Re: [amibroker] Top Stop Exit programming question

[Anthony C. Abry]

Ok, I found it.

The entry is
Buy = C > MA(C,100); 

rather than the cross(C,MA(C,100));

Volker Knapp actually depicts two methods in the Active Trader Magazine 
article, one for trend and one range (i.e. counter trend).

The counter trend entry is:

Long at market if todays low is 10% below the high 4 days ago
Initial Exit: limit order at 2.5 * ATR(10) plus abs(todays C minus 
yesterdays C)
Trailing Exit: If C is the highest of the past 10 days, raise the limit 
order by the abs(C - yesterdyas C). If it fails to make a 10 days high 
close, lower it by the same amount.

He says that the method underperforms a Buy and Hold of the SP500, 
however, he likes that the equity curve looks smoother.

Anthony


Edward Pottasch wrote:



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 <mailto:a...@gyofukan.com>
    *To:* amibroker@yahoogroups.com <mailto: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 <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);