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Newbie help: System tester using Advanced Trailing Stop by Richard Dale. + Latches..
Rank: Member
Groups: Registered, Registered Users Joined: 9/9/2010(UTC) Posts: 10
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Dear MS Community,
I'd like to reach out for help to correct me on the below system tester coding. During the last week I've tried to absorb as much of the valuable online material courtesy of Wabbit, Patrick and Roy and to get started I've tried to piece together the below test code.
Running the simulation works but once plotted on a chart there's clearly something terribly wrong with the way I'm either using the latch and/or abusing Richard Dale's trailing stop. ie Exit signals appearing soon after Entry..
System Editor:
{Buy Order Tab}
A:= Mov(c,20,E) ;
B:=Mov(c,50,E) ;
Entry:=cross(A,B);
Entry
{Entry Size: Number of Units = FML("Share_Quantity)
Sizing based from ATR}
{Sell Order Tab}
A:= Mov(c,20,E) ;
B:=Mov(c,50,E) ;
Entry:=cross(A,B);
Exit:= cross(B,A);
I:=Cum(Entry+Exit>-1)=1;
If(BarsSince(I OR Entry)
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Rank: Member
Groups: Registered, Registered Users Joined: 9/9/2010(UTC) Posts: 10
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I've noticed my Sell Order tab code was weirdly missing part of the Latch statement..
{Sell Order Tab}
A:= Mov(c,20,E) ;
B:=Mov(c,50,E) ;
Entry:=cross(A,B);
Exit:= cross(B,A);
I:=Cum(Entry+Exit>-1)=1;
If(BarsSince(I OR Entry)
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Rank: Advanced Member
Groups ready for retrieval: Registered, Registered Users, Unverified Users Joined: 7/12/2007(UTC) Posts: 134 Location: Perth Western Australia
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Hi kitcaptain,
If your Entry and Exit are based on the crossover of two moving averages then you don't need to use a latch.
However if the moving average crossover creates an entry trigger and the exit is to be controlled by Richard's trailing stop then you need to change your exit condition accordingly.
oz
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Rank: Member
Groups: Registered, Registered Users Joined: 9/9/2010(UTC) Posts: 10
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Dear Oz,
Thank you for this explanation.
I see expected results when I enter Buy and Sell Orders using simple MA crossover, however as soon as I include in the system test Sell Order Tab:
exit {basic MA cross exit strategy which works}
OR
ExtFml( "AdvancedStop.StopLong", entry,0,0, C-2*ATR(10),0,0,0,0);
No matter what I've tried the Exit, when plotted on a chart is always on the bar following Entry. Where's the trail? What am I missing?
Thank you in advance for your kind assistance,
Regards,
Andrew
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Rank: Member
Groups: Registered, Registered Users Joined: 9/9/2010(UTC) Posts: 10
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My non-programming mind has concluded today that the AdvancedStop function is not a black box that does "everything" for you but simply a useful function that calculates a value/price of an ATR trailing stop (amongst others). The code should then refer to this value for further conditions. Please correct me if I'm wrong..
Thanks,
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Rank: Advanced Member
Groups ready for retrieval: Registered, Registered Users, Unverified Users Joined: 7/12/2007(UTC) Posts: 134 Location: Perth Western Australia
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Hi Kitcaptain,
Richard Dale's dll and associated formulae are coded to follow a trade on a chart after entry which is why you have to "input' the date of entry and can't be used in the way you are trying to use them.
If you want to use an ATR based trailing stop then an example of the code would be:-
Exit:=C[
]
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Rank: Member
Groups: Registered, Registered Users Joined: 9/9/2010(UTC) Posts: 10
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Dear Oz,
Appreciate your kind feedback once again. Greetings from Hong Kong.
Following much research and even more trial and error I've concluded the function included in Richard's dll does offer initial and trailing stop options (amongst others) within the following function which can be called within a back test:
ExtFml( "AdvancedStop.StopLong", Entry Condition, Initial Stop at Entry, Transition to breakeven/TPS, TPS, First Pyramid Condition, TPS at First Pyramid, Second Pyramid Condition, TPS at Second Pyramid)
I'm a couple of weeks into this so taking baby steps and continued testing, as I still have doubts myself. I'm playing with the exit criteria:
Exit:= Exit condition;
Stoplong:= C less than ExtFml(AdvancedStop....etc etc; {At first not including "C less than" extfml was my mistake}
Exit OR Stoplong
Regards,
Andrew
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Rank: Advanced Member
Groups ready for retrieval: Registered, Registered Users, Unverified Users Joined: 7/12/2007(UTC) Posts: 134 Location: Perth Western Australia
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Hello Andrew,
Probably the best way to explain this is to get you to plot, let's say, Richard's "RAD*ChandelierStopLong" indicator on a chart that has data from year 2000 to the currrent date using only the defaults and see what it looks like.
Now, given that you can't change the inputs (i.e. date) when back-testing how can the trailing stop possibly operate?
Cheers,
Rob
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Rank: Member
Groups: Registered, Registered Users Joined: 9/9/2010(UTC) Posts: 10
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Hi Rob,
Agreed, I first looked at the RAD* indicators in the Indicator Builder and came to the same conclusion.
Within the System tester / System Editor / Functions.. / AdvancedStop there are 6 additional functions including "Stoploss of all long trades" which I'd assumed could be utilised within a system test for my purpose?
Please correct me if I'm wrong?
Thanks again for your time and trouble,
Andrew
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Rank: Advanced Member
Groups ready for retrieval: Registered, Registered Users, Unverified Users Joined: 7/12/2007(UTC) Posts: 134 Location: Perth Western Australia
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Hi Andrew,
The function "Stoploss of all long trades" is the same as "RAD*ChandelierStopLong" and this cannot be used in back-testing.
You can however use the example I posted above but use the sign for "less than".
Cheers,
Rob
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Rank: Member
Groups: Registered, Registered Users Joined: 9/9/2010(UTC) Posts: 10
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OK, thanks for the confirmation. At least I'm not completely back to the drawing board.. I appreciate the alternative example which I'll use moving forward.
Cheers,
Andrew
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