Re: [amibroker] Re: Formula Help Needed [1 Attachment]
Jeff,
over the last year I was able to remove a lot of this exit looping from my AFL
codes, which makes it faster. With this specific problem I do not see how it
can be done using array calculations only. However, when using exit loops it
makes it very easy to add everyting you like. Added code where I add a trailing
stop. Is very easy to implement,
rgds, Ed
procedure buySell_proc(BuyXX,sellStopProfit,sellStopLoss,initPer)
{
global BuyAdjusted;
global BuyPriceAdjusted;
global SellAdjusted;
global SellPriceAdjusted;
global stopProfitArray;
global stopLossArray;
BuyAdjusted = 0;
BuyPriceAdjusted = 0;
SellAdjusted = 0;
SellPriceAdjusted = 0;
stopProfitArray = Null;
stopLossArray = Null;
slip = 0;
for( i = initPer + 1; i BarCount; i++ )
{
if (BuyXX[ i ])
{
BuyAdjusted[ i ] = 1;
BuyPriceAdjusted[ i ] = C[ i ] + slip;
stopProfitArray[ i ] = BuyPriceAdjusted[ i ] + sellStopProfit[ i ];
stopLossArray[ i ] = BuyPriceAdjusted[ i ] - sellStopLoss[ i ];
for (j = i + 1; j BarCount; j++)
{
stopLossArray[ j ] = Max(H[ j - 1 ] - sellStopLoss[ i ],stopLossArray[ j - 1
]);
stopProfitArray[ j ] = stopProfitArray[ i ];
// exit at stop loss
if (C[ j ] stopLossArray[ j ])
{
SellAdjusted[ j ] = 1;
SellPriceAdjusted[ j ] = C[ j ] - slip;
i = j;
break;
}
// exit at stop profit
else if (C[ j ] stopProfitArray[ j ])
{
SellAdjusted[ j ] = 1;
SellPriceAdjusted[ j ] = C[ j ]- slip;
i = j;
break;
}
// to avoid problems at the end of the array
else if (j == BarCount - 1)
{
i = BarCount;
break;
}
}
}
}
}
SetBarsRequired(sbrAll,sbrAll);
per1 = 20;
ATRx = Optimize(ATR Multiplier, 3, 1, 5, 1); // ATR Multiplier
WATR = ((Ref(ATR(8),-2)*8) + (ATR(1)*1.125) + (Ref(ATR(1)*1.125,-1)))/10;
//Weighted ATR (last 20% has a 12.5% weighting factor)
twentydayupper = Ref(HHV(H, per1), -1);
BuyXX = Cross(C, twentydayupper);
buySell_proc(BuyXX,WATR*ATRx,WATR*2,per1);
Buy = BuyAdjusted;
BuyPrice = BuyPriceAdjusted;
Sell = SellAdjusted;
SellPrice = SellPriceAdjusted;
// chart
GraphXSpace = 5;
SetChartOptions(0, chartShowDates);
Plot(stopLossArray,\nsellStopLoss,colorOrange,1);
Plot(stopProfitArray,\nsellStopProfit,colorGreen,1);
Plot( C, \nCandle,colorWhite, styleCandle );
Plot(twentydayupper,,colorBlue,1);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,L,-15);
PlotShapes(IIf(Buy,shapeHollowSmallCircle,shapeNone),colorWhite,0,BuyPrice,0);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,H,-15);
PlotShapes(IIf(Sell,shapeHollowSmallCircle,shapeNone),colorWhite,0,SellPrice,0);
From: JEFF F
Sent: Monday, August 30, 2010 2:21 AM
To: amibroker@yahoogroups.com
Subject: [amibroker] Re: Formula Help Needed
Thanks for your help Ed. That works great. Any chance of changing that exit at
stop profit(SellPriceAdjusted) to a trailing stop?
--- In amibroker@yahoogroups.com, cas soni soni...@... wrote:
Hello Edward,wow..great .   .i was looking for something like this [ i.e-
your code ]Thank you
--- On Sun, 29/8/10, Edward Pottasch empotta...@... wrote:
From: Edward Pottasch empotta...@...
Subject: Re: [amibroker] Re: Formula Help Needed
To: amibroker@yahoogroups.com
Date: Sunday, 29 August, 2010, 1:18 AM
Â
Jeff,
Â
I agree with cas soni that plotting the problem makes it
easier to solve.
Â
You can use the valuewhen() function but the
problem is that before a sell is found new buy signals emerge. That is why I
would solve such a problem using an exit loop. See code below. If this can be
solved using array calculations only I woud not know how,
Â
regards, Ed
Â
Â
procedure
buySell_proc(BuyXX,sellStopProfit,sellStopLoss,initPer)
{
global
BuyAdjusted;
global BuyPriceAdjusted;
global SellAdjusted;
global
SellPriceAdjusted;
global stopProfitArray;
global
stopLossArray;
Â
BuyAdjusted = 0;
BuyPriceAdjusted =
0;
SellAdjusted = 0;
SellPriceAdjusted = 0;
stopProfitArray =
Null;
stopLossArray = Null;
slip = 0;
Â
for( i = initPer + 1; i BarCount; i++ )
{
 if (BuyXX[ i ])
 {
  BuyAdjusted[ i ] =
1;
  BuyPriceAdjusted[ i ] = C[ i ] +
slip;
  stopProfitArray[ i ] = BuyPriceAdjusted[ i ] +
sellStopProfit[ i ];
  stopLossArray[ i ] = BuyPriceAdjusted[ i ] -
sellStopLoss[ i ];
 Â
  for (j = i + 1; j
BarCount; j++)
  {Â
   stopLossArray[ j ] =
stopLossArray[ i ];
   stopProfitArray[ j ] = stopProfitArray[
i ];
   // exit at stop loss
   if (C[ j ]
stopLossArray[ j
])
   {
    SellAdjusted[ j ] =
1;
    SellPriceAdjusted[ j ] = C[ j ] -
slip;
    i =
j;
    break;
   } Â
   //
exit at stop profit
   else if (C[ j ] stopProfitArray[ j
])
   {
    SellAdjusted[ j ] =
1;
    SellPriceAdjusted[ j ] = C[ j ]-
slip;
    i =
j;
    break;
   }
  Â
Re: [amibroker] Re: Formula Help Needed
Jeff,
I agree with cas soni that plotting the problem makes it easier to solve.
You can use the valuewhen() function but the problem is that before a sell is
found new buy signals emerge. That is why I would solve such a problem using an
exit loop. See code below. If this can be solved using array calculations only
I woud not know how,
regards, Ed
procedure buySell_proc(BuyXX,sellStopProfit,sellStopLoss,initPer)
{
global BuyAdjusted;
global BuyPriceAdjusted;
global SellAdjusted;
global SellPriceAdjusted;
global stopProfitArray;
global stopLossArray;
BuyAdjusted = 0;
BuyPriceAdjusted = 0;
SellAdjusted = 0;
SellPriceAdjusted = 0;
stopProfitArray = Null;
stopLossArray = Null;
slip = 0;
for( i = initPer + 1; i BarCount; i++ )
{
if (BuyXX[ i ])
{
BuyAdjusted[ i ] = 1;
BuyPriceAdjusted[ i ] = C[ i ] + slip;
stopProfitArray[ i ] = BuyPriceAdjusted[ i ] + sellStopProfit[ i ];
stopLossArray[ i ] = BuyPriceAdjusted[ i ] - sellStopLoss[ i ];
for (j = i + 1; j BarCount; j++)
{
stopLossArray[ j ] = stopLossArray[ i ];
stopProfitArray[ j ] = stopProfitArray[ i ];
// exit at stop loss
if (C[ j ] stopLossArray[ j ])
{
SellAdjusted[ j ] = 1;
SellPriceAdjusted[ j ] = C[ j ] - slip;
i = j;
break;
}
// exit at stop profit
else if (C[ j ] stopProfitArray[ j ])
{
SellAdjusted[ j ] = 1;
SellPriceAdjusted[ j ] = C[ j ]- slip;
i = j;
break;
}
// to avoid problems at the end of the array
else if (j == BarCount - 1)
{
i = BarCount;
break;
}
}
}
}
}
SetBarsRequired(sbrAll,sbrAll);
ATRx = Optimize(ATR Multiplier, 3, 1, 5, 1); // ATR Multiplier
WATR = ((Ref(ATR(8),-2)*8) + (ATR(1)*1.125) + (Ref(ATR(1)*1.125,-1)))/10;
//Weighted ATR (last 20% has a 12.5% weighting factor)
twentydayupper = Ref(HHV(H, 20), -1);
BuyXX = Cross(C, twentydayupper);
buySell_proc(BuyXX,WATR*ATRx,WATR*2,8);
Buy = BuyAdjusted;
BuyPrice = BuyPriceAdjusted;
Sell = SellAdjusted;
SellPrice = SellPriceAdjusted;
// chart
GraphXSpace = 5;
SetChartOptions(0, chartShowDates);
Plot( C, \nCandle,colorWhite, styleCandle );
Plot(twentydayupper,,colorBlue,1);
Plot(stopLossArray,\nsellStopLoss,colorRed,1);
Plot(stopProfitArray,\nsellStopProfit,colorGreen,1);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,L,-15);
PlotShapes(IIf(Buy,shapeHollowSmallCircle,shapeNone),colorWhite,0,BuyPrice,0);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,H,-15);
PlotShapes(IIf(Sell,shapeHollowSmallCircle,shapeNone),colorWhite,0,SellPrice,0);
From: JEFF F
Sent: Saturday, August 28, 2010 7:14 PM
To: amibroker@yahoogroups.com
Subject: [amibroker] Re: Formula Help Needed
Thanks cas soni,
I appreciate your input, and adding the plot. The problem I am having is the
sellprice and sellstop seem to be floating numbers and recalculated every day.
I want them to be calculated once at entry, and remain that fixed value until a
sell is triggered. Any help is much appreciated.
--- In amibroker@yahoogroups.com, cas soni soni...@... wrote:
Hello Jeff ,
First let me say i am not an afl expert ,
so please try this
ATRx = Optimize(ATR Multiplier, 3, 1, 5, 1); // ATR Multiplier
WATR = (Ref(ATR(8),-2)*8 + (ATR(1)*1.125) + (Ref(ATR(1)*1.125,-1)))/10;
//Weighted ATR (last 20% has a 12.5% weighting factor)
twentydayupper = Ref(HHV(H, 20), -1);
Plot(C,,3,64);
Plot(twentydayupper,,7,1);
Buy = Cross(C, twentydayupper);
BuyPrice=ValueWhen(Buy,C,1);
Sellstop = BuyPrice - WATR*2;
SellPrice = BuyPrice + WATR*ATRx;
Sell = Cross(Sellstop, C) OR Cross(C, SellPrice);
Plot(SellPrice,sellprice,4,1);
Plot(Sellstop,sellstop,6,1);
PlotShapes(Buy*shapeUpArrow,colorGreen,0,L,-5);
PlotShapes(Sell*shapeDownArrow,colorRed,0,H,-5);
AddColumn(ATRx, ATRx);
AddColumn(ATR(10), ATR);
AddColumn(WATR, Weighted ATR);
AddColumn(Ref(ATR(8),-2), ATR(8) Two Days Ago);
AddColumn(ATR(1)*1.125, Weighted ATR Today);
AddColumn(Ref(ATR(1)*1.125,-1), Weighted ATR Yesterday);
AddColumn(twentydayupper, 20 Day Upper);
AddColumn(Sellstop, Sellstop);
AddColumn(SellPrice, SellPrice);
AddColumn(BuyPrice, BuyPrice);
AddColumn(C, Close);
Filter=1;
Hope this helps
Thank you
--- On Sat, 28/8/10, JEFF F je...@... wrote:
From: JEFF F je...@...
Subject: [amibroker] Formula Help Needed
To: amibroker@yahoogroups.com
Date: Saturday, 28 August, 2010, 8:53 PM
Â
If one of the AFL experts out there could help me out, it would be greatly
appreciated. I do not understand why, in this formula the sell price is not
being executed according to my stops. Please understand this is a
work-in-progress and not meant to be a complete formula. I put in all the
columns to try and trace the calculations. I'm sure it is a simple answer,
but I seem to be missing it.
ATRx = Optimize(ATR Multiplier, 3, 1, 5, 1); // ATR Multiplier
WATR = ((Ref(ATR(8),-2)*8) + (ATR(1)*1.125) + (Ref(ATR(1)*1.125,-1)))/10;
Re: [amibroker] Re: Formula Help Needed
Hello Edward,wow..great . .i was looking for something like this [ i.e- your
code ]Thank you
--- On Sun, 29/8/10, Edward Pottasch empotta...@skynet.be wrote:
From: Edward Pottasch empotta...@skynet.be
Subject: Re: [amibroker] Re: Formula Help Needed
To: amibroker@yahoogroups.com
Date: Sunday, 29 August, 2010, 1:18 AM
Jeff,
I agree with cas soni that plotting the problem makes it
easier to solve.
You can use the valuewhen() function but the
problem is that before a sell is found new buy signals emerge. That is why I
would solve such a problem using an exit loop. See code below. If this can be
solved using array calculations only I woud not know how,
regards, Ed
procedure
buySell_proc(BuyXX,sellStopProfit,sellStopLoss,initPer)
{
global
BuyAdjusted;
global BuyPriceAdjusted;
global SellAdjusted;
global
SellPriceAdjusted;
global stopProfitArray;
global
stopLossArray;
BuyAdjusted = 0;
BuyPriceAdjusted =
0;
SellAdjusted = 0;
SellPriceAdjusted = 0;
stopProfitArray =
Null;
stopLossArray = Null;
slip = 0;
for( i = initPer + 1; i BarCount; i++ )
{
if (BuyXX[ i ])
{
BuyAdjusted[ i ] =
1;
BuyPriceAdjusted[ i ] = C[ i ] +
slip;
stopProfitArray[ i ] = BuyPriceAdjusted[ i ] +
sellStopProfit[ i ];
stopLossArray[ i ] = BuyPriceAdjusted[ i ] -
sellStopLoss[ i ];
for (j = i + 1; j
BarCount; j++)
{
stopLossArray[ j ] =
stopLossArray[ i ];
stopProfitArray[ j ] = stopProfitArray[
i ];
// exit at stop loss
if (C[ j ]
stopLossArray[ j
])
{
SellAdjusted[ j ] =
1;
SellPriceAdjusted[ j ] = C[ j ] -
slip;
i =
j;
break;
}
//
exit at stop profit
else if (C[ j ] stopProfitArray[ j
])
{
SellAdjusted[ j ] =
1;
SellPriceAdjusted[ j ] = C[ j ]-
slip;
i =
j;
break;
}
//
to avoid problems at the end of the array
else if (j ==
BarCount - 1)
{
i =
BarCount;
break;
}
}
}
}
}
SetBarsRequired(sbrAll,sbrAll);
ATRx = Optimize(ATR Multiplier, 3, 1, 5, 1); // ATR
Multiplier
WATR = ((Ref(ATR(8),-2)*8) + (ATR(1)*1.125) +
(Ref(ATR(1)*1.125,-1)))/10; //Weighted ATR (last 20% has a 12.5% weighting
factor)
twentydayupper = Ref(HHV(H, 20), -1);
BuyXX = Cross(C,
twentydayupper);
buySell_proc(BuyXX,WATR*ATRx,WATR*2,8);
Buy =
BuyAdjusted;
BuyPrice = BuyPriceAdjusted;
Sell =
SellAdjusted;
SellPrice = SellPriceAdjusted;
// chart
GraphXSpace = 5;
SetChartOptions(0,
chartShowDates);
Plot( C, \nCandle,colorWhite, styleCandle
);
Plot(twentydayupper,,colorBlue,1);
Plot(stopLossArray,\nsellStopLoss,colorRed,1);
Plot(stopProfitArray,\nsellStopProfit,colorGreen,1);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,L,-15);
PlotShapes(IIf(Buy,shapeHollowSmallCircle,shapeNone),colorWhite,0,BuyPrice,0);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,H,-15);
PlotShapes(IIf(Sell,shapeHollowSmallCircle,shapeNone),colorWhite,0,SellPrice,0);
From: JEFF F
Sent: Saturday, August 28, 2010 7:14 PM
To: amibroker@yahoogroups.com
Subject: [amibroker] Re: Formula Help Needed
Thanks cas soni,
I appreciate your input, and adding the plot. The problem
I am having is the sellprice and sellstop seem to be floating numbers and
recalculated every day. I want them to be calculated once at entry, and remain
that fixed value until a sell is triggered. Any help is much
appreciated.
--- In amibroker@yahoogroups.com, cas soni
soni...@... wrote:
Hello Jeff ,
First let me say
i am not an afl expert ,
so please try this
ATRx =
Optimize(ATR Multiplier, 3, 1, 5, 1); // ATR Multiplier
WATR =
(Ref(ATR(8),-2)*8 + (ATR(1)*1.125) + (Ref(ATR(1)*1.125,-1)))/10; //Weighted ATR
(last 20% has a 12.5% weighting factor)
twentydayupper = Ref(HHV(H,
20), -1);
Plot(C,,3,64);
Plot(twentydayupper,,7,1);
Buy = Cross(C,
twentydayupper);
BuyPrice=ValueWhen(Buy,C,1);
Sellstop = BuyPrice - WATR*2;
SellPrice = BuyPrice +
WATR*ATRx;
Sell = Cross(Sellstop, C) OR Cross(C, SellPrice);
Plot(SellPrice,sellprice,4,1);
Plot(Sellstop,sellstop,6,1);
PlotShapes(Buy*shapeUpArrow,colorGreen,0,L,-5);
PlotShapes(Sell*shapeDownArrow,colorRed,0,H,-5);
AddColumn(ATRx, ATRx);
AddColumn(ATR(10), ATR);
AddColumn(WATR, Weighted ATR);
AddColumn(Ref(ATR(8),-2), ATR(8) Two
Days Ago);
AddColumn(ATR(1)*1.125, Weighted ATR Today);
AddColumn(Ref(ATR(1)*1.125,-1), Weighted ATR Yesterday);
AddColumn(twentydayupper, 20 Day Upper);
AddColumn(Sellstop,
Sellstop);
AddColumn(SellPrice, SellPrice);
AddColumn(BuyPrice, BuyPrice);
AddColumn(C, Close);
Filter=1;
Hope this helps
Thank you
--- On Sat, 28/8/10, JEFF F je...@... wrote:
From: JEFF F je...@...
Subject: [amibroker] Formula Help
Needed
To: amibroker@yahoogroups.com
Date: Saturday, 28 August, 2010, 8:53 PM
Â
If one of the AFL experts out there could
help me out, it would be greatly appreciated. I do
