> if(TS[i] > 0) {
> TSD[i] = L[i] - TS[i];
> TSDa[i] = TSD[i];
> if(TSD[i] < TSD[i-1] AND TSD[i-1] < TSD[i-2] AND TSD[i-2] < TSD[i-3]) {
> TS = Max(TS[i], TS[i] * TSDM);
> TSa[i] = TS[i];
> LowDown = 1;
> Checka[i] = LowDown;
> }
> }
> j++; ja[i] = j;
> }
>
> Plot(TSa, "Trail Stop", colorBlue, styleLine);
> //Plot(bpa, "buyprice", colorGreen, styleLine);
> //Plot(spa, "sellprice2", colorRed, styleLine);
> //Plot(ja, "j", colorBlack, styleNoLine);
> //Plot(NSa, "NS", colorBlack, styleLine);
> //Plot(NS2a, "NS2", colorOrange, styleLine);
> //Plot(NS3a, "NS3", colorBrown, styleLine);
> //Plot(besa, "BES", colorBrightGreen, styleLine);
> //Plot(TSDa, "TSD", colorRed, styleLine);
> //Plot(Checka, "checkTSD", colorGreen, styleLine);
>
>
> // GRAPH / INDICATOR PLOT
> arrows = ParamToggle("Show Buy / Sell arrows?", "Yes please", 0);
> if(arrows == 1) {
> PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,Low);
> PlotShapes(Sell*shapeDownArrow,colorRed,0,High);
> }
> bliss = ParamToggle("Show Buy / Sell Prices", "Oh yeah! ",0);
> if(bliss == 1) {
> PlotShapes( IIf(Buy, shapeSmallCircle, shapeNone),colorBrightGreen, 0, BuyPrice, 0 );
> PlotShapes( IIf( Sell, shapeSmallCircle, shapeNone),colorRed, 0 ,SellPrice, 0 );
> FirstVisibleBar = Status( "FirstVisibleBar" );
> Lastvisiblebar = Status("LastVisibleBar");
> for( b = Firstvisiblebar; b <= Lastvisiblebar AND b < BarCount; b++)
> {
> if( Buy[b] ) PlotText("\n Buy\n "+NumToStr(BuyPrice[b],1.2),b,BuyPrice[b],colorBrightGreen);
> else if( Sell[b] ) PlotText("\n Sell\n "+NumToStr(SellPrice[b],1.2),b,SellPrice[b],colorRed);
> }
> }
>
------------------------------------
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