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Hello GP,
After reading your reply I've just realised that I have already asked
you this on another forum. My apologies!!!
Thanks for taking the time to help out though....
All the best....
--- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@xxx>
wrote:
>
> Chorlton,
>
> Sorry, I haven't really looked much at SAR. I'd say you'd need to
> calculate a modified version of your own for what you want though.
You
> can find the formula on Wikipedia here:
>
> http://en.wikipedia.org/wiki/Parabolic_SAR
>
> Take a look at how that works and see if you can see what needs
> changing to get it to do what you want.
>
> Regards,
> GP
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "chorlton_c_hardy"
> <chorlton-c-hardy@> wrote:
> >
> >
> > Hello GP,
> >
> > Thanks for the reply.
> >
> > I wasn't really expecting a response but I'm so glad that you did
as
> > you have explained it very well.
> >
> > Many Thanks....
> >
> > On a slightly different topic, as you've already been most
helpful,
> > would you have any ideas/opinions with regard to my other recent
post
> > entitled SAR Indicator (post # 117994)
> >
> > Once again Thanks,
> >
> > Chorlton
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@>
> > wrote:
> > >
> > > Chorlton,
> > >
> > > The loop code does the same thing as the first three lines, but
> > allows
> > > you to remove extra buy signals as you go so that they don't
affect
> > > the sell array (since sell signals are based on the date of buy
> > signals).
> > >
> > > The HighestSince line just says set hsb to the highest value of
the
> > > AccDist array since the most recent buy signal (which is where
you
> > can
> > > get a problem if there's a new buy signal while you're still
> > holding).
> > > Sell is then the AccDist value dropping more than 10% below that
> > > highest value. Note that hsb is an array in this case.
> > >
> > > The loop is broken into two main cases: when it's not holding
> > already,
> > > and when it is. When it's not holding, it's looking for buy
signals.
> > > When it is holding, it removes any more buy signals and just
looks
> > for
> > > sell signals. When not holding and a buy signal is encountered,
it
> > > changes the state to holding (ie. doHold = True) and sets the
> > highest
> > > AccDist value (hsb) to the current bar's AccDist value. When
> > holding,
> > > it first checks for the current bar's AccDist value being
higher
> > than
> > > the highest already recorded, and changes the highest to the new
> > > higher value if so, then checks to see if the current bar's
AccDist
> > > value is more than 10% below the currently-recorded highest
value.
> > If
> > > so, then that's a sell signal, in which case it sets the Sell
array
> > to
> > > True at that bar, and changes the state to not holding (doHold =
> > > False). Note that hsb is a single value in this case, not an
array.
> > >
> > > Hope this helps.
> > >
> > > Regards,
> > > GP
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "chorlton_c_hardy"
> > > <chorlton-c-hardy@> wrote:
> > > >
> > > >
> > > > Hello GP,
> > > >
> > > > Thanks for your detailed reply.
> > > >
> > > > Looking at the code posted, I think I will need to refer back
to
> > the
> > > > manual just to ensure that I understand what every line of
code
> > is
> > > > actually doing, as my programming is pretty basic!!! :-/
> > > >
> > > > However, I do appreciate your time in posting the answer.
> > > >
> > > > Many Thanks & All the best,
> > > >
> > > > Chorlton
> > > >
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney"
<gp.investment@>
> > > > wrote:
> > > > >
> > > > > That's not really a trailing stop, since the AccDist line
can
> > fall
> > > > as
> > > > > long as it doesn't exceed your limit.
> > > > >
> > > > > You could try something like:
> > > > >
> > > > > ad = AccDist();
> > > > > hsb = HighestSince(Buy, ad);
> > > > > Sell = ad < hsb*0.9;
> > > > >
> > > > > Note though that this will be upset by new buy signals
before a
> > sell
> > > > > if the AccDist value has dropped somewhat from its highest
> > value
> > > > since
> > > > > the last buy. When you hit a new buy, hsb will then be the
> > highest
> > > > > since that buy, which may be lower than the highest value
since
> > the
> > > > > original buy. This could allow AccDist to drop more than
10%
> > from
> > > > the
> > > > > highest value since the original buy without triggering a
sell.
> > If
> > > > you
> > > > > want to avoid that, you'd probably need to generate the
Sell
> > array
> > > > > iteratively using a loop, removing redundant Buy signals as
you
> > go:
> > > > >
> > > > > ad = AccDist();
> > > > > Sell = False;
> > > > > hsb = 0;
> > > > > doHold = False;
> > > > > for (i = 0; i < BarCount; i++)
> > > > > {
> > > > > if (!doHold)
> > > > > {
> > > > > if (Buy[i])
> > > > > {
> > > > > doHold = True;
> > > > > hsb = ad[i];
> > > > > }
> > > > > }
> > > > > else
> > > > > {
> > > > > Buy[i] = False;
> > > > > if (ad[i] > hsb)
> > > > > hsb = ad[i];
> > > > > if (ad[i] < hsb * 0.9)
> > > > > {
> > > > > doHold = False;
> > > > > Sell[i] = True;
> > > > > }
> > > > > }
> > > > > }
> > > > >
> > > > > Regards,
> > > > > GP
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "chorlton_c_hardy"
> > > > > <chorlton-c-hardy@> wrote:
> > > > > >
> > > > > > Hello All,
> > > > > >
> > > > > > I'm tryin to code a trailing stop loss but am having a
number
> > of
> > > > > > problems with writing the code.
> > > > > >
> > > > > > What I'm trying to achieve is:
> > > > > >
> > > > > > 1. Once a Buy signal appears from my system, the value of
the
> > > > current
> > > > > > AccDist() Line should be recorded.
> > > > > >
> > > > > > 2. As long as the AccDist() moves upwards the trade
should
> > remain
> > > > > > open.
> > > > > >
> > > > > > 3. However, once the AccDist() line falls by a certain
> > percentage
> > > > > > (say 10% for this example) from its Highest value since
the
> > trade
> > > > was
> > > > > > opened, the trade should be stopped out.
> > > > > >
> > > > > > I have some code for a simple trailing stop based on the
Low
> > of
> > > > the
> > > > > > price (see below) but I'm not sure how to modify it to
> > accomplish
> > > > the
> > > > > > above.
> > > > > >
> > > > > > Any ideas would be most welcome...
> > > > > >
> > > > > >
> > > > > > Initial = LLV(Low,5);
> > > > > >
> > > > > > stop[0] = Close[0];
> > > > > > for( i = 1 ; i < BarCount; i++)
> > > > > > {
> > > > > > if( Close[i] > stop[i-1])
> > > > > > {
> > > > > > stop[i] = Max( initial[i], stop[i-1] );
> > > > > > }
> > > > > > else { stop[i] = initial[i]; }
> > > > > > }
> > > > > >
> > > > > > Plot( stop, " Stop Loss", ParamColor("Color",
colorCycle ),
> > > > ParamStyle
> > > > > > ("Style", styleDots | styleNoLine, maskDefault |
styleDots |
> > > > > > styleNoLine ) );
> > > > > >
> > > > > >
> > > > > > Many Thanks in advance,
> > > > > >
> > > > > > Chorlton
> > > > > >
> > > > >
> > > >
> > >
> >
>
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