Hi Mark, thanks for sharing this code. this will definitely help me in my further study of the market.
I am just starting in Amibroker so i'm not yet an accomplished programmer. (i doubt i ever will be) I know it's probably an open door but here it is anyway: a good stoploss is indeed essential to all trading systems. what is equally important, imo, is a good profit target mechanism as a way to get out of a trade. I find the classic pivots to do a marvelous job at that. I usually calculate pivots depending on the time frame i'm trading, (around 30 to 60 bars) i.e. 1 hour pivots for a minute chart or weekly pivots for a hourly chart. hope this helps you in some way. Thanks for sharing, Marc. --- In [email protected], "r22mark" <mtf...@...> wrote: > > Hi. > > Money / risk management is an area of interest to me. I have tried to create > a "smart" trailing stop, one that adjusts itself. There is also some stuff > that people may not have encountered - Fixed Fractional Position Sizing with > margin (to mimic CFD's) , various buy "filters", PositionScore, and the Graph > / indicator plot code is handy for displaying trade arrows, and trade prices. > Hope there is something of use for you. This is NOT a ready to trade system - > you will likely find results are poor. It IS an example of what can be done > other than a basic trail stop. This is an ongoing project. Plot it or drag it > onto a chart to view / adjust the parameters. > > The risk management side has: > - initial stop set at 20%. > - after 5 days stop raised /risk reduced by 50% > - stop moved to break even after 10 days > - after 15 days stop raised / risk reduced by 50% > - at any time you have 3 lower lows, risk is reduced by 25%, every time. > - these can all adjusted via parameters. > > Again this is a code in progress, I use Plot() to verify what is happening at > each bar. If you want to check my work, uncomment them. Let me know if you > find any errors. > > So people. Comments? Ideas? Feedback? I haven't heard of anyone doing "smart" > trail stops. Or am I am just wasting my time? > > Mark > > > SetTradeDelays (0,0,0,0); > SetOption("InitialEquity", 100000); > SetOption("AccountMargin", 10); // only put up 10% funds, > buying power x 10 > SetOption("CommissionMode", 1); > SetOption("CommissionAmount", 0.10); // .1% commission per entry / > exit > SetOption("MaxOpenPositions", 12); > SetOption("AllowSameBarExit", True); > > // FIXED FRACTIONAL POSITION SIZING > CapRisk = Param("CapitalRisk", 2, 1,5,0.5); // capital risk % > MaxCap = 10; // max capital % in one trade > (10% capital = 2% stop) > StopPct = Param("StopPct", 20, 1,25,1)/100; // stop % - initial risk > FFRisk = Min(CapRisk/(StopPct*BuyPrice)*BuyPrice/10, MaxCap); > "FF risk = " +WriteVal(ffrisk, 1.2); > SetPositionSize(FFRisk * 10, spsPercentOfEquity); > > > // POS SCORE - BANG FOR BUCK ($10,000) > B4B = 10000/Ref(C,-1)*Ref(ATR(200),-1)/100; > "10k BFB = " +WriteVal(B4B, 1.2); > PositionScore = B4B; > > > // INDEX TREND FILTER - 2 x moving averages > SetForeign("$DJ"); // change to whatever index is of interest > IFa = Param("IF FMA", 30,0,100,5); IFb = Param("IF SMA", 100,0,300,5); > IFx = EMA(C,IFa); IFy = MA(C,IFb); IndexFilter = IFx > IFy; > //Plot(IFx, "IF FMA", colorBlue, styleLine); Plot(IFy, "IF SMA", > colorOrange, styleLine); > //PlotForeign("XAO", "All Ords", colorBlack, styleLine); > //Plot(IndexFilter,"Index Filter", colorBlack, styleLine); > RestorePriceArrays(); > > > // TREND FILTER - 2 x moving averages > j = Param("FMA", 30,0,50,5); k = Param("SMA", 100,0,100,5); > FMA = EMA(C,j); SMA = EMA(C,k); TF = FMA > SMA; > //Plot(FMA, "FMA", colorBlue, styleLine); Plot(SMA, "SMA", colorOrange, > styleLine); > > > // VOL FILTER - MONEY FLOW > $1 MILLION > VF = EMA(V*C,21) > 1000000; > Filter = VF; AddColumn(VF, "volFilter"); AddColumn(EMA(V*C,21), "V*C", 1.2); > // leaves approx 225 from ASX 300 > > BDC1 = Param("#buydays", 20, 5,50,5); > BDC2 = Param("#buydays2", 70, 5,100,5); > Cond1 = H > Ref(HHV(H,BDC1),-1) + 0.01; > Cond2 = H > Ref(HHV(H,BDC2),-1) + 0.01; > Buy = Cond1 AND Cond2 AND IndexFilter AND VF AND TF; > BuyPrice = Max(O, Ref(HHV(H,BDC1),-1) + 0.01); > > Sell = 0; > > // REDUCE RISK - RAISE STOP X 2, RAISE TO BREAKEVEN, TIGHTEN AFTER 3 DOWN > DAYS > MSD = Param("#DaysB4MoveStop1", 5, 0,50,1) -1; // needs -1 to calculate > correctly > RSP = (100-Param("%raiseStop1By", 50, 0, 100, 5)) / 100; > MSD2 = Param("#DaysB4MoveStop2", 15, 0,50,1) -1; > RSP2 = (100-Param("%raiseStop2By", 50, 0, 100, 5)) / 100; > MSBE = Param("#DaysB4MoveStopBE", 10, 0,50,1) -1; > TSDM = 1 + Param("%raiseStop3DownDays", 25, 0,100,5) / 100 * StopPct; > WriteVal(tsdm); > IS = BuyPrice - (BuyPrice*StopPct); > NS = Ref(C,-1) - (Ref(C,-1)*StopPct); // initial stop > NS2 = Ref(C,-1) - (Ref(C,-1)*StopPct*RSP); // reduce risk > NS3 = Ref(C,-1) - (Ref(C,-1)*StopPct*RSP*RSP2); // reduce risk again > > > TS = 0; OpenPos = 0; j = 0; BES = Null; TSD = 0; LowDown = 0; > TSa = Null; Spa = Null; ja = Null; nsa = Null; ns2a = Null; > bpa = Null; besa = Null; ns3a = Null; TSDa = Null; Checka = Null; > > for(i=1; i<BarCount; i++) > { > if(Buy[i] AND OpenPos == 0 AND TS[i] == 0) { > Buy[i] = 1; > bpa[i] = BuyPrice[i]; > bes[i] = BuyPrice[i] * 1.005; // .5% to cover comissions, etc > besa[i] = bes[i]; > TS = IS[i]; > OpenPos = 1; > j = 0; > TSD = L[i] - TS; > TSDa[i] = TSD; > } > else Buy[i] = 0; > if(OpenPos == 1 AND TS[i] > 0 AND L[i] <= TS[i]) { > Sell[i] = 1; > SellPrice[i] = Min(O[i], TS[i]); > SPa[i] = SellPrice[i]; > TS = 0; > OpenPos = 0; > j = 0; > BES[i] = 0; > TSD = 0; > TSDa[i] = TSD; > LowDown = 0; > } > else Sell[i] = 0; > // reduce risk after x days, first time > if(TS[i] > 0 AND j <= MSD) { > TS = Max(TS[i], NS[i]); > TSa[i] = TS[i]; > NSa[i] = NS[i]; > } > if(TS[i] > 0 AND j > MSD) { > TS = Max(TS[i], NS2[i]); > TSa[i] = TS[i]; > NS2a[i] = NS2[i]; > } > // reduce risk after x days, second time > if(TS[i] > 0 AND j >= MSD2) { > TS = Max(TS[i], NS3[i]); > TSa[i] = TS[i]; > NS3a[i] = NS3[i]; > } > // raise stop to BE after x days > if(OpenPos == 1) { > BES[i] = Max(BES[i], BES[i-1]); > BESa[i] = BES[i]; > } > if(OpenPos == 1 AND j == MSBE) { > TS = Max(TS[i], BES[i]); > TSa[i] = TS[i]; > BESa[i] = BES[i]; > } > // TSD getting smaller over last 3 days > if(TS[i] > 0) { > TSD[i] = L[i] - TS[i]; > TSDa[i] = TSD[i]; > if(TSD[i] < TSD[i-1] AND TSD[i-1] < TSD[i-2] AND TSD[i-2] < TSD[i-3]) { > TS = Max(TS[i], TS[i] * TSDM); > TSa[i] = TS[i]; > LowDown = 1; > Checka[i] = LowDown; > } > } > j++; ja[i] = j; > } > > Plot(TSa, "Trail Stop", colorBlue, styleLine); > //Plot(bpa, "buyprice", colorGreen, styleLine); > //Plot(spa, "sellprice2", colorRed, styleLine); > //Plot(ja, "j", colorBlack, styleNoLine); > //Plot(NSa, "NS", colorBlack, styleLine); > //Plot(NS2a, "NS2", colorOrange, styleLine); > //Plot(NS3a, "NS3", colorBrown, styleLine); > //Plot(besa, "BES", colorBrightGreen, styleLine); > //Plot(TSDa, "TSD", colorRed, styleLine); > //Plot(Checka, "checkTSD", colorGreen, styleLine); > > > // GRAPH / INDICATOR PLOT > arrows = ParamToggle("Show Buy / Sell arrows?", "Yes please", 0); > if(arrows == 1) { > PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,Low); > PlotShapes(Sell*shapeDownArrow,colorRed,0,High); > } > bliss = ParamToggle("Show Buy / Sell Prices", "Oh yeah! ",0); > if(bliss == 1) { > PlotShapes( IIf(Buy, shapeSmallCircle, shapeNone),colorBrightGreen, 0, > BuyPrice, 0 ); > PlotShapes( IIf( Sell, shapeSmallCircle, shapeNone),colorRed, 0 ,SellPrice, > 0 ); > FirstVisibleBar = Status( "FirstVisibleBar" ); > Lastvisiblebar = Status("LastVisibleBar"); > for( b = Firstvisiblebar; b <= Lastvisiblebar AND b < BarCount; b++) > { > if( Buy[b] ) PlotText("\n Buy\n > "+NumToStr(BuyPrice[b],1.2),b,BuyPrice[b],colorBrightGreen); > else if( Sell[b] ) PlotText("\n Sell\n > "+NumToStr(SellPrice[b],1.2),b,SellPrice[b],colorRed); > } > } >
