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 amibroker@yahoogroups.com, "graphman27" <st...@...> 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 amibroker@yahoogroups.com, "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 amibroker@yahoogroups.com, "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.
> > >
> >
>
