Re: Coding MaxLoss and ProfitTarget Stops

["Roy Larsen" <rlarsen@xxxxxxxxxxxxx>]

Herman

> Has anybody succeeded handcoding the Maximum Loss and Profit Target Stops
> such that System Tester Stop results are identical to using the custom
> coded stops?
>
> I am having great difficulty getting similar results and would appreciate
> any suggestions or pieces of code that can help me.

Here is a sampling of work-in-progress on profit stops for MS. I have yet to check any of these
against MS but will do so over the next few days. For the life of me I can't see how MS stops can
execute at tradeable steps - see comments on code further down.

Thanks to Glen Wallace for his comments, and the code above his name from the Guppy site. I never
intended to use the PREV function but it appears to be the only way to go without programming skills
and a development kit.

The Target Exit indicator is by far the slowest in use (for multi-stock system testing) as the Entry
variable combines the all 3 elements of profit, loss and time. When testing it I called the
appropriate stop using FmlVar()'s rather than the usual Fml() that is used with single purpose
indicators.

With Profit Stop I have added some code to convert the stop value to the next higher ASX tradeable
step. Similar code could be added to a stop loss or exit stop by those who need it (i.e. have their
own stop capable system tester).

I'm going to have a lot more fun with this stuff yet. There are a number of possibilities yet to
explore. I hope there is something here that will help or give you inspiration.

Roy

{Profit Exit - entered on Close}
Profit:=Input("Profit target %",1,50, 5)/100;
Entry:=Fml("Williams Buy Stop");
EntryAmt:=If(PREV<=0,If(Entry>0,CLOSE,0),
  If(H>PREV*(1+Profit),-PREV,PREV));
Target:=Abs(EntryAmt)*(1+Profit);
EntryAmt<0 AND H>Target;  {binary exit signal}

{Profit Exit - entered on Open}
Profit:=Input("Profit target %",1,50, 5)/100;
Entry:=Fml("Williams Buy Stop");
EntryAmt:=If(PREV<=0,If(Entry>0,OPEN,0),
  If(H>PREV*(1+Profit),-PREV,PREV));
Target:=Abs(EntryAmt)*(1+Profit);
EntryAmt<0 AND H>Target; {binary exit signal}

{Profit Exit - entered on Stop}
Profit:=Input("Profit target %",1,50, 5)/100;
Entry:=Fml("Williams Buy Stop");
EntryAmt:=If(PREV<=0,If(Entry>0,Entry,0),
  If(H>PREV*(1+Profit),-PREV,PREV));
Target:=Abs(EntryAmt)*(1+Profit);
EntryAmt<0 AND H>Target; {binary exit signal}

{Profit Stop - entered on Stop}
Profit:=Input("Profit target %",1,50, 5)/100;
Entry:=Fml("Williams Buy Stop");
EntryAmt:=If(PREV<=0,If(Entry>0,Entry,0),
  If(H>PREV*(1+Profit),-PREV,PREV));
Target:=Abs(EntryAmt)*(1+Profit);
X:=If(EntryAmt<0 AND H>Target,Target,0);
Stop:=If(X=0,0,If(X>0.1 AND X<=0.5,
If(Int(X*200)=X*200,X+.005, Int((X+.005)*200)/200), If(X<=0.1,
If(Int(X*1000)=X*1000,X+.001, Int((X+.001)*1000)/1000),
If(Int(X*100)=X*100,X+.01, Int((X+.01)*100)/100))));
Stop; {Value exit signal}

{Target Exit}
Profit:=Input("Percent profit",1,50, 5)/100;
Loss:=Input("Percent loss"    ,1,50,50)/100;
Time:=Input("Maximum trade duration",1,50,2);
Entry:=Fml("Williams Buy Stop");
Init:=Cum(Entry<>-1)=0;
EntryPrice:=If(PREV<=0,If(Entry>0,Entry,0),
  If(H>PREV*(1+Profit)
  OR L<=PREV*(1-Loss)
  OR BarsSince(PREV=0)>=Time,-PREV,PREV));
Trade:=Init=0 AND EntryPrice<>0;
ProfitTarget:=Abs(EntryPrice)*(1+Profit);
LossTarget:=Abs(EntryPrice)*(1-Loss);
ProfitExit:=If(EntryPrice<0 AND H> ProfitTarget,ProfitTarget,0);
LossExit:=If(EntryPrice<0 AND L<= LossTarget,LossTarget,0);
ProfitExit:=If(EntryPrice<0 AND ProfitExit=0 AND LossExit=0,O,ProfitExit);
LossTarget; ProfitTarget;