AFL Template Question

[JulianCohen]

In the Templates for looping given in the course, there is a template for exit and trail stop

Code:

LE = //Long Entry
LEPrice = //Entry Price
//———————————————————————————

LEx = //Long Exit

//trailing stop

LIS = //Long Initial Stop
LTS = //Long Trail Stop

In this instance what is LIS referring to? I can see the LEx for the exit stop and LTS for the trailing stop but what is LIS used for?

[TrentRothall]

I think it’s for a tighter initial stop than the trailing stop. Example. buy and have a 10% initial stop but follow the price with a 15% trailing stop. I think..

[SaidBitar]

Initial Stop will be used for positions size

regarding position size you can have many ways such as Fixed % of Portfolio Equity another way is Fixed Fractional Risk %

for Fixed Fractional Risk % suppose you want to risk 1 or 2% per position so you need to know the value of the initial stop so that you can estimate your risk and find the number of shares.

[JulianCohen]

OK thanks. I’m trying to write a system with an initial stop and an exit but I’m struggling with the looping. I’ll keep at it. Thanks for the help guys

[JulianCohen]

With this code my trailing stop is always either 0 or 1 and I can’t figure out why. What painfully obvious thing am I missing?

Code:

//=================================================================================
//Entry and Exit Signals
//=================================================================================

Cond1 = L < Ref(L,-1); Cond2 = BullDB > ClsSt;
Cond3 = H < SMA; Cond4 = C > SMA;
Cond5 = OptFilt AND IndexUp AND UniverseFilter AND HDBFilter; //All the optional filters

OnLastTwoBarsOfDelistedSecurity = BarIndex() >= (LastValue(BarIndex()) -1) AND !IsNull(GetFnData(“DelistingDate”));
OnSecondLastBarOfDelistedSecurity = BarIndex() == (LastValue(BarIndex()) -1) AND !IsNull(GetFnData(“DelistingDate”));

BuySetUp = Cond1 AND Cond2 AND Cond3 AND Cond5;
Buy = Ref(BuySetUp,-1);
BuyStop = H + 0.01;
SellStop = L – 0.01;

LE = Ref(BuySetUp,-1) AND H >=Ref(BuyStop,-1) AND NOT OnLastTwoBarsOfDelistedSecurity;// TRIGGER BAR Entry is all conditions fulfilled and above the BuyStop
LEPrice = Max(Open,Ref(BuyStop,-1)); //Entry Price

LEx = C > SMA; //Long Exit
LIS = Ref(BuySetUp,-1) AND L <=Ref(SellStop,-1) AND NOT OnLastTwoBarsOfDelistedSecurity; //Initial stop a tic below SetUpBar //-------------------------------------------------------------------------- //MCS code part 2 if(MCP) LE = LE && Random()*100>=MCP; // Identifier MUST match the Identifier in the trigger bar line above
//————————————————————————–

//=================================================================================
//Looping
//=================================================================================
Buy = 0;
Sell = 0;
PriceAtBuy = 0;
LBIT = 0;
LStop = Null;
//=================================================================================
for (j = 1; j < BarCount; j++) { if (PriceAtBuy==0 AND LE[j]) { Buy[j] = True; PriceAtBuy = LEPrice[j]; BuyPrice[j] = LEPrice[j]; LStop[j] = LIS[j-1]; LStop[j-1] = LIS[j-1]; LBIT[j] = 1; if (LBIT[j]>1 AND L[j] <= LStop[j-1]) { Sell[j] = True; SellPrice[j] = LStop[j-1]; PriceAtBuy = 0; } } else if (PriceAtBuy > 0)
{
LBIT[j] = LBIT[j-1]+1;

if (LBIT[j]>1)
{
LStop[j] = LStop[j-1];
}

if (LBIT[j]>1 AND L[j] <= LStop[j-1]) { Sell[j] = True; SellPrice[j] = LStop[j-1]; PriceAtBuy = 0; } if (LBIT[j]>1 AND LEx[j]) //Exit on SMA
{
Sell[j] = True;
SellPrice[j] = Max(Open[j],SMA[j-1]);
PriceAtBuy = 0;
}
}
}

[TrentRothall]

One thing i noticed with your line

LEx = C > MA;

you might need

LExSetup = C > MA;
LEx = ref(LExSetup,-1);

other wise you will be exiting on the open of the bar that closes above a MA causing a error

[JulianCohen]

Thanks Trent…doesn’t this code in the looping cover that occurrence?

if (LBIT[j]>1 AND LEx[j]) //Exit on SMA
{
Sell[j] = True;
SellPrice[j] = Max(Open[j],SMA[j-1]);
PriceAtBuy = 0;

It appears to be working correctly at first glance but I got so hung up with trying to work out the initial stop I haven’t had a good look at that yet.

[JulianCohen]

You’re right…Appreciate it.

[TrentRothall]

No worries, i use a similar exit so i noticed it. you could use

LBIT[j] >1 and LEx[j-1]

but the other way you can use LExSetup for plotting/ explorations

[TrentRothall]

Code:

BuySetUp = Cond1 AND Cond2 AND Cond3 AND Cond5;
Buy = Ref(BuySetUp,-1);
BuyStop = H + 0.01;
SellStop = L – 0.01;

LE = Ref(BuySetUp,-1) AND H >=Ref(BuyStop,-1) AND NOT OnLastTwoBarsOfDelistedSecurity;// TRIGGER BAR Entry is all conditions fulfilled and above the BuyStop
LEPrice = Max(Open,Ref(BuyStop,-1)); //Entry Price

LEx = C > SMA; //Long Exit
LIS = SellStop; //Initial stop a tic below SetUpBar TRY CHANGING TO THIS
//————————————————————————–
//MCS code part 2
if(MCP)
LE = LE && Random()*100>=MCP; // Identifier MUST match the Identifier in the trigger bar line above
//————————————————————————–

//=================================================================================
//Looping
//=================================================================================
Buy = 0;
Sell = 0;
PriceAtBuy = 0;
LBIT = 0;
LStop = Null;
//=================================================================================
for (j = 1; j < BarCount; j++) { if (PriceAtBuy==0 AND LE[j]) { Buy[j] = True; PriceAtBuy = LEPrice[j]; BuyPrice[j] = LEPrice[j]; LStop[j] = LIS[j-1]; // 1 LStop[j-1] = LIS[j-1]; //2 LBIT[j] = 1;

Try changing that LIS line, i think that part is incorrect in your section.

In the loop on the line maarked 1 you are getting the initial stop to 1 tick below the setup bar which is correct, then line marked 2 is holding it at that price. I think that might work any way… :S

[SaidBitar]

if you want to make trailing stop then it should be like this

Code:

LStop[j] = Max(LIS[j-1],LIS[j]);
LStop[j-1] = LIS[j-1];

[JulianCohen]

Trent…It makes sense but it didn’t work haha…Thanks anyway. It’s given me another 1000 things to try

[JulianCohen]

I want the stop to stay in one place.

I will buy one tic over the top of the set up bar and create a stop loss 1 tic below the set up bar. That S/L will stay in place until hit or the C>SMA exit works.

That’s what I am trying to do…

[TrentRothall]

Ha Craig will help when he is around i’m sure!

[SaidBitar]

OK

now it makes sense

here what you need to do

you do not define your initial stop as array i mean no need to have [j] for it because it is fixed

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