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Roy,
Thanks very much for this. I've looked at your suggestion and it seems to
be a very similar trick to the one I'm using already (perhaps slightly
better). Your Enter initialises at the same time as my Position variable.
I'm not sure how this is going to help with my equity line and trade count
variables which initilise very late.
The variables :
Position,
LongEntry
LongExit
ShortEntry and
ShortExit all get initialised early with the false triggers...
I need the Equity and Win/Loss counts to initialise early too.
Is it the way I've coded those specific variables?
Thanks,
Sean
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Roy Larsen
Sent: Thursday, June 28, 2001 6:02 PM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Indicator System problem
Sean
One of the annoying problems with the ValueWhen() function is that it is
invalid until the When
condition is true. A method I have adopted at times to get around this is to
include an
initialisation signal. For example in my "Trade Flag" (shown below) code I
use a variable I call
"Init" to signal the first bar when both the Buy and Sell variables are
valid. Init can then
sometimes be legitimately used to fake a signal that is valid but not true
until some bars later.
In the example below I want to use Enter (the first bar in a trade) in a
ValueWhen() function, but
to ensure that ValueWhen() is valid from the earliest possible bar I include
"OR Init" in the code
for Enter.
Buy:=Fml("Your Long Entry");
Sell:=Fml("Your Long Close");
Init:=Cum(Buy<>2 AND Sell<>2)=1;
Trade:=If(BarsSince(Init OR Buy) >= BarsSince(Init OR Sell),0,1);
Enter:=(Trade AND Alert(Trade=0,2)) OR Init;
While this won't solve all your problems it may give you one workaround for
use with ValueWhen().
Roy
> Below I've tried to code the framework for a system as an indicator. It's
> being debugged at present and doesn't include proper exit signals or use
of
> the P variable to introduce Interest rate change. All things for the
> future. Enough excuses...
>
> I've run into the problem of variables being initialised late and despite
> the use of early false entry/exit signals, the Equity variable (for
example)
> doesn't get initialised until both a real Long and Short signal get
> generated.
>
> Grateful for any help.
>
> Thanks,
> Sean
>
>
> {Larry Williams - Long-Term secrets to Short-Term trading p.102}
> {Smash Day BUY has up close but in lower 25% of days range,
> Close less than Open. Enter tomorrow at today's High.
> Sell Short is opposite.
> Should combine with strong trend and interest rates}
> {System uses following day entry}
> Periods:=5; {Used to delay false early triggers if necessary}
> LongEntryPoint:=Ref(H,-1); {calc. on day of entry, limit order entry}
> ShortEntryPoint:=Ref(L,-1); {calc. on day of entry, limit order entry}
> LongExitPoint:=O;
> ShortExitPoint:=O;
> LongEntry:=If(Cum(1)=Periods+1,1,
> Ref(C,-1) < C AND
> C < L+((H-L)/4) AND
> C < O AND
> H < Ref(H,+1)); {last part only for system test - following day entry
> condition}
> LongExit:=If(Cum(1)=Periods+4,1,
> barsSince(LongEntry)=3);{auto exit 3 days later}
> ShortEntry:=If(cum(1)=Periods+6,1,
> Ref(C,-1) > C AND
> C > H-((H-L)/4) AND
> C > O AND
> L > Ref(L,+1)); {last part only for system test - following day entry
> condition}
> ShortExit:=If(Cum(1)=Periods+9,1,
> barsSince(ShortEntry)=3);{auto exit 3 days later}
> Position:=If(Ref(BarsSince(LongEntry)<=BarsSince(LongExit),-1),1,
> If(Ref(BarsSince(ShortEntry)<=BarsSince(ShortExit),-1),-1,0));
> TotalLong:=Cum(Cross(Position,0.5));
> TotalShort:=Cum(Cross(-0.5,Position));
> Equity:=Cum(
> if(Cross(0.5,Position),
>
>
ValueWhen(1,Cross(0.5,Position),LongExitPoint)-ValueWhen(1,Cross(Position,0.
> 5),LongEntryPoint),
> If(Cross(Position,-0.5),
>
>
ValueWhen(1,Cross(-0.5,Position),ShortEntryPoint)-ValueWhen(1,Cross(Position
> ,-0.5),ShortExitPoint),
> 0)
> ));
>
>
TotalLongWin:=Cum(if(Cross(0.5,Position),ValueWhen(1,Cross(Position,0.5),Lon
> gEntryPoint)<ValueWhen(1,Cross(0.5,Position),LongExitPoint),0));
> TotalLongLoss:=TotalLong-TotalLongWin;
>
TotalShortWin:=Cum(If(Cross(Position,-0.5),ValueWhen(1,Cross(-0.5,Position),
> ShortEntryPoint)>ValueWhen(1,Cross(Position,-0.5),ShortExitPoint),0));
> TotalShortLoss:=TotalShort-TotalShortWin;
>
> Equity;
>
>
>
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