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#337 Trailing Staircase Stop for Amibroker (AFL)
I use very simple one or two parameter trading systems to try and reduce data curve-fitting.
Here I’ve experimented with introducing some hysteresis in the Buy / Sell decision. Rather than making a decision on when to trade by comparing the trailing stop to the closing price, The Buy is decided by comparing the stop to the Low, and conversely for the Sell, the stop to the High.
Joe Ross, a 50+year veteran of trading also describes the use of these tactics to reduce whipsaw. RE “A Trader’s Musings: A Compilation Of Observations, Thoughts And Lessons From Over 50 Years Of Trading”, June 2016.
The Graph Title shows the share’s average money traded per day to get an indication of share liquidity. I like to also show the total profit of the system, normalized to 1 unit for the start of trading. This allows me to make direct comparisons to other trading systems I run.
The name of this AFL (#337) refers to the Amibroker auto generated script name.
Background
This work is built using the following:
http://www.wisestocktrader.com/indicators/1692-sve-trends-trail
AFL code by E.M.Pottasch, 12/28/2010,
idea from: http://stocata.org/metastock/stop_trail_trends.html
George
Screenshots
Indicator / Formula
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 | /* #337 Trailing Staircase Stop Uses H/L Hysteresis to reduce buy/sell whipsaw here:Buy = iif( trends < L , 1,0);Sell = IIf( trends > H , 1,0); Code: GeorgeRai 3 Aug 2016 Background http://www.wisestocktrader.com/indicators/1692-sve-trends-trailAFL code by E.M.Pottasch, 12/28/2010, idea from: http://stocata.org/metastock/stop_trail_trends.html*/// INIT =====SetChartBkColor( colorlavender );SetChartOptions(0, chartShowDates);GraphXSpace = 5;// PARAMS =====atrfact = Param("Atr factor",1.5, 1.0, 10.0, 0.1);period = Param("Period",17, 1, 100, 1);// MAIN =====function trends_func(resistance){ trends = (H+L)/2; // initialize support = (H+L)/2; // initialize for( i = 4; i < BarCount; i++ ) { // support prev = support[ i - 1 ]; if (L[ i ] >= L[ i - 2 ] AND L[ i - 1 ] >= L[ i - 2 ] AND L[ i - 3 ] >= L[ i - 2 ] AND L[ i - 4 ] >= L[ i - 2 ]) { support[ i ] = L[ i - 2 ]; } else if (L[ i ] > H[ i - 1]*1.0013) { support[ i ] = H[ i - 1 ]*0.9945; } else if (L[ i ] > prev*1.1) { support[ i ] = prev*1.05; } else { support[ i ] = prev; } // trends prev = trends[ i - 1 ]; if (H[ i ] > prev AND H[ i - 1 ] > prev) { trends[ i ] = Max(prev,support[ i ]); } else if (H[ i ] < prev AND H[ i - 1 ] < prev) { trends[ i ] = Min(prev,resistance[ i ]); } else if (H[ i ] > prev) { trends[ i ] = support[ i ]; } else { trends[ i ] = resistance[ i ]; } } return trends;}HiLo = IIf(H-L<1.5*MA(H-L,period),H-L,1.5*MA(H-L,period));Href = IIf(L<=Ref(H,-1),H-Ref(C,-1),(H-Ref(C,-1))-(L-Ref(H,-1))/2);Lref = IIf(H>=Ref(L,-1),Ref(C,-1)-L,(Ref(C,-1)-L)-(Ref(L,-1)-H)/2);diff1 = Max(HiLo,Href);diff2 = Max(diff1,Lref);ATRmod = Wilders(diff2,period);loss = atrfact*ATRmod;resistance = C + loss;trends = trends_func(resistance); // calculate trends// TRADE SIGNALS =====Buy = iif( trends < L , 1,0);Sell = IIf( trends > H , 1,0); Buy = ExRem(Buy,Sell);Sell = ExRem(Sell,Buy);// P/L Calcs =====BuyPrice = ValueWhen(Buy, Close);SellPrice = ValueWhen(Sell, Close);// Calculate Profit for each saleProfit = 0.0;for (i=5; i<BarCount; i++) { if (Sell[i]) { Profit[i] = (SellPrice[i]-BuyPrice[i])/ BuyPrice[i]; }} // for i // Plot( 100.0 * Profit, "Profit", colorViolet); // DebugTotalProfit = 0.0;for (i=5; i<BarCount; i++) { // Add up Total Profit, filter out bad data if (!IsNull(Profit[i]) && (Profit[i] != 0.0) && !IsNan(Profit[i]) ) { TotalProfit = TotalProfit + Profit[i]; // printf("I = %g Profit = %f \n", i, Profit[i] ); // Debug }}printf("Total Profit = %f \n", TotalProfit ); // Debug// GRAPHS =====Plot(IIf(trends > C,trends,Null),"\ntrailShort",Colorred,styleStaircase);Plot(IIf(trends < C,trends,Null),"\ntrailLong",Colorgreen, styleStaircase);Plot(C, "", colorBlack, styleCandle);PlotShapes( shapeUpArrow*Buy, colorGreen, 0, L, -20);PlotShapes( shapeHollowUpArrow*Buy, colorBlack,0, L, -20) ;PlotShapes( shapeDownArrow*Sell, colorRed,0,H, -20) ;PlotShapes( shapeHollowDownArrow*Sell, colorBlack,0,H, -20) ;Title ="#337 Trailing Staircase Stop " + " {{NAME}} "+ "\n\nAve $ Traded / day $M = " + WriteVal((MA(C,20) * MA(V,20))/1E6, (format=0.2)) + "\n"+ EncodeColor(colorIndigo)+"Total Profit = " + WriteVal(TotalProfit, (format=0.2)) + "\n"; |
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NOT WORKING IN NEW ANALYSIS WINDOW FOR BUY SELL SIGNAL PLEASE SOLVE THE AFL….
I checked the Analysis using Amibroker V 6.17
Scan works fine, I’m getting symbols with Buy Sell points
Back test works fine as well.
If you are referring to Exploration, you need to include an Explore Filter and at least one explore AddColumn() statement.
It’s more efficient that you add your own desired explore statement for what you want to do.
There are too many permutations to cover otherwise.
Very Well. Ty So much Amazing.