Thanks Ed! I am sure I will learn a lot after studying your code. Thanks for
sharing.
Best regards
Larry

--- In amibroker@yahoogroups.com, "Edward Pottasch" <empottasch@...> wrote:
>
> hi,
>
> attached again. Changed little thing with chart.
>
> should be able to see it at www.yahoo.com groups
>
> rgds, Ed
>
>
>
> ----- Original Message -----
> From: onelkm
> To: amibroker@yahoogroups.com
> Sent: Saturday, July 04, 2009 4:19 PM
> Subject: [amibroker] Re: pyramiding - problems with code
>
>
>
>
>
> Ed
> Thanks but the attachments do not show up. Could you try again?
> Larry
>
> --- In amibroker@yahoogroups.com, "Edward Pottasch" <empottasch@> wrote:
> >
> > attached some code on scaling out. Test code for ES futures. What it does
it takes an initial position of 3 contracts when there is a long or short
signal. Then there are 3 targets. It will scale out of these 3 positions when
the targets are hit. However, if the trailing stop is hit it will sell all
positions that are left. Also when the endtime is hit all open positions are
closed. So situations may occur that it opens 3 long contracts and only the
first target is hit and it scales out of 1 position. 2 positions left and then
the endtime is hit and it will sell the remaining 2 contracts.
> >
> > see example chart (5 minute timeframe): here you see a full long scale out
followed by a full short scale out.
> >
> >
> >
> >
> >
> > ----- Original Message -----
> > From: onelkm
> > To: amibroker@yahoogroups.com
> > Sent: Friday, July 03, 2009 6:37 PM
> > Subject: [amibroker] Re: pyramiding - problems with code
> >
> >
> >
> >
> >
> >
> > Could you please post the code that now runs? I am also interested in
pyramiding on the short side and would like to see how you programmed it.
> > Thanks
> > Larry
> > --- In amibroker@yahoogroups.com, "Edward Pottasch" <empottasch@> wrote:
> > >
> > > the code is just an example and I believe I used your setup system:
> > >
> > > Buy = ( Cross( MA( C, 10 ), MA( C, 50 ) ) ) * timearray;
> > > Buy = Ref(Buy,-1); BuyPrice = O;
> > >
> > > in this case you use the Close price in the Buy statement. In real time
systems the Close price is equal to the Last price. So within the timeframe you
use (e.g. 1 minute bars) a signal may appear and disappear within the bar. You
are only interested in the true close price of that bar. This is known only at
the end of the bar. That's why when adding Buy = Ref(Buy,-1); you shift the Buy
array 1 element forward and use the signal of the previous bar and you enter at
the open. This way you avoid entering a trade of which the signal disappears
later in the bar.
> > >
> > > Another reason is that I myself use it for my real time system is that
trading a cross is often not realistic in the practice unless you enter a trade
using Market (MKT) orders. For instance if you let the High cross a certain
level you avoid getting multiple signals and also the signal will not disappear
but often this is exacly the time that the price is running away from you and
often you will not be able to enter the trade at the cross price. So I stopped
fooling myself with these 20000% per year results and wait for the bar to finish
and enter at the open of the next bar.
> > >
> > > regards, Ed
> > >
> > >
> > >
> > > ----- Original Message -----
> > > From: gborrageiro
> > > To: amibroker@yahoogroups.com
> > > Sent: Friday, July 03, 2009 12:31 PM
> > > Subject: [amibroker] Re: pyramiding - problems with code
> > >
> > >
> > >
> > >
> > >
> > > hi Edward,
> > >
> > > Why do you utilize the buy and short price from the previous bar?
> > > Buy = Ref( Buy, -1 );
> > > Short = Ref( Short, -1 );
> > >
> > > thx
> > >
> > > --- In amibroker@yahoogroups.com, "Edward Pottasch" <empottasch@> wrote:
> > > >
> > > > do you ever read replies?
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: gborrageiro
> > > > To: amibroker@yahoogroups.com
> > > > Sent: Thursday, June 25, 2009 6:36 PM
> > > > Subject: [amibroker] pyramiding - problems with code
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > hi,
> > > >
> > > > I am testing some scaling out strategies and can't get the backtester
to go short. There's a prob with my code somewhere but I just can't see where.
> > > >
> > > > Your help would be appreciated! thanks
> > > >
> > > > SetTradeDelays( 0, 0, 0, 0 );
> > > > BuyPrice = Avg;
> > > > ShortPrice = Avg;
> > > > SetOption( "FuturesMode", True );
> > > > SetOption( "InitialEquity", 100000 );
> > > >
> > > > fast = ema(avg,10);
> > > > slow = ema(avg,100);
> > > >
> > > > Buy = Cross( fast, slow ) ;
> > > > Short = Cross( slow, fast ) ;
> > > > Sell = 0;
> > > > Cover = 0;
> > > >
> > > > FirstProfitTarget = 0.02;
> > > > TrailingStop = 0.06;
> > > > StopLoss = 0.02;
> > > >
> > > > priceatbuy = 0;
> > > > highsincebuy = 0;
> > > > priceatshort = 0;
> > > > lowsinceshort = 0;
> > > >
> > > > exit = 0;
> > > >
> > > > for ( i = 0; i < BarCount; i++ )
> > > > {
> > > > if ( priceatbuy == 0 AND Buy[ i ] )
> > > > {
> > > > priceatbuy = BuyPrice[ i ];
> > > > }
> > > >
> > > > if ( priceatshort == 0 AND Short[ i ] )
> > > > {
> > > > priceatshort = ShortPrice[ i ];
> > > > }
> > > >
> > > > if ( priceatbuy > 0 )
> > > > {
> > > > highsincebuy = Max( High[ i ], highsincebuy );
> > > >
> > > > if ( exit == 0 AND
> > > > High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy )
> > > > {
> > > > // first profit target hit - scale-out
> > > > exit = 1;
> > > > Buy[ i ] = sigScaleOut;
> > > > }
> > > >
> > > > if ( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
> > > > {
> > > > // trailing stop hit - exit
> > > > exit = 2;
> > > > SellPrice[ i ] = Min( Avg[ i ], ( 1 - TrailingStop * 0.01 ) *
highsincebuy );
> > > > }
> > > >
> > > > if ( Low[ i ] <= ( 1 - StopLoss * 0.01 ) * priceatbuy )
> > > > {
> > > > // Stop Loss hit - exit
> > > > exit = 3;
> > > > SellPrice[ i ] = Min( Avg[ i ], ( 1 - StopLoss * 0.01 ) * priceatbuy
);
> > > > }
> > > >
> > > > if ( exit >= 2 )
> > > > {
> > > > Buy[ i ] = 0;
> > > > Sell[ i ] = exit + 1; // mark appropriate exit code
> > > > exit = 0;
> > > > priceatbuy = 0; // reset price
> > > > highsincebuy = 0;
> > > > }
> > > > }
> > > >
> > > > if ( priceatshort > 0 )
> > > > {
> > > > lowsinceshort = Min( Low[ i ], lowsinceshort );
> > > >
> > > > if ( exit == 0 AND
> > > > Low[ i ] <= ( 1 - FirstProfitTarget * 0.01 ) * priceatshort )
> > > > {
> > > > // first profit target hit - scale-out
> > > > exit = 1;
> > > > Short[ i ] = sigScaleOut;
> > > >
> > > > }
> > > >
> > > > if ( High[ i ] >= ( 1 + TrailingStop * 0.01 ) * lowsinceshort )
> > > > {
> > > > // trailing stop hit - exit
> > > > exit = 2;
> > > > CoverPrice[ i ] = Max( Avg[ i ], ( 1 + TrailingStop * 0.01 ) *
lowsinceshort );
> > > > }
> > > >
> > > > if ( High[ i ] >= ( 1 + StopLoss * 0.01 ) * priceatshort )
> > > > {
> > > > // Stop Loss hit - exit
> > > > exit = 3;
> > > > CoverPrice[ i ] = Max( Avg[ i ], ( 1 + StopLoss * 0.01 ) *
priceatshort );
> > > > }
> > > >
> > > > if ( exit >= 2 )
> > > > {
> > > > Short[ i ] = 0;
> > > > Cover[ i ] = exit + 1; // mark appropriate exit code
> > > > exit = 0;
> > > > priceatshort = 0; // reset price
> > > > lowsinceshort = 0;
> > > > }
> > > > }
> > > > }
> > > >
> > > > SetPositionSize( 2, spsShares );
> > > >
> > > > SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) );
// scale out 50% of position
> > > > //SetPositionSize( 50, spsPercentOfEquity );
> > > >
> > >
> >
>