Re: [amibroker] Top Stop Exit programming question

[Anthony C. Abry]

Ed,

I just saw your answer now. Thank you so much.
I was unable to reproduce the exact chart as in the AT magazine, 
however, the white stop array line looks similar to the ones in the 
article. A little tweaking, therefore, and it should be done.

Thanks again.



Edward Pottasch wrote:



hi,
 
you indeed need a loop to program this. Ararys only will not do it. 
Below the code from how I understand it from your text.
 
regards, Ed
 
 
*procedure* sell_proc(*Buy*,*BuyPrice*,stp,hhvstp)
{

*global* BuyAdjusted;
*global* BuyPriceAdjusted;
*global* SellAdjusted;
*global* SellPriceAdjusted;
*global* stopArray;


BuyAdjusted = 0;
BuyPriceAdjusted = 0;
SellAdjusted = 0;
SellPriceAdjusted = 0;
stopArray = *Null*;

delay = 1;
slip = 0.0;

*for*( i = 1; i < *BarCount*; i++ )
{
   
   *if* ( *Buy*[ i ])
   {

      BuyAdjusted[ i ] = 1;
      BuyPriceAdjusted[ i ] = *BuyPrice*[ i ] + slip;
      stopArray[ i ] = BuyPriceAdjusted[ i ] + stp[ i ];
      
      *for* (j = i + delay; j < *BarCount*; j++)
      {   
      
         *if* (hhvstp[ j ])
         {
         
            stopArray[ j ] = stopArray[ j - 1 ] + abs(*C*[j - 1] - 
*C*[j - 2]);
         
         }
         *else*
         {

            stopArray[ j ] = stopArray[ j - 1 ] - abs(*C*[j - 1] - 
*C*[j - 2]);          
         
         }
         

         *if* (*C*[ j ] > stopArray[ j ])
         {
         
            SellAdjusted[ j ] = 1;
            SellPriceAdjusted[ j ] = *C*[ j ] - slip;
            i = j;
            *break*;
         
         }         
         *else* *if* (j == *BarCount* - 1)
         {
                  
            i = *BarCount*;
                  
         }
      }
   }
}

}

SetBarsRequired(10000, 10000);
*Buy* = Cross(*C*,MA(*C*, 100)); *Buy* = Ref(*Buy*,-1);
*BuyPrice* = *O*;

// set initial exit limit at buy
stp = Ref(ATR(14)*4.5 + abs(*C*-Ref(*C*,-1)),-1);
// hhvstp is 1 when closing price is highest of the past 20 days, else 0
hhvstp = Ref(HHV(*C*,20) == *C*,-1);

sell_proc(*Buy*,*BuyPrice*,stp,hhvstp);

*Buy* = BuyAdjusted;
*BuyPrice* = BuyPriceAdjusted;
*Sell* = SellAdjusted;
*SellPrice* = SellPriceAdjusted;

SetChartOptions(0, *chartShowDates*);
*GraphXSpace* = 5;
Plot(*C*,"C",1,64);

Plot(stopArray,"stopArray",*colorWhite*,1);
Plot(MA(*C*,100),"ma",*colorYellow*,1);

PlotShapes(IIf(*Buy*,*shapeUpArrow*,*shapeNone*),*colorGreen*,0,*L*,-15);
PlotShapes(IIf(*Buy*,*shapeHollowUpArrow*,*shapeNone*),*colorWhite*,0,*L*,-15); 

PlotShapes(IIf(*Buy*,*shapeHollowSmallCircle*,*shapeNone*),*colorWhite*,0,*BuyPrice*,0); 


PlotShapes(IIf(*Sell*,*shapeDownArrow*,*shapeNone*),*colorRed*,0,*H*,-15); 

PlotShapes(IIf(*Sell*,*shapeHollowDownArrow*,*shapeNone*),*colorWhite*,0,*H*,-15); 

PlotShapes(IIf(*Sell*,*shapeHollowSmallCircle*,*shapeNone*),*colorWhite*,0,*SellPrice*,0); 

 
 
 
 
 

    ----- Original Message -----
    *From:* Anthony C. Abry <mailto:a...@gyofukan.com>
    *To:* amibroker@yahoogroups.com <mailto:amibroker@yahoogroups.com>
    *Sent:* Tuesday, December 30, 2008 6:01 AM
    *Subject:* [amibroker] Top Stop Exit programming question

    Hi,

    I am trying to program the Top Stop Exit as described by Volker
    Knapp in
    the September 08 edition of Active Trader Magazine.

    The entry rule is a basic moving average cross (for the trend
    strategy)
    over but the exit is giving me trouble.

    The exit uses a limit order which adjusts up or down depending on the
    volatility.

    The rules are:

    Limit exit: 4.5 times the ATR(14) plus the absolute value of todays
    closing price minus yesterdays closing price.
    If the closing price is highest of the past 20 days, raise the
    exit by
    the absolute value of todays closing price minus yesterdays
    closing price.
    If the price fails to make a new 20 day high, lower the exit price by
    the same amount.

    Any help would be appreciated.

    Thank you.

    /* from active trader mag. sep 08, p.54 */

    SetTradeDelays(1,0,1,0);

    BuyPrice = C;

    Buy = Cross(C,MA(C, 100));

    Entryprice = 0;

    Limitexitprice = 0;

    for (i=0; i < BarCount; i++)
    {

    if (Entryprice == 0 AND Buy[i] == 1)
    {
    Entryprice = BuyPrice[i];
    Limitexitprice = Entryprice + ATR(14)*4.5 + abs(C-Ref(C,-1));
    }
    else

    if (Entryprice > 0 AND H[i] > Limitexitprice[i])
    {
    Sell[i] =1;
    SellPrice[i] = Limitexitprice;
    Entryprice = 0;
    }
    else

    if (Entryprice > 0)
    {
    Limitexitprice = IIf(C > HHV(C,20),
    Limitexitprice + ATR(14)*4.5 + abs(C-Ref(C,-1)),
    Limitexitprice + ATR(14)*4.5 - abs(C-Ref(C,-1)));
    }

    }

    Sell = Cross(C, Limitexitprice);

    Buy = ExRem(Buy,Sell);
    Sell = ExRem(Sell,Buy);