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Hi all
I hope someone can help me out with my trailing stops problem. Now that
I have purchased the s/w I can backtest multiple securities. However,
when I backtest trying to use the 'percent of profit' type stops, I have
a problem. Let's say I short MMM at the open at 50.00, with a trailing
'percent of profit' stop of 20%. If MMM trades down to 49.80 by days
end, all is well. However, if it opens at 49.90 the next day, I am
stopped out because $0.10 is 50% of my total profit which is $0.20.
I asked Marcin for some help with this and he sent me the following
code. I am not sure if he meant this as a fix for my specific problem or
not. The trouble is... and I am sorry about this... the following
doesn't mean much to me, being a total AFL newbie.
Can anyone review the following and either give me a plain English idea
of what it says or simply re-read the above and suggest a way that I can
tell AB that I want to give my trades a bit of 'room to breathe' and
that even if a trade goes immediately positive, then backs up and maybe
even goes slightly negative, that I want to stay in? I can envision
using an n-bars stop, but how can I tell AB to not allow the 'percent of
profit' stop to kick in until xx actual profit has been made (a
threshold large enough that I am not taken out prematurely)?
Yes, I have read all the helps re: trailing stops and if someone can
show me where this specific issue is addressed, I would welcome it.
I wish I could offer more (or more accurately, anything at all) in
return for the help... maybe someday.
Regards, Nikku
/* a sample low-level implementation of trailing stop in AFL: */
Short = your rule here
trailstop =0;
for( i = 1; i < BarCount; i++ )
{
if( trailstop == 0 && Short[ i ] ) trailstop = High[ i ];
if( trailstop > 0 AND High[ i ] > trailstop )
{
Cover[ i ] = True;
CoverPrice[ i ] = trailstop;
trailstop= 0;
}
else Cover[ i ] = 0;
if( trailstop > 0 )
{
trailstop = Min( High[ i - 1 ], trailstop );
}
}
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