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RE: Faster Chandelier Exit



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Ton,

Thanks for the heads up. I will continue to work on this because, as I 
understand it, exits are extremely important. In the future, I will test 
more thoroghly.

David


From: "Jeff Ledermann" <j.ledermann@xxxxxxxxx>
Reply-To: metastock@xxxxxxxxxxxxx
To: <metastock@xxxxxxxxxxxxx>
Subject: RE: Faster Chandelier Exit
Date: Fri, 18 Feb 2000 23:07:41 +1000

Ton,

Tut, tut....  you of all people should have picked up what's
wrong here.

PREV probably *should* work like this but it doesn't

PREV gives you the previous value of the current expression
NOT THE PREVIOUS VALUE OF THE INDICATOR.

A simple test will prove that to anyone who doubts this.

Try:
vPrev:=PREV;
If(Cum(1) < 50,Cum(1),vPrev);

Versus:
If(Cum(1) < 50,Cum(1),PREV);

Cheers
Jeff.

 >
 > If the List had a Mail of the Year competition, I'd vote for your mail.
 > Formula wise you are definitely getting the hang of it.
 >

snip

 > >
 > > Anyway, here is how the code (at least this iteration) should be 
modified to
 > > speed up the calculation by a factor of 5. Basically, we move PREV into 
a
 > > variable vPREV prior to using it (so that it is only calculate once) in 
the
 > > long and short exits. Here is the code for the long exit. I tested it 
with
 > > the sample Entry Rule and receive the same results in 1/5th the time. 
Just
 > > modify the SHORT exit in the same way. Hope this helps everyone using 
it.
 > >
 > > {DEFINE ENTRY PRICE, WITH EXIT BEING -- ENTRY PRICE AND NO TRADE BEING 
0}
 > > {Move PREV into a variable to speed things up - DB 2/17/00}
 > > vPREV:=PREV;
 > > EntryPrice:= If(vPREV <= 0,
 > > {Trade entered today?}
 > > If(LongEntry, CLOSE, 0),
 > > {Trade entered before today. Stopped today?}
 > > If(LOW <= vPREV - MoneyMgmtStop, -vPREV,
 > > If(LOW <= HighestSince(1,vPREV=0, HIGH) - 3 * ATR(10), -vPREV,
 > > If(LOW <= HighestSince(1,vPREV=0, CLOSE) - 2.5 * ATR(10), -vPREV,
 > > vPREV))));
 > >
 > >
 > > David


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