I am trying to help an associate who is migrating from MetaStock to
AB.
The system is for shorting, does not have pyramiding or scaling and
his exit rules are
1 - Disaster stop exit - EntryPrice + 4 * ATR(20) - intra day exit
2 - Trailing/Profit Stop - Cover at MA(3) - 0.5 * ATR(20) - intra
day exit
3 - Time Exit - after being in trade for 2 days exit NEXT DAY ON OPEN
4 - Reversion test - If the minimum value of today's Open/Close - Low
> 1 * ATR(15) then exit next day ON OPEN - this should not trigger on
entry day of trade.
The only way I could see of achieving these is to use looping. Is
there a simpler way of combining these exits? My code for the exits
follows
SetTradeDelays(0,0,0,0);
// Intraday Entry & Exit signals, no forward
references
/*
Short = Ref(Entry Signal,-1)
AND Low <= Entry Price;
ShortPrice = Min(Open, Entry Price);
*/
Cover = 0;
xDisasterATRMult = 4;
//xDisasterATRMult = Optimize("Disaster ATR Multiplier", 4, 2, 6,
0.5);
xDisasterATRPer = 20;
//xDisasterATRPer = Optimize("Disaster ATR Period", 20, 10, 30, 5);
xaDisasterStopOffset = xDisasterATRMult * ATR(xDisasterATRPer);
xDisasterStop = Null;
xProfitATRMult = 0.5;
//xProfitATRMult = Optimize("Profit ATR Multiplier", 0.5, 0.2, 1.1,
0.3);
xProfitATRPer = 20;
//xProfitATRPer = Optimize("Profit ATR Period", 20, 10, 30, 5);
xProfitMAPer = 3;
//xProfitMAPer = Optimize("Profit MA Period", 3, 2, 5, 1);
xaProfitStop = MA(Close, xProfitMAPer) - (xProfitATRMult * ATR
(xProfitATRPer));
xReversionATRMult = 1;
//xReversionATRMult = Optimize("Reversion ATR Multiplier", 1, 0.5, 2,
0.5);
xReversionATRPer = 15;
//xReversionATRPer = Optimize("Reversion ATR Period", 15, 10, 30, 5);
xaReversionValue = xReversionATRMult * ATR(xReversionATRPer);
xBarsInTrade = 0;
xEntryBar = 0;
xExitType = Null;
xTimeStopPer = 2;
//xTimeStopPer = Optimize("Time Stop Period", 2, 1, 5, 1);
for(xBar = 1; xBar < BarCount; xBar++)
{
if(xDisasterStop == Null
AND Short[xBar] == 1) // Entry Bar & 0 positions
open
{
// Position Opened
xDisasterStop = ShortPrice[VBar] +
xaDisasterStopOffset[xBar - 1]; // use previous bar ATR
xEntryBar = xBar;
}
else
{
Short[xBar] = 0; // Remove excess short signals
} // Not Entry Bar
if(xDisasterStop != Null) // trade is open
{
xBarsInTrade = xBar - xEntryBar; // determine
bars since trade opened
if (xDisasterStop != Null
AND High > xDisasterStop) // RULE 1
{
Cover[xBar] = 1;
if (xBarsInTrade == 0)
{
CoverPrice[xBar] = xDisasterStop;
}
else
{
CoverPrice[xBar] = Max(Open,
xDisasterStop);
}
xExitType[xBar] = "Rule 1";
xDisasterStop = Null; // resets flag to
indicate "no open trades"
}
if (xDisasterStop != Null
AND Low < xaProfitStop[xBar - 1]) //
RULE 2 - use previous bar stop value
{
Cover[xBar] = 1;
CoverPrice[xBar] = Min(Open, xaProfitStop
[xBar - 1]);
xExitType[xBar] = "Rule 2";
xDisasterStop = Null; // resets flag to
indicate "no open trades"
}
if (xDisasterStop != Null
AND xBarsInTrade > xTimeStopPer) //
RULE 3
{
Cover[xBar] = 1;
CoverPrice[xBar] = Open;
xExitType[xBar] = "Rule 3";
xDisasterStop = Null; // resets flag to
indicate "no open trades"
}
if (xDisasterStop != Null
AND xBarsInTrade > 0 // RULE 4
AND Min(Open[xBar - 1], Close[xBar - 1]) - Low
[xBar - 1] > xaReversionValue[xBar - 1]) // use previous bar
values
{
Cover[xBar] = 1;
CoverPrice[xBar] = Open;
xExitType[xBar] = "Rule 4";
xDisasterStop = Null; // resets flag to
indicate "no open trades"
}
}
}
Thanks for any help
Graham
