Hi all,
Been plugging away and its slowly coming together.Thanks to many,I
have a thorough understanding of Exrem() and am starting to get the
hang of basic looping..
I have been working with the example in the users manual on page 142
and adding my own code and will be moving on to optimisation next.
I was successful in adding a maxstop loss of 8% to the loop.I have
verified the results.That is not a problem..
what is giving me a problem is the trailing stop that was coded by
Amibroker on pg 142 of the manual.I cant verify the results in AA to
the exit signals.In my full code below,I have
Trailingstop=20//in percent;
I would assume that if the current low is <= .8* highsinsebuy,the
trailing stop would be activated.With that said,if my highsince
entry =100,wouldnt 80 be the price that the trailstop is
activated??? For some odd reason,I am getting trailing stops and
executions down 6%.Am I not understanding the definition of trailing
stop??Keep in mind that my max stop =8%,so that is not the issue...
if(Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
{
// trailing stop hit - exit
exit = 3;
SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop *
0.01 ) * highsincebuy );
}
I also attempted to code in a trailing stop only if my first profit
target was reached.Exit=1 was my first profit target of 20%.I dont
believe the code below works as planned.
if(exit==1 AND Low[ i ] <= ( 1 - TrailingStop * 0.01 ) *
highsincebuy )
I set up optimasations for the stops,but will save that for a later
time..Any help deeply appreciated!!!Full code below
---------------------------------------------------------------------
//My version of code
Buytemp = Cross(Close,MA(Close,5)); // my code change
Selltemp =Cross(MA(Close,200),Close); // my code change
Buy=Buytemp;
Sell=Selltemp;
Buy=ExRem(Buy,Sell); // my code change
Sell=ExRem(Sell,Buy);// my code change
Filter=1; //exploration
AddColumn(BuyTemp,"All Buy Signals");//exploration
AddColumn(Buy,"BUY SIGNAL");//exploration
AddColumn(SellTemp,"All Sell Signals");//exploration
AddColumn(Sell,"SELL SIGNAL");//exploration
// the system will exit
// 50% of position if FIRST PROFIT TARGET stop is hit
// 50% of position is SECOND PROFIT TARGET stop is hit
// 100% of position if TRAILING STOP is hit
// 100% of position if MAXSTOP is hit
FirstProfitTarget = 20; // profit
SecondProfitTarget = 40; // in percent
TrailingStop = 20; // also in percent
Maxstop=8;//also in percent
//Optimize("FirstProfitTarget", 20, 5, 50, 5);
//Optimize("SecondProfitTarget ", 15, 25,70,5);
//Optimize("TrailingStop", 15,6,50,2);
//Optimize("maxstop",8,2,22,1);
priceatbuy=0;
highsincebuy = 0;
//Lowsincebuy=0;
exit = 0;
for( i = 0; i < BarCount; i++ )
{
if( priceatbuy == 0 AND Buy[ i ] )
{
priceatbuy = BuyPrice[ i ];
}
if( priceatbuy > 0 )
{
highsincebuy = Max( High[ i ], highsincebuy );
if( exit == 0 AND
High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) *
priceatbuy )
{
// first profit target hit - scale-out
exit = 1;
Buy[ i ] = sigScaleOut;
}
if( exit == 1 AND
High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) *
priceatbuy )
{
// second profit target hit - exit
exit = 2;
SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget *
0.01 ) * priceatbuy );
}
if(Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
// if(exit==1 AND Low[ i ] <= ( 1 - TrailingStop * 0.01 ) *
highsincebuy )
// added "exitl ==1 and" to have a floor for trailing stop
{
// trailing stop hit - exit
exit = 3;
SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop *
0.01 ) * highsincebuy );
}
if (Low[i]<=(1-Maxstop*.01)*priceatbuy)
{
exit = 4;
SellPrice[i]=Min(Open[i],(1-Maxstop*.01)*priceatbuy);
//My attempt to code in a Max stop loss-appears to work as
coded
}
if( exit >= 2 )
{
Buy[ i ] = 0;
Sell[ i ] = exit + 1; // mark appropriate exit code
exit = 0;
priceatbuy = 0; // reset price
highsincebuy = 0;
Lowsincebuy=0;
}
}
}
SetPositionSize( 5, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Buy ==
sigScaleOut ) ); // scale out 50% of position
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