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Keith,
the problem is that SAR() does not accept the
arrays of "High" and "Low" (I do not remember wheter SAR is using "Close"),i.e.
it internaly uses array of closing price for the currently selected
security.
To work around this you need to re-assign "close"
to to to some temporary array:
Replace
Cl=<FONT
color=#0000ff>Foreign("^tmti",<FONT
color=#ff00ff>"C");
s = SAR (accel,
maxS);
by
qqqClose = close;
qqqHigh = High;
qqqLow = Low;
Cl=<FONT
color=#0000ff>Foreign("^tmti",<FONT
color=#ff00ff>"C");
Hg = Foreign ("^tmti", "H");
Lo = Foreign ("^tmti", "L");
C=close = Cl; // I'm not sure whether C should be reassigned as well.
// Probably close = Cl; is enough
H = High = Hg;
L = Low = Lo;
s = <FONT face=Arial
color=#0000ff>SAR (accel, maxS);
C=close = qqqClose; // restore original values
H = High = qqqHigh;
L = Low = qqqLow;
Regards,
Dima.
PS. I CC my response to AmiBroker group so
Tomasz/Dimitris or other AFL gurus can correct me if I'm wrong.
<BLOCKQUOTE dir=ltr
>
----- Original Message -----
<DIV
>From:
Keith
Bennett
To: <A title=rasnitsyn@xxxx
href="">Dima Rasnitsyn
Sent: Friday, November 16, 2001 10:38
AM
Subject: SAR
Dima,
Thank you for your helpful fax which hasenabled
me to make progress. I would appreciate it if you could find the time to check
my code, which I think may contain a logical error.
Explanation:
I am using a custom index (^TMTI) to track the
market. Go LONG when the Index Closing Price is above theSAR.
Go SHORT when the Index Closing Price is below the
SAR. Additionally, before going LONG the Index must be
above a fixed level, and before going SHORT the Index must be below a fixed
level. This section of code is running correctly, and if I set Automatic
Analysis - Current Stock to ^TMTI, I get an acceptable listing of Entry
and Exit dates. (See Below).
Objective:
I want to use these ^TMTI/SAR signals totime my
market entry and exit using other tickers - for example QQQ.
When the TMTI Index Closing Price is above the
SAR, AND the Closing Price is higher than the set level, I go long QQQ. When
the TMTI Index Closing Price is below the SAR, AND the Closing Price is lower
than the set level, I go short QQQ.
When I set Automatic Analysis - Current Stock to
QQQ, no trades are selected. Is there an error in my code, in my logic, or am
I trying to do something which is not possible with AFL ? I have noticed
that if I remove LoLimit and HiLimit from BuyBreak and SellBreak, I can get a
list of trades, but of course they are not acceptable.
I have done something similar to the above using
EMA crossovers instead of SAR, and everything worked just fine. I can't
understand why this does not and would appreciate your help.
Keith
//Index tracker//
Cl=<FONT
color=#0000ff>Foreign("^tmti",<FONT
color=#ff00ff>"C");
accel=<FONT face=Arial
color=#ff00ff>0.06;
accel=<FONT face=Arial
color=#0000ff>LastValue(accel);
accel=<FONT
color=#0000ff>Optimize("accel",accel,<FONT
color=#ff00ff>0.01,0.2,<FONT
color=#ff00ff>0.01);
maxS =<FONT face=Arial
color=#ff00ff>0.5;
maxS =<FONT face=Arial
color=#0000ff>LastValue(maxS);
maxS = <FONT
color=#0000ff>Optimize ("Max", maxS, <FONT
color=#ff00ff>0.1, 0.6, <FONT
color=#ff00ff>0.1);
s = <FONT face=Arial
color=#0000ff>SAR (accel, maxS);
signalPrice = <FONT
color=#0000ff>Ref (s, -1<FONT
face=Arial>);
LoLimit=<FONT face=Arial
color=#ff00ff>7;
LoLimit=<FONT face=Arial
color=#0000ff>LastValue(LoLimit);
LoLimit=<FONT
color=#0000ff>Optimize(<FONT
color=#ff00ff>"LoLimit",LoLimit,2,<FONT
color=#ff00ff>7,0.5<FONT
face=Arial>);
HiLimit=<FONT face=Arial
color=#ff00ff>15;
HiLimit=<FONT
color=#0000ff>LastValue(HiLimit);
HiLimit=<FONT
color=#0000ff>Optimize(<FONT
color=#ff00ff>"HiLimit",HiLimit,8,<FONT
color=#ff00ff>15,0.5<FONT
face=Arial>);
BuyBreak = Cl > signalPrice AND
Cl < LoLimit;
SellBreak = Cl < signalPrice AND
Cl > <FONT
face=Arial>HiLimit;
Buy=
BuyBreak;
Sell
=SellBreak;
Buy =
ExRem
(Buy, Sell);
Sell =
ExRem
(Sell,Buy);
Short<FONT face=Arial
size=2>=Sell;
Cover<FONT face=Arial
size=2>=Buy;
Trade list for ^TMTI
Trade
Entry date
Exit date
Out
1/2/1998
3/5/1998
Short
3/5/1998
6/17/1998
Long
6/17/1998
7/8/1998
Short
7/8/1998
8/7/1998
Long
8/7/1998
11/9/1998
Short
11/9/1998
2/24/1999
Long
2/24/1999
5/3/1999
Short
5/3/1999
8/11/1999
Long
8/11/1999
11/22/1999
Short
11/22/1999
4/11/2000
Long
4/11/2000
7/18/2000
Short
7/18/2000
10/17/2000
Long
10/17/2000
2/7/2001
Short
2/7/2001
3/28/2001
Long
3/28/2001
5/11/2001
Short
5/11/2001
9/25/2001
Open Long
9/25/2001
11/12/2001
<FONT face=Arial
size=2>
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