Pretty insane results with some select ETFs - tried it with EEM and SPY and results in the +90% success rate. Makes me doubt the results!
I'd love to see this code actually get to a portfolio - so, start by determining taking initial equity and then dividing it among a set number of positions (say 4) to see how it would do with a portfolio. --- In [email protected], "longt3rm" <longt...@...> wrote: > > droskill, > > First -- thanks for many posts (here and others) I've read of yours which > have helped me greatly. > > Code below: > ---------------------------------------- > //Created by Mike > http://finance.groups.yahoo.com/group/amibroker/message/146956 > //Updated per Mike > http://finance.groups.yahoo.com/group/amibroker/message/146967 > //Update by Bill to change EMA to MA and change from fixed shares to fixed > dollar > > SetTradeDelays(0, 0, 0, 0); > BuyPrice = Close; > SellPrice = Close; > > previousClose = Ref(Close, -1); > rsi2 = RSI(2); > > Sell = Cross(rsi2, 70); > > //bull100 = Close > EMA(Close, 200) AND Sum(rsi2 < 25, 2) == 2; > bull100 = Close > MA(Close, 200) AND MA(Close, 200) > 0 AND Sum(rsi2 < 25, > 2) == 2; > inFirstPos = Flip(bull100, Sell); > firstTrigger = ExRem(inFirstPos, Sell); > > bull200 = Close < ValueWhen(firstTrigger, Close) AND inFirstPos AND > Ref(inFirstPos, -1); > inSecondPos = Flip(bull200, Sell); > secondTrigger = ExRem(inSecondPos, Sell); > > bull300 = Close < ValueWhen(secondTrigger, Close) AND inSecondPos AND > Ref(inSecondPos, -1); > inThirdPos = Flip(bull300, Sell); > thirdTrigger = ExRem(inThirdPos, Sell); > > bull400 = Close < ValueWhen(thirdTrigger, Close) AND inThirdPos AND > Ref(inThirdPos, -1); > inFourthPos = Flip(bull400, Sell); > fourthTrigger = ExRem(inFourthPos, Sell); > > Buy = firstTrigger + (secondTrigger * sigScaleIn) + (thirdTrigger * > sigScaleIn) + (fourthTrigger * sigScaleIn); > //SetPositionSize(IIf(firstTrigger, 100, IIf(secondTrigger, 200, > IIf(thirdTrigger, 300, 400))), spsShares); > SetPositionSize(IIf(firstTrigger, 1000, IIf(secondTrigger, 2000, > IIf(thirdTrigger, 3000, 4000))), spsValue); > > > priceColors = IIf(Close > previousClose, colorDarkGreen, IIf(Close < > previousClose, colorDarkRed, colorDarkGrey)); > buyColors = IIf(firstTrigger, colorGreen, IIf(secondTrigger, colorLime, > IIf(thirdTrigger, colorYellow, colorOrange))); > > Plot(Close, "Price", priceColors, styleBar); > PlotShapes((Buy > 0) * shapeUpArrow, buyColors, 0, L, -10); > PlotShapes(Sell * shapeDownArrow, colorRed); > ---------------------------------------- > > --- In [email protected], "droskill" <droskill@> wrote: > > > > Bill - can you post the total code? I'd love to have an example of this as > > I have been trying to do the same thing. > > > > --- In [email protected], "longt3rm" <longt3rm@> wrote: > > > > > > Mike, > > > > > > Fantastic, it works! > > > > > > Thank you for your help! > > > > > > Bill > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > Bill, > > > > > > > > You would need to calculate the trigger first (i.e. ExRem of position > > > > state), then use ValueWhen. > > > > > > > > e.g. Something like the following: > > > > > > > > thirdTrigger = ExRem(inThirdPos, Sell); > > > > bull400 = Close < ValueWhen(thirdTrigger, Close) AND inThirdPos AND > > > > Ref(inThirdPos, -1); > > > > > > > > The key being that Flip will give all 1's for the duration that we are > > > > in the position, whereas ExRem will remove redundant 1's leaving only > > > > those bars where the condition was first met. Thus, ValueWhen gives the > > > > Close of the most recent bar meeting that condition. > > > > > > > > Mike > > > > > > > > --- In [email protected], "longt3rm" <longt3rm@> wrote: > > > > > > > > > > Mike, > > > > > > > > > > Thank you! That helps significantly!! > > > > > > > > > > The one item I'm not able to figure out is how to track the last > > > > > entry price so we can check to see if the current close is lower than > > > > > our last entry. > > > > > > > > > > I believe (I could be mistaken) the sample you kindly provided is > > > > > checking to see if today's close is less than yesterday's close. I > > > > > would like to compare today's close to our last entry price. > > > > > > > > > > Thanks again for helping so much. I am slow to grasp AFL. > > > > > > > > > > Sincerely, > > > > > > > > > > > > > > > Bill > > > > > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > > > > > Hi, > > > > > > > > > > > > I posted some code to a related question here: > > > > > > http://finance.groups.yahoo.com/group/amibroker/message/146956 > > > > > > > > > > > > Short answers: > > > > > > 1. Use Flip function to capture current position "state". > > > > > > 2. Use state captured above AND'ed with next criteria. > > > > > > > > > > > > See if that helps. > > > > > > > > > > > > Mike > > > > > > > > > > > > --- In [email protected], "longt3rm" <longt3rm@> wrote: > > > > > > > > > > > > > > Hello, > > > > > > > > > > > > > > Goal Description: > > > > > > > 1) Initial $500 position opened when RSI(2) < 25 > > > > > > > 2) Add $1000 to position when entry price for #1 is less than > > > > > > > current close. (regardless of value for RSI(2)) > > > > > > > 3) Add $1500 to position when entry price for #2 is less than > > > > > > > current close. (regardless of value for RSI(2)) > > > > > > > 4) If all three positions are entered, we would have a total > > > > > > > position of $3,000 > > > > > > > > > > > > > > > > > > > > > Two questions / problems: > > > > > > > 1) What is the most efficient way to determine if we have a > > > > > > > position and if we do, is it the first ($500) or second > > > > > > > ($500+$1000=$1500)? > > > > > > > 2) If the initial buy is "Buy = RSI(2)", how do we tell AmiBroker > > > > > > > that RSI(2) is not longer needed, we just need current close > > > > > > > > last position entry price. > > > > > > > > > > > > > > Thanks for any suggestions. > > > > > > > > > > > > > > Sincerely, > > > > > > > > > > > > > > > > > > > > > Bill > > > > > > > > > > > > > > > > > > > > > > > > > > > >
