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Sean
One of the annoying problems with the ValueWhen() function is that it is invalid until the When
condition is true. A method I have adopted at times to get around this is to include an
initialisation signal. For example in my "Trade Flag" (shown below) code I use a variable I call
"Init" to signal the first bar when both the Buy and Sell variables are valid. Init can then
sometimes be legitimately used to fake a signal that is valid but not true until some bars later.
In the example below I want to use Enter (the first bar in a trade) in a ValueWhen() function, but
to ensure that ValueWhen() is valid from the earliest possible bar I include "OR Init" in the code
for Enter.
Buy:=Fml("Your Long Entry");
Sell:=Fml("Your Long Close");
Init:=Cum(Buy<>2 AND Sell<>2)=1;
Trade:=If(BarsSince(Init OR Buy) >= BarsSince(Init OR Sell),0,1);
Enter:=(Trade AND Alert(Trade=0,2)) OR Init;
While this won't solve all your problems it may give you one workaround for use with ValueWhen().
Roy
> Below I've tried to code the framework for a system as an indicator. It's
> being debugged at present and doesn't include proper exit signals or use of
> the P variable to introduce Interest rate change. All things for the
> future. Enough excuses...
>
> I've run into the problem of variables being initialised late and despite
> the use of early false entry/exit signals, the Equity variable (for example)
> doesn't get initialised until both a real Long and Short signal get
> generated.
>
> Grateful for any help.
>
> Thanks,
> Sean
>
>
> {Larry Williams - Long-Term secrets to Short-Term trading p.102}
> {Smash Day BUY has up close but in lower 25% of days range,
> Close less than Open. Enter tomorrow at today's High.
> Sell Short is opposite.
> Should combine with strong trend and interest rates}
> {System uses following day entry}
> Periods:=5; {Used to delay false early triggers if necessary}
> LongEntryPoint:=Ref(H,-1); {calc. on day of entry, limit order entry}
> ShortEntryPoint:=Ref(L,-1); {calc. on day of entry, limit order entry}
> LongExitPoint:=O;
> ShortExitPoint:=O;
> LongEntry:=If(Cum(1)=Periods+1,1,
> Ref(C,-1) < C AND
> C < L+((H-L)/4) AND
> C < O AND
> H < Ref(H,+1)); {last part only for system test - following day entry
> condition}
> LongExit:=If(Cum(1)=Periods+4,1,
> barsSince(LongEntry)=3);{auto exit 3 days later}
> ShortEntry:=If(cum(1)=Periods+6,1,
> Ref(C,-1) > C AND
> C > H-((H-L)/4) AND
> C > O AND
> L > Ref(L,+1)); {last part only for system test - following day entry
> condition}
> ShortExit:=If(Cum(1)=Periods+9,1,
> barsSince(ShortEntry)=3);{auto exit 3 days later}
> Position:=If(Ref(BarsSince(LongEntry)<=BarsSince(LongExit),-1),1,
> If(Ref(BarsSince(ShortEntry)<=BarsSince(ShortExit),-1),-1,0));
> TotalLong:=Cum(Cross(Position,0.5));
> TotalShort:=Cum(Cross(-0.5,Position));
> Equity:=Cum(
> if(Cross(0.5,Position),
>
> ValueWhen(1,Cross(0.5,Position),LongExitPoint)-ValueWhen(1,Cross(Position,0.
> 5),LongEntryPoint),
> If(Cross(Position,-0.5),
>
> ValueWhen(1,Cross(-0.5,Position),ShortEntryPoint)-ValueWhen(1,Cross(Position
> ,-0.5),ShortExitPoint),
> 0)
> ));
>
> TotalLongWin:=Cum(if(Cross(0.5,Position),ValueWhen(1,Cross(Position,0.5),Lon
> gEntryPoint)<ValueWhen(1,Cross(0.5,Position),LongExitPoint),0));
> TotalLongLoss:=TotalLong-TotalLongWin;
> TotalShortWin:=Cum(If(Cross(Position,-0.5),ValueWhen(1,Cross(-0.5,Position),
> ShortEntryPoint)>ValueWhen(1,Cross(Position,-0.5),ShortExitPoint),0));
> TotalShortLoss:=TotalShort-TotalShortWin;
>
> Equity;
>
>
>
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