Stock Portfolio Organizer
The ultimate porfolio management solution.
WiseTrader Toolbox
#1 Selling Amibroker Plugin featuring:
Investing Indicator for Amibroker (AFL)
The code below initiates trades that get captured by the logfile, but they don’t show up or get accumulated in the Backtester or Optimizer.
Similar Indicators / Formulas
Indicator / Formula
/*------------------------------------- Buy = Buy when price has showed upward momentum by moving from tradeActivationPrice to buyPriceStart. Sell = Sell at SellPrice. myStopLoss = Sell at myStopLoss price. Notes: - Scratch system to understand AB - Curve fitting at its worst. (so don't use, duh.) Warnings: You can not have more Buy points than you have bars of data. -------------------------------------*/ // Configuration // writeLog = TRUE; // doLoop = FALSE; writeLog = True; doLoop = True; // Housekeeping _TRACE("!CLEAR!"); // Clear the Trace window SetOption( "ActivateStopsImmediately", True ); SetOption( "AllowSameBarExit", False ); SetOption( "CommissionAmount", .005 ); SetOption( "CommissionMode", 3 ); SetOption( "ExtraColumnsLocation", 1 ); SetOption( "InitialEquity", 100000 ); SetOption( "PortfolioReportMode", 1 ); SetOption( "PriceBoundChecking", False); SetOption( "RefreshWhenCompleted", True ); SetOption( "RequireDeclarations", False ); SetOption( "ReverseSignalForcesExit", False ); SetOption( "SeparateLongShortRank", True ); SetPositionSize( 10000, spsValue ); SetTradeDelays(0,0,0,0); y = Year(); m = Month(); d = Day(); r = Hour(); e = Minute(); n = Second(); // Tried both with and without backtestmode SetBacktestMode( backtestRegularRawMulti ); if ( writeLog == True ) { fhLog = fopen( "e:\\AmiBroker\\logs\\firstSystemLog.txt", "w"); if ( fhLog == 0 ) { _TRACE("Blew the file open"); writeLog = False; } } if ( writeLog == True ) { op = StrFormat("\n\n********* Symbol : ") + Name() + StrFormat(" *********\n"); fputs( op, fhLog ); } // Set static values symbolsLow = 10000000; symbolsHigh = 0; symbolsHigh = LastValue( Highest( High ) ); symbolsLow = LastValue( Lowest( Low ) ); _TRACE( "symbolsLow - lastvalue: " + symbolsLow ); _TRACE( "symbolsHigh: " + symbolsHigh ); pctMin = .01; pctMax = .10; //.10 pctStep = .01; buyStep = .01; // cents // Manipulate statics buyPriceMin = int( ( symbolsLow * ( 1 - pctMax ) ) * 100 ) / 100; buyPriceMax = ( int( symbolsHigh * 100 ) + 1 ) / 100; _TRACE( "buyPriceMin: " + buyPriceMin ); _TRACE( "buyPriceMax: " + buyPriceMax ); if ( writeLog == True ) { op = StrFormat("Setup Vars:\nsymbolsLow-%.4f, symbolsHigh-%.4f, buyPriceMin-%.4f, buyPriceMax-%.4f\n", symbolsLow,symbolsHigh,buyPriceMin,buyPriceMax ); fputs( op, fhLog ); } // Optimization Vars (x = Optimize( "description", default, min , max, step );) // buyPriceStart = Optimize( "BuyPrice", 36, buyPriceMin, symbolsLow, buyStep ); // profitPctChange = Optimize( "ProfPctChg", .06, pctMin, pctMax, pctStep ); // stopLossPctChange = Optimize( "StLoPctChg", .02, pctMin, pctMax, pctStep ); // tradeActPctChange = Optimize( "TrActPctChg", .05, pctMin, pctMax, pctStep ); buyPriceStart = 17.05; profitPctChange = 0.08; stopLossPctChange = Optimize( "StLoPctChg", .06, .06, .10, pctStep ); tradeActPctChange = Optimize( "TrActPctChg", .07, .04, .09, pctStep ); if ( writeLog == True ) { op = StrFormat("Optimization Vars:\nbuyPriceStart-%.4f, profitPctChange-%.4f, stopLossPctChange-%.4f, tradeActPctChange-%.4f\n\n", buyPriceStart,profitPctChange,stopLossPctChange,tradeActPctChange ); fputs( op, fhLog ); } // Setup Arrays Sell = False; // Initialize "Sell" array.... Buy = False; // Initialize "Buy" array.... openPos = False; // No open positions to start with lastLow = False; // Just initialize it buyPrices = 0; tradeActivationPrices = 0; myStopLosss = 0; sellPrices = 0; // Setup Single value vars numBuyPoints = 0; // Create the first Activation, Buy, Stop, Profit points array buyPrices[0] = buyPriceStart; tradeActivationPrices[0] = buyPriceStart * ( 1 - tradeActPctChange ); myStopLosss[0] = buyPriceStart * ( 1 - stopLossPctChange ); sellPrices[0] = buyPriceStart * ( 1 + profitPctChange ); lastLow[0] = 10000000; // Set insanely high so first Low sets it if ( writeLog == True ) { op = StrFormat("BuyPrices: [0] Buy-%.4f, Activate-%.4f, Stop-%.4f, Profit-%.4f\n", buyPrices[0],tradeActivationPrices[0],myStopLosss[0],sellPrices[0] ); fputs( op, fhLog ); } for ( i = 1; i < BarCount; i++ ) // Create the rest of Activation, Buy, Stop, Profit points array { buyPrices[i] = int ( buyPrices[i-1] * ( 1 + profitPctChange ) * 100 ) / 100; tradeActivationPrices[i] = int ( buyPrices[i] * ( 1 - tradeActPctChange ) * 100 ) / 100; myStopLosss[i] = int ( buyPrices[i] * ( 1 - stopLossPctChange ) * 100 ) / 100; sellPrices[i] = int ( buyPrices[i] * ( 1 + profitPctChange ) * 100 ) / 100; lastLow[i] = 10000000; // Set insanely high so first Low sets it numBuyPoints = numBuyPoints + 1; if ( writeLog == True ) { op = StrFormat("BuyPrices: [%g] Buy-%.4f, Activate-%.4f, Stop-%.4f, Profit-%.4f\n", i,buyPrices[i],tradeActivationPrices[i],myStopLosss[i],sellPrices[i] ); fputs( op, fhLog ); } if ( buyPrices[i] > buyPriceMax ) // last Buy point is never accessed, per below { break; } } if ( doLoop == True ) { // Start this Pig... for ( i = 0; i < BarCount; i++ ) // Loop over all bars in the chart { for ( j = 0; j < numBuyPoints; j++ ) // Loop over all Buy points { if ( openPos[j] ) // Have an open position, check to sell it { if ( Low[i] < myStopLosss[j] ) // Check for Stops { if ( Sell[i] ) // ah crap, we've Sold on this bar already { // Report it, but do nothing else, next Close will close both... if ( writeLog == True ) { op = "CRAP - Double Sell, Stop!\n"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat("j=%g, High-%.4f, Low-%.4f, lastLow-%.4f, myStopLoss-%.4f\n", j,High[ i ],Low[ i ],lastLow[j],myStopLosss[j] ); fputs( op, fhLog ); } } else { SellPrice[i] = myStopLosss[j]; Sell[i] = True; openPos[j] = False; // No longer have open position lastLow[j] = IIf( Close[i] < SellPrice[i], Close[i], SellPrice[i] ); // ReSet lastLow[j] for Buy Check if ( writeLog == True ) { op = Name() + ",StopLoss"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat(",%g,%.4f,%.4f\n", j, buyPrices[j], SellPrice[i] ); fputs( op, fhLog ); } } } else { if ( High[i] > sellPrices[j] ) // Check for Profits { if ( Sell[i] ) // ah crap, we've Sold on this bar already { // Report it, but do nothing else if ( writeLog == True ) { op = "CRAP - Double Sell, Profit!\n"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat("j=%g, High-%.4f, Low-%.4f, lastLow-%.4f, myStopLoss-%.4f\n", j,High[ i ],Low[ i ],lastLow[j],myStopLosss[j] ); fputs( op, fhLog ); } } else { SellPrice[i] = sellPrices[j]; Sell[i] = True; openPos[j] = False; // No longer have open position lastLow[j] = IIf( Close[i] < SellPrice[i], Close[i], SellPrice[i] ); // ReSet lastLow[j] for Buy Check if ( writeLog == True ) { op = Name() + ",Profit"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat(",%g,%.4f,%.4f\n", j, buyPrices[j], SellPrice[i] ); fputs( op, fhLog ); } } } } } else // Nothing open on this BuyPoint, see if we can buy something { if ( ( lastLow[j] < tradeActivationPrices[j] ) AND ( High[i] > buyPrices[j] ) AND ( buyPrices[j] > Low[i] ) ) { if ( Buy[i] ) // ah crap, we've bought on this bar already { // Report it, but do nothing else if ( writeLog == True ) { op = "CRAP - We lost a Buy!\n"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat("j=%g, BuyPrice-%.4f, High-%.4f, Low-%.4f, lastLow-%.4f, tradeActivationPrices-%.4f\n", j,buyPrices[j],H[ i ],L[ i ],lastLow[j],tradeActivationPrices[j] ); fputs( op, fhLog ); } } else { BuyPrice[i] = buyPrices[j]; Buy[i] = True; openPos[j] = True; // Now have an open position if ( writeLog == True ) { op = Name() + ",Bought"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat(",%g,%.4f\n", j, buyPrices[j] ); fputs( op, fhLog ); } } } if ( ( lastLow[j] > Close[i] ) OR ( lastLow[j] > BuyPrice[i] ) ) { lastLow[j] = IIf( BuyPrice[i] > Close[i] , Close[i] , BuyPrice[i] ); } } } } } if ( writeLog == True ) { fclose( fhLog ); }
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