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Hi Fulvio,
This is from the Guppy website, it may help you, I
hope.
Carlos
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Trading the Trend 2
Trading the Trend (TTT) -- by Andrew Abraham, TASC
Magazine 9/1998, was about one form of stoploss exit:
subtract some manipulation of the true range from the
highest high (or add it to the lowest low) and exit
when the close crosses that. (Members of Chuck
LeBeau's Traders Club will recognise the "Chandelier
Exit".)
THE CHANDELIER EXIT: The exit stop is placed at a
multiple of average true ranges from the highest high
or highest close since the entry of the trade. As the
highs get higher the stop moves up but it never moves
downward.
In MS 6.5 as a variable or custom indicator :
DaysinTrade:= Barssince(previous composite entry
criteria = 1)
THE YO YO EXIT: This exit is very similar to the
Chandelier Exit except that the ATR stop is always
pegged to the most recent close instead of the highest
high. Since the closes move higher and lower, the stop
also moves up and down (hence the Yo Yo name).
Name: Trading the Trend
Pds:=21;
Mult:=3;
TruRan:=Mov(ATR(1),Pds,W)*Mult;
HiLimit:=HHV(H,Pds)-TruRan;
LoLimit:=LLV(L,Pds)+TruRan;
If(C>HiLimit,HiLimit,LoLimit)
1. After closing the Indicator Builder click on the
Expert Advisor (the guy in the bowler/derby hat).
2. Click on New, then the Name tab, type in Trading
the Trend.
3. Click on the Highlights tab, select the first line
so that it is highlighted, click Edit, type in the
name Uptrend, select Colour Blue, select Condition,
type in C>FmlVar("Trading the Trend","HiLimit"), and
click OK,
4. Still on the Highlights tab, select the second
line, click Edit, type in the name Downtrend, select
Color Red, select Condition, type in
C<=FmlVar("Trading the Trend","HiLimit"), click OK,
and then click OK again.
5. If you have a chart open that you want to use this
on, click Attach, otherwise click Close. In the latter
case, when you open a chart and plot the trendline,
click on the Expert Advisor, select Trading the Trend,
and click on Attach.
I've given the Expert steps in detail for any who may
not be familiar with its use. To experiment with
variations in the lookback periods and the multiplier
you can do so in either the Indicator Builder, or
right-click the indicator on the chart, select
Properties, then the Formula tab, and make the changes
(e.g. try a lookback period of 10, and a multiplier of
2.5). As implemented above, the Expert should change
accordingly. This shows the trade-offs that have to be
made
between near and distant stops. This is too
rudimentary to be traded as a system - the whipsaws
would chop you to pieces - but the exits should help
to limit drawdowns.
A very similar stoploss is given in Chande & Kroll
"The New Technical Trader", pp.167 - 169,
"Volatility-Based Trailing Stops". My preference is to
plot both the high and the low exit lines in
contrasting colours, dispensing with the switch
between them, and dispensing with the Expert. If
anyone wants help with the code, just say so.
Assuming you entered everything exactly in both the
Indicator Builder and the Expert Advisor, one question
comes to mind. Did you decide to adapt the formula to
MS v.6.5 and use an Input function for Pds and Mult?
It seems like a logical thing to do, and in fact I
coded it that way at first. The problem is that the
Expert Advisor always reverts to the default value
(the System Tester does the same thing).
Thus if you used something like:
Pds:=Input("Lookback Periods?",1,1000,20)
and then when you applied it you changed the periods
to 15, the Expert Advisor will still read 20. I
hard-coded the Pds and Mult parameters for that
reason.
>From Harvey Pearce hhp@xxxxxxxx
--- Fulvio <fulami@xxxxxxxxxxxx> wrote:
> I search the formula of "yo yo exit".
> Can you help me?
> Thanks,
> Fulvio
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