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Code for sell on first profitable close or latest 5th day's close
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Hi
Given a signal X how would I code sell on first profitable close or at the latest the 5th day's close? Really appreciate any help.
BR
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Rank: Advanced Member
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Joined: 5/13/2005(UTC)
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Location: Midwest, USA
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Precisely wrote:Given a signal X how would I code sell on first profitable close or at the latest the 5th day's close? Try this: Code:
Entry:=sum(H>ref(h,-1),2)=2; { Signal "X" = 2 higher highs }
EntryPrice:=ValueWhen(1,ref(Entry,-1),OPEN); { Yesterday's signal, Today's Open }
Exit1:=Close>EntryPrice;
Exit2:=BarsSince(Entry)>=5;
Exit:=Exit1 or Exit2;
{ CLEAN - REMOVE REDUNDANT SIGNAL, +1=Buy -1=Sell }
Signal:=Cum(IsDefined(entry+exit))=1; { Enough data ? }
Signal:=ValueWhen(1,entry-exit<>0 OR Signal,entry); { Current }
entry:=Signal*(Alert(Signal=0,2) OR entry*Cum(entry)=1); { Current or 1st }
exit:=(Signal=0)*(Alert(Signal,2) OR exit*Cum(exit)=1); { Current or 1st }
entry:=(exit=0)*entry; { favor EXIT }
Signal:=Entry-Exit; { Signal }
Season:=ValueWhen(1,Signal<>0,Entry)*2-1; { Signal active }
{ Plot }
Signal;
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Rank: Member
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Joined: 6/9/2010(UTC)
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Many thanks Jjstein. Another newbie question though. How would I use this in the EST to test a system? I guess below is wrong? I want it to buy at closing the same day the signal is given.
In EST:
Buy Order
Entry:= X;
Sell Order
Entry:= X;
EntryPrice:=ValueWhen(1,ref(Entry,-1),open);
Exit1:=Close>EntryPrice;
Exit2:=BarsSince(Entry)>=5;
Exit:=Exit1 or Exit2;
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 5/13/2005(UTC)
Posts: 715
Location: Midwest, USA
Was thanked: 1 time(s) in 1 post(s)
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Hang on, that won't work -- a latch is needed to store price. Try this as an indicator: Code:
Entry:=sum(H>ref(h,-1),2)=2; { Signal "X" }
Latch:=If(PREV=0, { no trade }
If(Entry,CLOSE,0), { store price }
If(CLOSE>PREV or BarsSince(PREV=0)>=5,0,PREV { reset }
));
Entry:=Alert(Latch,2)*(ref(Latch,-1)=0); { 1st entry }
Exit:=Alert(Latch,2)*(Latch=0); { 1st exit }
Signal:=Entry-Exit;
Signal;
For a test, either copy the formula and replace the last line with SIGNAL=+1 for Buy and SIGNAL=-1 for SELL. Or, you can use FML().
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Rank: Advanced Member
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Joined: 10/28/2004(UTC)
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Location: Perth, Western Australia
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I don't have MS installed on this machine, but I'd be using the EST stops in lieu of complicated PREV based codes? Code:
{Buy}
x:=h>ref(h,-1);
sum(x,2)=2;
{Profit stop}
0%
{Inactivity stop}
100%
5 periods
Give it a whirl and let us know how it goes. wabbit [:D]
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Rank: Member
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Jjstein: Worked! Crappy system though... :) Greatful.
Wabbit: Clever. Though seems to enter and exit on the same bar?
While I have you in a thread. Been looking for a way to clean up EST signals from my templats. Is there a way? Know that I can chose not to plot them, but too late...
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users
Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
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Remove the profit target (leaving the inactivity stop as is) and add a SELL condition: Code:
{Sell}
Simulation.CurrentProfit > 0;
The simulation function might not be called CurrentProfit, but it's something like; use the Function button in the formula editor to find the exact simulation function name. What do you mean "clean up" the EST signals? wabbit [:D]
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Rank: Member
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Great. Will check that.
Well, when I have run a simulation in EST and choose to plot the signals (plot to chart) I get a lot of labels of buy's and exits (of course), but how do I remove them? I don't want to remove the chart itself since I have a lot of support, resistance and trend lines there. Any ideas?
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Rank: Member
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