[amibroker] Multiple Scale In and Out.

["readshark" <readshark@xxxxxxxxx>]

My original script was a MA crossover entry and exit with Pyramiding for each incremental increase of 5% from the entry.

The initial script was working as intended with the sigScaleIn.  I removed the crossover exit and added a sigScaleOut exit which was only barely altered from the last example provided here -> http://www.amibroker.com/guide/h_pyramid.html

However, when I run a backtest I get zero trades.  I suspect something might be wrong at the SetPositionSIze() near the bottom.  Maybe mixing Buy signals, sigScaleOut and sigScaleOut for position sizing does not work?  Here is that snipet from the bottom:

SetPositionSize( IIf( Buy == sigScaleIn, 1, IIf(Buy = sigScaleOut, 50, 5 )), IIf( Buy == sigScaleOut, spsPercentOfPosition, spsPercentOfEquity));

Any ideas?




Here is my code.

FastMALength = 100;						//Set Fast Moving Average
SlowMALength = 300;						//Set Slow Moving Average

FastMA = DEMA(Close, FastMALength);				//Fast Moving Average
SlowMA = DEMA(Close, SlowMALength);				//Slow Moving Average


bi = BarIndex();

Cond1 = MA(Volume, 100) > 100000;
Cond2 = OI > 5;
Cond3 = Cross(FastMA, SlowMA);
Cond4 = bi != LastValue(bi);

SetBarsRequired(SlowMALength, 0);
SetOption("MaxOpenPositions", 20);
PositionScore = MA(Volume, 100);

Buy = 	Cond3;							//Buy Rule #1 - Fast MA Crosses Above Slow MA
Sell =  0;

BuyInc = 5;							//Incremental Buy Amount (%)
NextBuyARRAY = Null;						//Next Incremental Buy Value
priceatbuy = 0;						//Initial Buy Value
CounterARRAY = Null;						//Counts Number of Buys
NextSellARRAY = Null;
NextSell2ARRAY = Null;
exit = 0;

for (  i =  0;  i < BarCount; i++ )
{

	if(priceatbuy == 0 AND Buy[ i ] )
	{
		priceatbuy = BuyPrice[ i ];  //Set inital entry Price
	}
	
		if(priceatbuy > 0 )
		{
		
		//Set next BuyPrice
		
		counterARRAY[ i ] = Max( CounterARRAY[ i - 1], 1 + int( ( (Close[ i - 1 ] - priceatbuy) / priceatbuy) / (BuyInc/100) ) );
		NextBuyARRAY[ i ] = Max( NextBuyARRAY[ i ], priceatbuy * (1 + ((BuyInc / 100) * counterARRAY[ i ])));
		NextSellARRAY[ i ] = ( (NextBuyARRAY[ i ] - ( ( (BuyInc / 100) * priceatbuy ) * 5 ) ) ) /** ( (Min(10, CounterARRAY [ i ]) ) / 10) ) */;
		NextSell2ARRAY[ i ] = ( (NextBuyARRAY[ i ] - ( ( (BuyInc / 100) * priceatbuy ) * 10 ) ) );
			if(Close[ i ]  > NextBuyARRAY[ i ])
			{
			Buy[ i ] = sigScaleIn;
			BuyPrice[ i ] = Close[ i ];
			}
	

		if( exit == 0 AND
          Close[ i ] < NextSellARRAY[ i ] )
       {
         // first profit target hit - scale-out
         exit = 1;
         Buy[ i ] = sigScaleOut;
       }

      if( exit == 1 AND
          Close[ i ] < NextSell2ARRAY[ i ] )
       {
         // second profit target hit - exit
         exit = 2;
         SellPrice[ i ] = Close[ i ];
       }

      if( SlowMA[ i ] < FastMA[ i ] )
       {
         // trailing stop hit - exit
         exit = 3;   
         SellPrice[ i ] = Close[ i ];
       }

      if( exit >= 2 )
       {
         Buy[ i ] = 0;
         Sell[ i ] = exit + 1; // mark appropriate exit code
         exit = 0;
         priceatbuy = 0; // reset price
       } 
		
		}
	

}

Plot(Close, "Price", colorBlack, styleCandle);
Plot(NextBuyARRAY, "NextBuy", colorRed);
PlotOHLC(NextBuyARRAY, NextBuyARRAY, NextSellARRAY, NextSellARRAY, "", colorYellow, styleCloud);
PlotOHLC(NextSellARRAY, NextSellARRAY, NextSellARRAY, NextSellARRAY, "", colorYellow, styleCloud);
SetPositionSize( IIf( Buy == sigScaleIn, 1, IIf(Buy = sigScaleOut, 50, 5 )), IIf( Buy == sigScaleOut, spsPercentOfPosition, spsPercentOfEquity));

_SECTION_BEGIN("DEMA1");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 300, 1, 10 );
Plot( DEMA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ), ParamStyle("Style") ); 
_SECTION_END();

_SECTION_BEGIN("DEMA2");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 300, 1, 10 );
Plot( DEMA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ), ParamStyle("Style") ); 
_SECTION_END();




------------------------------------

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

TO GET TECHNICAL SUPPORT send an e-mail directly to 
SUPPORT {at} amibroker.com

TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    amibroker-digest@xxxxxxxxxxxxxxx 
    amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/