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Geez
You guys take all the fun out of getting the book. Now there is nothing left
to program.
:-(
JerryWar
> -----Original Message-----
> From: Barry Silberman [mailto:barry@xxxxxxxxxxxxxxxxxxxxx]
> Sent: Monday, May 13, 2002 12:24 AM
> To: omega-list@xxxxxxxxxx
> Cc: John Lynch
> Subject: "Final" Alexander Elder's "SafeZone Stop" for TS2000i & TS6
>
>
> To List;
>
> This is a "final" version of Alexander Elder's "SafeZone
> Stop" for TS2000i
> and TS6. Once it is "tweaked" for your individual security,
> you can add it
> to almost any trading system, according to Dr. Elder.
> Since the lookback
> period should not go back beyond the last important turning
> point, John
> Lynch added code for variable lookback period based on prior swing
> extremes.
>
> Dr. Elder's "SafeZone Stop" comes from his very worthwhile
> new book "Come
> Into My Trading Room", page 173.
>
> Shown below is the indicator code which can be cut and pasted:
>
> ===================================================================
>
> { Barry Silberman's version of Alexander Elder's "SafeZone
> Stop" from book
> "Come Into My Trading Room", page 173.
> For Tradestation 2000
> Amendments: (1) John Lynch: code for variable lookback
> period based on
> prior swing extremes;
> (2) John Lynch: code to indicate stop for
> next period ---
> plotted on last bar on chart.
> (3) Gary Fritz: use of TS variable instead of arrays
> (4) Eric Svendsen: Coloured Stop and trend variable
>
> Notes:
> A) Set the chart up with one space to the right. Set plot2's
> chart style
> type to point and its color to
> your background color if your background is not black
> (5th line of each
> Set Plot section).
> B) This is an adaptation of Dr. Elder's stop based on the
> following points
> that he emphasizes in his book:
> (1) you may use the slope of a 22 day EMA to define the trend
> (2) SafeZone is not a mechanical gadget to replace
> independent thought.
> (3) Calculate the stops separately for uptrends and downtrends.
> (4) The lookback period should not go back beyond the last important
> turning point. If the market has
> reversed from down to up two weeks ago, then the SafeZone for the
> current long trades should not
> look back more than 10 trading days.
> (5) An important decision is choosing the coefficient for
> the SafeZone
> stop. He says a coefficient
> between 2 and 3 provides a margin of safety, but you
> must research it
> on your own market data.
> (6) You can add it to almost any trading system, including
> Triple Screen.
> (7) The excel code that Dr. Elder used in his book kept the stop from
> declining for 3 days, by which
> time either the uptrend resumes or the stop is hit.
> This code uses a
> period of 5. }
>
>
> INPUTS:
> Price((H+L)/2), MALength(22), Lookback(15), Trend(3),
> AutomaticLookBack(True), Multiplelong(2), Multipleshort(2),
> ColourShort(red), ColourLong(blue);
>
> VARIABLES:
> MA(0), Ldiff(0), Lday(0), Sdiff(0), Sday(0), Longsum(0),
> Shortsum(0) ,
> Countlong(0), Countshort(0), Avglow(0),
> Avghigh(0), Longstop(0), Shortstop(0), Lstop(0), Sstop(0), ii(0),
> LookBackTemp(0);
>
> {Determine trend by slope of EMA}
> MA = xaverage( Price, MALength );
> Condition1 = MA > MA[Trend];
> Condition2 = MA < MA[Trend];
>
> {Determine Lookback Period (to prior swing extreme)}
> IF LookBackTemp<LookBack THEN LookBackTemp=LookBackTemp+1;
> IF Condition1<>Condition1[1] THEN BEGIN
> LookBackTemp=LookBack;
> Value1=MinList(MALength*0.66,LookBack);
> IF Condition1 and AutomaticLookBack THEN IF
> LowestBar(L,Value1)<LookBack
> THEN LookBackTemp=LowestBar(L,Value1);
> IF Condition2 and AutomaticLookBack THEN IF
> HighestBar(H,Value1)<LookBack
> THEN LookBackTemp=HighestBar(H,Value1);
> END;
>
> {determine and count number of days with:
> for longs - lows being lower than prior lows
> for shorts - highs being higher than prior highs}
>
> Ldiff = IFF(L[1] > L, L[1] - L, 0); { Difference of lows }
> Lday = IFF(L[1] > L, 1, 0); { 1 if this is a "low's" day }
> Sdiff = IFF(H[1] < H, H - H[1], 0); { Difference of highs }
> Sday = IFF(H[1] < H, 1, 0); { 1 if this is a "high's" day }
>
> {SAFEZONE FOR LONGS}
> {Get average of lows lower than prior low}
> Longsum = summation(Ldiff, Lookbacktemp);
> Countlong = summation(Lday, Lookbacktemp);
> IF Countlong <> 0 THEN Avglow = Longsum / Countlong;
>
> {Calculate stop at "X" times avglow}
> Lstop = LOW - (Multiplelong * Avglow);
>
> {Prevent stop from being lowered}
> Longstop = MAXLIST(Lstop, Lstop[1], Lstop[2], Lstop[3],
> Lstop[4], Lstop[5]);
>
> {Set Plot}
> IF Condition1 THEN BEGIN
> PLOT1(Longstop[1], "STOP", ColourLong);
> IF lastbaronchart THEN BEGIN
> Plot1[-1](Longstop, "STOP", ColourLong); {Shows
> tomorrows stop
> on lastbar+1}
> Plot2(Longstop, "StopNext");
> {Indicates tomorrows
> stop: set indicator to point/black}
> END;
> END;
>
> {SAFEZONE FOR SHORTS}
> {Get average of highs higher than prior high}
> Shortsum = summation(Sdiff, Lookbacktemp);
> Countshort = summation(Sday, Lookbacktemp);
> IF Countshort <> 0 THEN Avghigh = Shortsum / Countshort;
>
> {Calculate stop at "X" times avghigh}
> Sstop = HIGH + (Multipleshort * Avghigh);
>
> {Prevent stop from rising}
> Shortstop = MINLIST(Sstop, Sstop[1], Sstop[2], Sstop[3], Sstop[4],
> Sstop[5]);
>
> {Set Plot}
> IF Condition2 THEN BEGIN
> PLOT1(Shortstop[1], "STOP", ColourShort);
> IF lastbaronchart THEN BEGIN
> Plot1[-1](Shortstop, "STOP", ColourShort); {Shows
> tomorrows stop on
> lastbar+1}
> Plot2(Shortstop, "StopNext", Black); {Indicates
> tomorrows stop:
> set indicator to point/black}
> END;
> END;
>
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