Hi all,
I am still working on my looping skills and just when I thought I
had it down,I run into a brick AFL looping wall...here is the code I
worked with from the users manual for the stock NUHC,backtested
from 6/20/06-8/25
---------------------------------------------------------------------
Buytemp = Cross(C, MA( C,21) );
Selltemp = Cross(MA(C,200),C);
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
FirstProfitTarget = 50; // profit ..purposely left high
TrailingStop = 34; // also in percent
Maxstop=9;//also in percent
//FirstProfitTarget = Optimize("FirstProfitTarget",15,5, 50,5);
//TrailingStop = Optimize("TrailingStop",34,5,25,1);
//Maxstop = Optimize("maxstop",8,2,15,1);
priceatbuy=0;
highsincebuy = 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(Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
{
// trailing stop hit - exit
exit = 2;
SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop *
0.01 ) * highsincebuy );
}
if (Low[i]<=(1-Maxstop*.01)*priceatbuy)
{
exit = 3;
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;
}
}
}
SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Buy ==
sigScaleOut ) );
-------------------------------------------------------------------
On 6/20/06, NUHC crossed above its 21 day moving average.When I
code a simple formula in AFL
Buy=Cross(C, MA( C,21) );
Everything works as expected.I can set the BuyPrice and delay in
settings and entrydate may change,but it still signals a BUY.This
holds true regardless of any stops I apply...
Here is the problem.
If I run the above looping code example and set the BuyPrice to
Close, Delays to 0 ,trailing stop of 35 or higher OR maxstop 10 or
greater,everything tests as expected.I get the buy signal,and the
arrows for raw signals and trades are as expected..The important
thing is I am using a trailing stop of 35 or greater OR a maxstop of
10 or greater..I do verify the signals in explorer as well.
If I should keep those exact same settings,but change the Trailing
stop to 34(from 35),or max stop to 9 or less,the 6/20 MA21 is
ignored and the system doesnt show a buy till 8/09.Not only that,but
when I look at the raw arrows the Buy arrow that I had on 6/20 is
now a SELL arrow.If I look at the arrow for actual trades,there are
no arrows.What is more interesting is that if I run EXPLORE,All Buy
Signals and Buy signals show a 1 for 6/20/2006,yet I am getting a
sell arrow on 6/20/2006 for raw signals.Is there something unusual
about raw signals that would cause a buy arrow to become a sell
arrow??What could I be missing??
Am I correct that if i dont use Exrem,the first all signals will
fire as soon as they occur??
I have to assume it must be something in the stop levels,but i can
not verify it.I dont understand how a clear buy signal would be
ignored and show up with a sell arrow for raw signals..Can anyone
please assist me on this??
Thanks in advance
Allan
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