Hi Steve, I am fairly new here but I have been reading this thread between you and Mike. I wrote some fairly simple code that might help you with your original problem. I have used the ApplyStop function in my projects and I think this code will do what you want to do. Your original questions were:
"What do I need to do to make sure: 1. All buys and sells are done as CLOSE+1 (I only use EOD data for mutual funds). 2. Make sure stops are triggered based on the purchase price, not the price on the -1 signal date." I tested my code below on AAPL. It generates just 1 signal (arbitrarily) on the night of 5/4/2010 to buy, which then executes the next day's Close on 5/5/2010. My code only sells via the ApplyStop function. The key setting you need is SetOption( "ActivateStopsImmediately", True). This will make it so that you exit at the Close of the day the stoploss was actually hit, rather than the next day. This combined with the "2" setting for the ExitAtStop parameter in the ApplyStop function will make it so that we get stopped out on 5/6/2010, the day after we entered. (For testing I forced it to get stopped out immediately with a tight 0.5% stoploss.) Try applying this to just one symbol and backtesting. Then right click on the one trade and choose "show arrows for actual trades". On the chart you will then see the entry and exit as you desired I believe. So to summarize, with the settings below, the trade enters the Close of the day after the signal, and the stoploss is triggered right away, but the trade price of the stop exit is still the Close of that bar (rather than the stoploss price.) Hope this helps. -Paul //these settings here override anything you might set in the Settings button area BuyPrice = Close; SellPrice = Close; ShortPrice = Close; CoverPrice = Close; //all entries are made the NEXT day's close; //all exits are made TODAY'S Close; (I don't think this is applicable to the stoplosses though) //again these settings override "Settings Button" settings of automatic analysis window SetTradeDelays(1,0,1,0); //if set to true, it means that stops are activated right after execution of entry signals //once again, this overrides the equilvalent setting in the automatic analysis Settings Button dialog SetOption( "ActivateStopsImmediately", True); //dummy test buy signal generated on night of 5/4/2010; executed on close of 5/5/2010 Buy = Month()==5 AND Day()==4 AND Year()==2010; //never sell normally (only sell with stoploss below). Sell = 0; //from userguide: "2: check High-Low prices but exit NEXT BAR on regular trade price." //however, if you have ActivateStopsImmediately set to true, it will actually exit THIS BAR //(the bar stoploss was penetrated) ExitAtStop = 2; SLpercent = 0.5; //0.5% stoploss ApplyStop(stopTypeLoss, stopModePercent, SLpercent, ExitAtStop, False, 0); --- In [email protected], "graphman27" <st...@...> wrote: > > I use Add artificial bar so that I can see Tuesday's signals. Besides, I don't actually run the backtester for signals at night...I do it the next day. It seems to work fine, I'm just frustrated that the stops don't calculate properly within the backtester. I'll try some of these solutions and/or hire someone to program that STOP section for me. Otherwise, I'll spend too much time on it myself. > > Thanks! > > Steve. > > --- In [email protected], "Mike" sfclimbers@ wrote: > > > > I believe that it will solve your signal price problem. I don't actually use ApplyStop, so my comments are based on what I've read rather than what I've used. > > > > If you rely on the backtester to generate trades, the code provided may not work, since you will need to already have a bar for Tuesday in order to see the trade based on Monday's signal. Perhaps a snapshot prior to Tuesday's close. > > > > An exploration would work, since you would have the Monday data and could search on BuyTrigger instead of Buy, as indicated in my last reply. You could probably write a master exploration that #include each of the multiple rule sets. > > > > Worse case scenario; remove the ApplyStop functionality from your existing script and keep running it in the backtester for signal generation. Just be sure to use the revised one for actual backtesting when doing system analysis. > > > > Mike > > > > --- In [email protected], "graphman27" <steve@> wrote: > > > > > > You are the man again Mike. I will make these changes and give it a test. > > > > > > When you say trade intraday, I just wanted to remind you that I only trade mutual funds. > > > > > > Will this acutally fix the problem of the stop levels using the signal date price and not the purchase date pirce, which is CLOSE+1? > > > > > > Lastly, I think we've gone through this before, but I use the backtester to get live signals. I only trade around 12 symbols and they are typically within the portfolio backtester. An example would be a portfolio with 6 different signals for 6 different symbols. It seems to be the easiest and fastest way to get the signals each day. Otherwise, I would have to run 12-15 different individual symbols, instead of 3 portfolios. > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > Steve, > > > > In response to both this post and your prior one: > > > > 1. Ref(Array, -1) means "what was the value of Array on the bar > > > > previous to this one?".2. BuyPrice = Close means "set the purchase > > > > price to this bar's close". > > > > On Monday you are getting a signal. On Tuesday you want to trade that > > > > signal using Tuesday's Close. That is easily modeled using the two > > > > points above: > > > > BuyTrigger = ...;Buy = Ref(BuyTrigger, -1); // 1. If Monday had a > > > > signal, then buy it today (Tuesday).BuyPrice = Close; // Use today's > > > > (Tuesday) Close as the purchase price. > > > > This sets you up perfectly for Scenario 2 of ApplyStop which says that > > > > you trade on today's Close (Tuesday) and want to exit intraday from that > > > > point on (i.e. you have a stop loss order with your broker that will > > > > stop you out anytime the price falls below your stated max loss). The > > > > ApplyStop is independent of your Sell logic. Your Sell will still exit > > > > at the Close, but your stop may exit intraday. > > > > Completing your code sample gives the following: > > > > /* > > > > Scenario 2: > > > > You trade on today's close and want to exit intraday on stop price > > > > > > > > Correct settings: > > > > A. ActivateStopsImmediately turned OFF > > > > B. ExitAtStop = 1 > > > > C. Trade delays set to zero > > > > D. Trade price set to close > > > > */ > > > > > > > > SetOption("ActivateStopsImmediately", false); // A. > > > > ActivateStopsImmediately turned OFF > > > > SetTradeDelays(0, 0, 0, 0); // C. Trade delays set to zero > > > > > > > > BuyTrigger = Cross(StochFinal, Trigger) AND (EMA(Close, EMAShort) > > > > > EMA(Close, EMALong)); > > > > Buy = Ref(BuyTrigger, -1); > > > > BuyPrice = Close; // D. Trade price set to close > > > > > > > > SellTrigger = Cross(Trigger, StochFinal) AND (EMA(Close, EMAShort) < > > > > EMA(Close, EMALong)); > > > > Sell = Ref(SellTrigger, -1); > > > > SellPrice = Close; // D. Trade price set to close > > > > > > > > ApplyStop( stopTypeLoss, > > > > stopModePercent, > > > > Optimize("max. loss stop level", 2, 2, 10, 2), > > > > 1, // B. ExitAtStop = 1 > > > > False); > > > > > > > > > > > > I can't fully test your code since your assignments for StochFinal and > > > > Trigger were not provided. But, I believe that the above will solve your > > > > problem. > > > > If you want to run an Exploration each night to see what you should be > > > > trading the next day, just use AddColumn to output the values of > > > > BuyTrigger and SellTrigger instead of Buy and Sell respectively. > > > > Mike > > > > > > > > --- In [email protected], "graphman27" <steve@> wrote: > > > > > > > > > > I want to simplify my life, believe me. I'm having a bit of > > > > difficulty following what you're saying to do. Here is some sample > > > > code, just in case I'm not being clear: > > > > > > > > > > Buy = Cross(StochFinal,Trigger) AND (EMA( Close,EMAShort ) > EMA( > > > > Close,EMALong )); > > > > > > > > > > Sell = Cross(Trigger,StochFinal) AND (EMA( Close,EMAShort ) < EMA( > > > > Close,EMALong )); > > > > > > > > > > Plot( EMA ( Close,2 ),"Short EMA", colorGreen, styleThick ); > > > > > Plot( EMA ( Close,10 ),"Long EMA", colorRed, styleThick ); > > > > > Plot( StochFinal ,"Period", colorGreen, styleThick ); > > > > > > > > > > /* max loss stop optimization */ > > > > > > > > > > ApplyStop(stopTypeLoss, > > > > > stopModePercent, > > > > > Optimize( "max. loss stop level", 2, 2, 10, 2 ), > > > > > 2, > > > > > False ); > > > > > > > > > > What do I need to do to make sure: > > > > > > > > > > 1. All buys and sells are done as CLOSE+1 (I only use EOD data for > > > > mutual funds). > > > > > 2. Make sure stops are triggered based on the purchase price, not the > > > > price on the -1 signal date. > > > > > > > > > > Right now, under settings, I have Buys and Sells set to CLOSE +1. > > > > > > > > > > Thanks! > > > > > > > > > > --- In [email protected], "Mike" sfclimbers@ wrote: > > > > > > > > > > > > Hi, > > > > > > > > > > > > Since you are trading the Close, you could simplify your life by > > > > following one of the well defined scenarios from the ApplyStop > > > > documentation: > > > > > > > > > > > > http://www.amibroker.com/guide/afl/afl_view.php?id=20 > > > > > > > > > > > > In your case, follow scenario 2 and take your trades based on > > > > yesterday's signal. > > > > > > > > > > > > e.g. > > > > > > > > > > > > SetTradeDelays(0, 0, 0, 0); > > > > > > > > > > > > Trigger = ...; > > > > > > Buy = Ref(Trigger, -1); > > > > > > BuyPrice = Close; > > > > > > > > > > > > Your signal still shows up Monday night. But, you don't act on it > > > > until Tuesday Close. That's what you're doing in real life anyway, so > > > > just make your code show the same. > > > > > > > > > > > > Mike > > > > > > > > > > > > --- In [email protected], "graphman27" <steve@> wrote: > > > > > > > > > > > > > > Question: When stops are coded afl instead of setup under > > > > settings, do they disregard the system settings for Buy Price and Buy > > > > Delay? Currently, I have the latter set to Buy Price = Close+1 Day Buy > > > > Delay. For a new strategy I am working on, I notice that during live > > > > testing something doesn't jive. Here is an example... > > > > > > > > > > > > > > Note: I always use EOD data and CLOSE +1, to get "tradable" > > > > signals for mutual funds and indices: > > > > > > > > > > > > > > Monday Night: Formula gave buy signal for Emerging Markets after > > > > the close. With CLOSE+1 Day delay, that would mean buy at Tuesday's > > > > Close. > > > > > > > > > > > > > > Tuesday Night: Max Loss Stop is triggered because of a -3.5% drop > > > > in the Emerging Markets on Tuesday. > > > > > > > > > > > > > > Wednesday at the close, mutual fund is sold. > > > > > > > > > > > > > > Question: How could a Max Loss Stop be triggered if that fund > > > > wasn't purchased until AFTER Tuesday's big drop? Since it was purchased > > > > AFTER the drop, there was no loss of -3.5% going into Wednesday. > > > > > > > > > > > > > > Here is an example of a typical mutual fund compatible coded stop: > > > > > > > > > > > > > > ApplyStop(stopTypeLoss, > > > > > > > stopModePercent, > > > > > > > Optimize( "max. loss stop level", 2, 2, 10, 2 ), > > > > > > > False ); > > > > > > > > > > > > > > Do I have to code something else to make sure the STOP is > > > > triggered based on the CLOSE+1 purchase price and NOT the BUY SIGNAL > > > > Price? Or, do I need to code the Buys and Sells inside the formula as > > > > CLOSE+1 instead of relying on system settings? OR, none of the above? > > > > > > > > > > > > > > Thanks in advance for your help, as usual! > > > > > > > > > > > > > > Steve. > > > > > > > > > > > > > > > > > > > > > > > > > > > >
