gp_sydney,
Your logic makes sense but when I added it I still get no trades being
initiated. Below is my code. For the life of me I don't see why your logic
won't work. Could it be something in the preferences?
// Simiple MOVING AVERAGE MULTI TIMEFRAME BACKTEST
// Notes: all trades must be triggered on "Close", "0" days delay
// in the backtest setup.
// Parameters
LongPeriods=Param("Long Periods",17,5,21,3);
LongPeriodsLTF=Param("Long PeriodsLTF",9,5,21,3);
NumberofPositions=Param("Positions",2,2,6,1);
FirstProfitTarget=Param("FirstProfitTarget",0.004,0.0001,0.0045,0.0001);
SecondProfitTarget = Param("SecondProfitTarget",0.009,0.0001,0.0125,0.0001);
TrailingStop=Param("TrailStop",0.001,0.0001,0.003,0.0001);
TimeFrameSet (in5Minute); // switch to 15 minute time frame
// Calculate Moving Averages
MAShort=MA(C,LongPeriods);
MALong=Ref(MAShort,-2);
// Check for Long or Short Signals
LongSignal = (C > MALong) AND (C > MAShort) AND (MAShort > MALong);
ShortSignal = (C < MALong) AND (C < MAShort) AND (MAShort < MALong);
TimeFrameRestore(); // restore time frame to original
TimeFrameSet (in15Minute); // switch to 15 minute time frame
// Calculate Moving Averages
MAShortLT=MA(C,LongPeriodsLTF);
MALongLT=Ref(MAShortLT,-1);
LongSignalLT = (C > MALongLT) AND (C > MAShortLT) AND (MAShortLT > MALongLT);
ShortSignalLT = (C < MALongLT) AND (C < MAShortLT) AND (MAShortLT < MALongLT);
SignalLatchLong = Flip(LongSignalLT,ShortSignalLT);
SignalLatchShort = Flip(ShortSignalLT, LongSignalLT);
TimeFrameRestore(); // restore time frame to original
// Points only test is equivalent to trading just one contract. This can be
// easily accomplished using Futures mode of the backtester AND adding the
following one line to your formula:
MarginDeposit = 1;
PositionSize=NumberofPositions;
//Entry and Exit
EntryTimeCondition = IIf ( Minute() == 4 + 0*5, True,
IIf ( Minute() == 4 + 1*5, True,
IIf ( Minute() == 4 + 2*5, True,
IIf ( Minute() == 4 + 3*5, True,
IIf ( Minute() == 4 + 4*5, True,
IIf ( Minute() == 4 + 5*5, True,
IIf ( Minute() == 4 + 6*5, True,
IIf ( Minute() == 4 + 7*5, True,
IIf ( Minute() == 4 + 8*5, True,
IIf ( Minute() == 4 + 9*5, True,
IIf ( Minute() == 4 + 10*5, True,
IIf ( Minute() == 4 + 11*5, True,False))))))))))));//Entry only occurs at the
end of each 5 minute bar.
//Bars must be setup in preferences for "Time stamp of compressed intraday bars
shows:
// START time of interval" as being checked off.
Cover = (TimeFrameExpand(LongSignal, in5Minute) AND EntryTimeCondition)
OR (TimeFrameExpand(SignalLatchLong, in15Minute) AND EntryTimeCondition)
OR TimeNum() > 155800;
Sell = TimeFrameExpand(ShortSignal, in5Minute) OR
TimeFrameExpand(SignalLatchShort, in15Minute)
OR TimeNum() > 155800;
Buy = TimeFrameExpand(LongSignal, in5Minute) AND
TimeFrameExpand(SignalLatchLong, in15Minute)
AND (TimeNum()>93300) AND (TimeNum() <153000) AND EntryTimeCondition;
Short = TimeFrameExpand(ShortSignal, in5Minute) AND
TimeFrameExpand(SignalLatchShort, in15Minute)
AND (TimeNum()>93300) AND (TimeNum() <153000) AND EntryTimeCondition;
// Trade Management
PriceatShort = 0;
LowSinceShort = 1000000;
PriceatBuy = 0;
HighSinceBuy = 0;
Exit = 0;
for( i = 0; i < BarCount; i++)
{
if(PriceAtBuy == 0 AND Buy[i])
{
PriceAtBuy = BuyPrice[i];
BarCountBuy = BarCount;
}
if(PriceAtBuy > 0)
{
HighSinceBuy = Max(High[i-1] , HighSinceBuy);
if(Exit == 0 AND High[i] >= ((1 + FirstProfitTarget)* PriceAtBuy))
{
// first profit target hit - Scale Out
Exit = 1;
Buy[i] = sigScaleOut;
BuyPrice[i] = ((1 + FirstProfitTarget)* PriceAtBuy) ;
}
if(Exit == 0 AND High[i] >= ((1 + SecondProfitTarget)* PriceAtBuy))
{
// Second profit target hit - Exit
Exit = 2;
Sell[i] = 1;
SellPrice[i] = ((1 + SecondProfitTarget)* PriceAtBuy) ;
}
if((Low[i] <= (HighSinceBuy *(1- TrailingStop))) AND (i != BarCountbuy))
{
// trailing stop hit - exit
Exit = 2;
Sell[i] = 1;
SellPrice[i] = (HighSinceBuy *(1- TrailingStop));
}
if(Exit == 2)
{
Exit = 0;
PriceAtBuy = 0;
HighSinceBuy = 0;
}
}
if(PriceatShort == 0 AND Short[i])
{
PriceatShort = ShortPrice[i];
BarCountShort = BarCount;
}
if(PriceatShort > 0)
{
LowSinceShort = Min(Low[i-1] , LowSinceShort);
if(Exit == 0 AND Low[i] <= (PriceatShort *(1 - FirstProfitTarget)))
{
// first profit target hit - Scale Out
Exit = 1;
Short[i] = sigScaleOut;
ShortPrice[i]=(PriceatShort *(1 - FirstProfitTarget));
}
if(Exit == 0 AND Low[i] <= (PriceatShort *(1 - SecondProfitTarget)))
{
// first profit target hit - Scale Out
Exit = 2;
Cover[i] = 1;
CoverPrice[i]=(PriceatShort *(1 - SecondProfitTarget));
}
if((High[i] >= (LowSinceShort * (1 + TrailingStop))) AND (i != BarCountShort))
{
// trailing stop hit - exit
Exit = 2;
Cover[i] = 1;
CoverPrice[i] = (LowSinceShort *(1+ TrailingStop));
}
if(Exit == 2)
{
Exit = 0;
PriceatShort = 0;
LowSinceShort = 1000000;
}
}
}
SetPositionSize(50,spsPercentOfPosition*((Buy == sigScaleOut)+(Short
== sigScaleOut)));
//scale out of 50% of position
Mask = BarsSince(Sell) >= 5 AND BarsSince(Cover) >= 5;
Mask = IIf(IsNull(Mask), True, Mask); // Convert Nulls to Trues
Buy = Buy AND Mask;
Short = Short AND Mask;
----- Original Message -----
From: gp_sydney
To: [email protected]
Sent: Tuesday, July 03, 2007 6:58 PM
Subject: [amibroker] Re: Entry Time Delay
Fred,
The problem you're describing is because the BarsSince array returns
Null values before the first True in the array you're testing. If you
convert them back to True values, then your statements should work:
Mask = BarsSince(Sell) >= 5 AND BarsSince(Cover) >= 5;
Mask = IIf(IsNull(Mask), True, Mask); // Convert Nulls to Trues
Buy = Buy AND Mask;
Short = Short AND Mask;
Now the Mask array will start off with all True values before the
first Sell or Cover signal, allowing earlier Buy and Short signals to
remain.
GP
--- In [email protected], Ed Middleton <[EMAIL PROTECTED]> wrote:
>
> Herman,
>
> Actually I think you meant to type:
>
> Buy = Buy AND BarsSince(Sell)>=5 AND BarsSince(Cover) >=5;
>
> similarily,
>
> Short = Short AND BarsSince(Sell)>=5 AND BarsSince(Cover) >=5;
>
> In my head this should only allow a "Buy" (or "Short") 5 bars after
the last trade exit.
>
> Now the problem with this approach is that there cannot be a Sell Or
Cover without a trade (A Buy or Short)first being put on by
definition. You cannot end a trade without first putting on a trade.
In the above, you cannot put on a trade until 5 days after a Sell or
Cover. So when you run this code, no trades are initiated.
>
> If there was a way of initiating the code with a Sell and Cover
signal on Bar "0" then I'd assume that on Bar 5 that the conditions in
the Buy and Short code at the top would be satisfied. I don't know
how to intiate the code so that it starts with a sell and cover signal.
>
> I've tried: Sell = Cover = 1
>
> I've tried in my if loop,
> If (i == 0)
> {
> sell(i) = 1;
> cover(i) = 1;
> }
>
> Neither has worked.
>
> Am I missing something in your logic?
>
> thanks,
>
> Fred
>
> ----- Original Message -----
> From: Herman
> To: Ed Middleton
> Sent: Friday, June 29, 2007 5:31 AM
> Subject: Re: [amibroker] Entry Time Delay
>
>
>
>
>
>
>
> Your system here...
>
>
>
>
> Sell = Sell AND BarsSince(Sell) >= 5;
>
>
>
>
> herman
>
>
>
>
> Thursday, June 28, 2007, 9:36:11 PM, you wrote:
>
>
>
>
> >
>
> Ok now really frustrated. Nothing seems to be working.
>
>
>
> Here's what I want to do:
>
> Wait 5 bars after a sell or cover before buying or shorting
again. You would think this was simple but as you can see
below it is causing me some trouble. Any help would be
appreciated.
>
>
>
> thx,
>
>
>
> Fred
>
>
>
> ----- Original Message -----
>
> From: Ed Middleton
>
> To: [email protected]
>
> Sent: Thursday, June 28, 2007 2:37 PM
>
> Subject: Re: [amibroker] Entry Time Delay
>
>
>
>
> Ok, I've found the problem. BarsSince(Sell) and
BarsSince(Cover) never = anything because there is not Sells or
Covers to get a value from and thus no buys or shorts. Somehow I
need to be able to allow the first buy or Short to occur then
everything will be ok.
>
>
>
> Any suggestions?
>
>
>
> thx,
>
>
>
> ----- Original Message -----
>
> From: Ed Middleton
>
> To: [email protected]
>
> Sent: Thursday, June 28, 2007 11:48 AM
>
> Subject: Re: [amibroker] Entry Time Delay
>
>
>
>
> Also tried:
>
> BarsSinceExit = Min(BarsSince(Sell),BarsSince(Cover));
>
> Added to Buy and Short lines:
>
> AND (BarsSinceExit > 0);
>
> This should have gotten me in on the next 5 minute bar. No
luck with this procedure either. I'm missing something in my
programming logic.
>
>
>
>
>
> ----- Original Message -----
>
> From: jjj_98
>
> To: [email protected]
>
> Sent: Thursday, June 28, 2007 11:04 AM
>
> Subject: [amibroker] Entry Time Delay
>
>
>
>
> After exiting a trade I want to wait 5 minutes before
re-entering a
>
> trade so here's what code I've tried but it does not seem to be
>
> making a difference in the next entry. Do you see any problems?
>
>
>
>
> //Initialize last trade exit times
>
>
>
>
> LastSellTime = LastCoverTime = 000000;
>
>
>
>
> // Calculates Amount of time since last exit
>
>
>
>
> TimeSinceLastTrade = Min((TimeNum() -
LastSellTime),(TimeNum() -
>
> LastCoverTime));
>
>
>
>
> // I added this to my BUY and SHORT instructions so that the
time to
>
> re-enter the next trade must be greater than 5 minutes.
>
>
>
>
> AND (TimeSinceLastTrade > 000500);
>
>
>
>
> //In my logic added the following to get the time of the
Last Sell
>
> and Last Cover
>
>
>
>
> if(Sell[i] == 1)
>
> {
>
> LastSellTime = TimeNum();
>
> }
>
>
>
>
> if(Cover[i] == 1)
>
> {
>
> LastCoverTime = TimeNum();
>
> }
>
>
>
>
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