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well... i was gonna take a crack at it, but it won't verify w/ 2000i
apparently.
isn't this signal actually a combination of 3 exits?
if so, why wouldn't you simply run the 3 exits independently?
----- Original Message -----
From: "Thomas J. Festa" <festat@xxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, November 03, 2007 12:05 PM
Subject: Parabolic stop help
> Hello all:
>
> Seems when you plot this indicator on top of a strategy the plot for the
> Parabolic Stop doesn't follow the properly and gets stuck. Chandelier
> and YoYo seem to work though. Not sure if the Profit Switch is being
> activated also.
>
> Any help would be appreciated.
>
> {*******************************************************************
> LeBeau Stops - Indicator created by Thomas J. Festa, CMT Copyright c
> 2007
> *******************************************************************
>
> ***** Set-up *****}
>
> INPUTS: AvgRange_Length(21),
> Chandelier_AvgRange(4),
> YoYo_AvgRange(3),
>
> Show_All_Stops(True),
> Commentary_On(False);
>
> VARIABLES:
> Acceleration_Factor(0.02),
> Parabolic_AF(0),
> Parabolic_AF_Limit(0),
> Average_Range(0),
> Market_Position(0),
>
> Trade_High(0),
> Trade_Low(0),
> YoYo_Amount(0),
> YoYo_Price(0), { pin price to last bar close }
> Chandelier_Stop(0),
> YoYo_Stop(0),
>
> Parabolic_Stop(0),
> Profit_AvgRange(0), { ??? unsure how
> to define this variable ???}
> PT_Average_Range(0),
> PT_Range_Length(21),
> Profit_Amount(0),
>
> Profit_Switch_Fac(1), { ??? }
>
> EntryBar_Stop(0),
> Profit_Switch(False), { ??? }
> Avg_Entry_Price(0),
> New_Entry(False);
>
> {***** Compute Stops *****}
> Market_Position = I_MarketPosition ; { ??? in order to access
> historical bar market positions ???}
> If BarStatus(1) = 2 then begin { ??? calc only once per
> bar ???}
> Average_Range = AvgTrueRange(AvgRange_Length);
> Avg_Entry_Price = I_AvgEntryPrice;
> New_Entry = Avg_Entry_Price[1] <> Avg_Entry_Price;
> PT_Average_Range = AvgTrueRange( PT_Range_Length );
> Profit_Amount = Round(Profit_AvgRange * PT_Average_Range, 2);
> { ??? Profit_AvgRange ??? }
> YoYo_Amount = YoYo_AvgRange * Average_Range;
> end; { calc once }
>
> If Market_Position[1] <> 0 then YoYo_Price = Close[1]
> else
> YoYo_Price = Open;
>
> If Market_Position <> 0 then begin { eval market position on current bar
> }
> {*** Long Position ***}
> If Market_Position = 1 then begin
> If Market_Position[1] <> 1 or { eval market position on
> prior bar and reset variables }
> New_Entry then begin
> Profit_Switch = False; { reset profit switch
> }
> Trade_High = High; { reset trade high }
> end
> else { reset }
> If High > Trade_High then { find new
> high }
> Trade_High = High;
>
> {* Chandelier Stop *}
> If Profit_Switch or { if switch = true }
> Trade_High >= I_AvgEntryPrice + (Profit_Amount *
> Profit_Switch_Fac) then begin
> Profit_Switch = True;
> Chandelier_Stop = Round(Trade_High -(Chandelier_AvgRange
> * Average_Range * Profit_Switch_Fac), 2); { tighten stop }
> end
> else { tighten Chandelier stop when profit point exceeded }
> Chandelier_Stop = Round(Trade_High -(Chandelier_AvgRange
> * Average_Range ), 2); { normal stop }
>
> If Market_Position[1] = 1 and New_Entry = False and Chandelier_Stop <
> Chandelier_Stop[1] then
> Chandelier_Stop = Chandelier_Stop[1]; { prevent retracement }
>
> {* YoYo Stop *}
> YoYo_Stop = Round( YoYo_Price - YoYo_Amount, 2);
>
> {***********************************************************************
> **************************************************************}
> {* Parabolic Stop *}
> If Market_Position[1] <> 1 or New_Entry then begin
> Parabolic_Stop = Round(I_AvgEntryPrice - (Chandelier_AvgRange *
> Average_Range), 2 ); {initial setting else Chandelier_Stop }
>
> Acceleration_Factor = Parabolic_AF; { tie to entry price }
> end
> else begin { eval market postion on prior bar }
> If BarStatus(1) = 2 then begin
> If Trade_High > Trade_High[1] and
> Acceleration_Factor < Parabolic_AF_Limit then
> Acceleration_Factor =
> Acceleration_Factor + MinList(Parabolic_AF, Parabolic_AF_Limit -
> Acceleration_Factor);
> Parabolic_Stop = Parabolic_Stop +
> Acceleration_Factor * (Trade_High - Parabolic_Stop);
> If Parabolic_Stop > Low then {
> force stop <= low of last bar }
> Parabolic_Stop = Low;
> end; { update only at end of bar }
> end; { long parabolic stop }
> end { long market postion }
> {***********************************************************************
> **************************************************************}
>
> {*** Short Position ***}
> else begin { short market position }
> If Market_Position[1] <> -1 or { eval market position on
> prior bar }
> New_Entry then begin
> Profit_Switch = False; { reset profit switch }
> Trade_Low = Low; { reset trade low }
> end
> else
> If Low < Trade_Low then { find new low }
> Trade_Low = Low;
>
> {* Chandelier Stop * }
> If Profit_Switch or { if switch = true }
> Trade_Low <= I_AvgEntryPrice -(Profit_Amount * Profit_Switch_Fac
> ) then begin
> Profit_Switch = True;
> Chandelier_Stop = Round( Trade_Low +(Chandelier_AvgRange
> * Average_Range * Profit_Switch_Fac ), 2 ) ; { tighten stop }
> end { tighten Chandelier stop when profit point exceeded }
> else
> Chandelier_Stop = Round(Trade_Low +(Chandelier_AvgRange
> * Average_Range), 2 ); { normal stop }
>
> If Market_Position[1] = -1 and New_Entry = False and Chandelier_Stop >
> Chandelier_Stop[1] then
> Chandelier_Stop = Chandelier_Stop[1] ; {
> prevent retracement }
>
> {* YoYo Stop * }
> YoYo_Stop = Round( YoYo_Price + YoYo_Amount, 2 );
>
> {***********************************************************************
> **************************************************************}
> {* Parabolic Stop * }
> If Market_Position[1] <> -1 or
> New_Entry then begin
> Parabolic_Stop = Round(I_AvgEntryPrice +
> (Chandelier_AvgRange * Average_Range), 2 );
> { initial setting else Chandelier_Stop; }
> Acceleration_Factor = Parabolic_AF; {tie to entry price
> }
> end
> else begin { eval market postion on prior bar }
> If BarStatus(1) = 2 then begin
> Parabolic_Stop = Parabolic_Stop + Acceleration_Factor *
> (Trade_Low - Parabolic_Stop);
> If Trade_Low < Trade_Low[1] and
> Acceleration_Factor < Parabolic_AF_Limit then
> Acceleration_Factor =
> Acceleration_Factor + MinList( Parabolic_AF, Parabolic_AF_Limit -
> Acceleration_Factor);
> If Parabolic_Stop < High then
> Parabolic_Stop = High;
> end;{ run once per bar }
> end; { short parabolic stop }
> {***********************************************************************
> **************************************************************}
>
> end; { short market position }
> end; { in position }
>
> {***** Plots *****}
> If Market_Position[1] <> 0 or Market_Position <> 0 then begin
> If Show_All_Stops then begin
> Plot2(Chandelier_Stop, "Chandelier", White);
> Plot3(YoYo_Stop, "YoYo", Cyan );
> Plot4(Parabolic_Stop, "Parabolic", Red);
> end { show all stops }
> else begin { plot only closest stop }
> If Market_Position = 1 or Market_Position[1] = 1 then
> begin
> If Chandelier_Stop > YoYo_Stop and
> Chandelier_Stop > Parabolic_Stop then
> Plot2(Chandelier_Stop,"Chandelier",
> White )
> else
> If YoYo_Stop > Parabolic_Stop then
> Plot3(YoYo_Stop, "YoYo", Cyan)
> else
> Plot4(Parabolic_Stop,
> "Parabolic", Red);
> end ;
>
> { closest long stop }
> If Market_Position = -1 or Market_Position[1] = -1 then begin
> If Chandelier_Stop < YoYo_Stop and Chandelier_Stop <
> Parabolic_Stop then
> Plot2(Chandelier_Stop, "Chandelier", White)
> else
> If YoYo_Stop < Parabolic_Stop then Plot3(YoYo_Stop,
> "YoYo", Cyan)
> else
> Plot4(Parabolic_Stop, "Parabolic", Red);
> end; { closest short stop }
> end; { only closest stop }
> end; { plots }
>
> {***** Commentary *****}
> If Commentary_On and AtCommentaryBar then
> Commentary((Date -(Year( Date ) * 10000 ) ):0:0, Time:5:0, " --
> BarNumber = ", CurrentBar:5:0,
> NewLine,"High = ", High,
> NewLine,"Low = ", Low,
> NewLine,"Open = ", Open,
> NewLine,"Close = ", Close,
> NewLine,"AvgRange Length = ", AvgRange_Length:0:0,
> NewLine,"AvgRange =", Average_Range:0:2,
> NewLine,"Chandelier AvgRange Multiplier = ",
> Chandelier_AvgRange:0:2,
> NewLine,"YoYo AvgRange Multiplier = ", YoYo_AvgRange:0:2,
> NewLine,"Parabolic Acceleration Factor = ", Parabolic_AF:0:3,
> NewLine,"Parabolic AF Limit = ", Parabolic_AF_Limit:0:2,
> NewLine,"Acceleration Factor = ", Acceleration_Factor:0:3,
> NewLine,"Profit Point AvgRange Multiplier = ",
> Profit_AvgRange:0:2,
> NewLine,"Profit Switch = ", Profit_Switch,
> Newline,"Market Position = ", Market_Position:0:0,
> NewLine,"Trade High = ", Trade_High:0:2,
> NewLine,"Trade Low = ", Trade_Low:0:2,
> NewLine,"Profit Amount = ", Profit_Amount:0:2,
> NewLine,"Chandelier Stop = ", Chandelier_Stop:0:2,
> NewLine,"YoYo Stop = ", YoYo_Stop:0:2,
> NewLine,"Parabolic Stop = ", Parabolic_Stop:0:2,
> NewLine);
>
>
> ========================================================================
> =======================================
> Regards,
>
> Thomas J. Festa, CMT
> Senior Equity / ETF Trader (Series 7, 24, 55 & 63 Registered)
> Technical Market Analyst
> Technical Analysis Trading Systems Developer
> Hold Brothers, LLC
> 230 Headquarters Plaza
> East Tower, 2nd Floor
> Morristown, NJ 07960
> Cell: (908) 581-8880
>
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