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Ian,
Have been unable to create Guppy's CBL and conclude that it may be beyond
MS capabilities. I ended up with the following mess that generates an
indicator
derived from what Keith Dennis wrote:
> a) Set the initial stop/loss to the low of 3 days ago.
> b) If the trade goes 2 days in a row in a profitable direction,
> then move the stop/loss to the same value as the entry value
> .....breakeven in other words.
> c) If the trade has managed to move the stop to breakeven, then
> after 3 more positive profit days in a row, move the stop/loss
> to the low of 3 days ago from today. In other words move the
> stop up to trail and protect profits. If the trade get 3
> more positive profit days in a row again, then move the
> stop/loss to the low 3 days ago from today again. And so on
> trailing the stop/loss upwards in this fashion. But never set
> the stop below the entry, after moving it to breakeven.
TradeOpen:=If(FmlVar("Jeffs System","EnterLong"),1,If(FmlVar("Jeffs
System","ExitLong"),0,PREVIOUS));
Trigger:=TradeOpen=1 AND Ref(TradeOpen,-1)=0;
CBL:=If(H=HighestSince(1,Trigger,H) AND
Ref(H,-1)>Ref(H,-2),Max(ValueWhen(1,Trigger,L),Ref(L,-2)),PREVIOUS);
Unfortunately it seems to me to generally signal exits too late to be much
use.
It's usually blindingly obvious that it's time to get out by the time the
Close
is below this CBL.
Lately I've been trading Steve Karnish's Linear Regression system on some of
our new found penny-dreadfuls :) (EML, DJS) with spectacular success.
I optimise over a big range (-10, +10) and get figures (for EML) like
Buy: Cross(-5,ForecastOsc(O,9))
Sell: Cross(ForecastOsc(O,9),4)
Adding stops improves it's test results sometimes but generally not. Either
you
keep getting taken out of profitable trades, or nothing triggers but the
floor stop
anyway. I trade it with my standard money management stops and haven't
been stopped out once (yet).
I guess I'm coming around to the opinion that a good system will show you
the door
long before any of these specific exit techniques have triggered and a
substantial
portion of the profit has already been lost, and when it fails at entry just
get out quick
or as Al puts it "Take the early loss and let it be small". (I printed that
out and pasted
it above my screen - it's a classic)
Jeff.
> Jeff,
> I haven't tried to program the CBL into Metastock...how do you program
> the horizontal lines? I know the CBL is programmed into Eazy Charts so
> one would think it wouldn't be that hard to do.
> It would be very handy to have in Metastock...
> Any ideas about the lines?
>
> regards
> Ian Burgoyne
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