Re: [amibroker] Top Stop Exit programming question

[Edward Pottasch]

ok good. Maybe if you provide some more details on the stop method or where it 
seems to go wrong I could help. On a first glanse the stop looks interesting 
but some tests do not give very good results. So maybe I missed some details of 
how it should work. Guess the idea is to let winners run and cut losers short. 
But is seems to cut of winners too early.

regards, Ed





  ----- Original Message ----- 
  From: Anthony C. Abry 
  To: amibroker@yahoogroups.com 
  Sent: Wednesday, January 07, 2009 7:37 AM
  Subject: Re: [amibroker] Top Stop Exit programming question


  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 
      To: 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);