Short= Close<EMA(Close,200) AND Ref(Close,-1)<Ref(EMA(Close,200),-1);
ShortPrice= Close;
// the system will exit
// 50% of position if FIRST PROFIT TARGET stop is hit
// 50% of position is SECOND PROFIT TARGET stop is hit
// 100% of position if TRAILING STOP is hit
FirstProfitTarget = 5; // profit
SecondProfitTarget = 7.5; // in percent
TrailingStop = 2; // also in percent
priceatshort=0;
lowsinceshort =0;
Cover=0;
exit = 0;
for( i = 0; i < BarCount; i++ )
{
if( priceatshort == 0 AND Short[ i ] )
{
priceatshort = ShortPrice[ i ];
}
if( priceatshort > 0 )
{
Lowsinceshort = Min( Low[ i ], Lowsinceshort ); //Lowest low since short
if( exit == 0 AND
Low[ i ] <= ( 1 - FirstProfitTarget * 0.01 ) * priceatshort ) //Low < 0.95 X ShortPrice (5% below short price)
{
// first profit target hit - scale-out
exit = 1;
Short[ i ] = sigScaleOut; //Sell 50% of position
}
if( exit == 1 AND
Low[ i ] <= ( 1 - SecondProfitTarget * 0.01 ) * priceatshort ) // 7.5% below short price
{
// second profit target hit - exit
exit = 2;
Cover=1;
CoverPrice[ i ] = Close[ i ]; // Sell Remainder at the close
}
// trailing stop
if( High[ i ] >= ( 1 + TrailingStop * 0.01 ) * lowsinceshort ) //High is greater than 2% above the lowest low since short
{
exit = 3;
Cover=1;
CoverPrice[ i ] = Close[i]; // Trailing stop hit - Exit at close
}
if( exit >= 2 )
{
Short[ i ] = 0;
Cover[ i ] = exit ;
exit = 0;
priceatshort = 0; // reset price
lowsinceshort = 0;
}
}
}
SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Short== sigScaleOut ) ); // scale out 50% of position
Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);
PlotShapes(shapeDownArrow*Short,colorRed,0,L, -30);
PlotShapes(shapeUpArrow*Cover,colorBrightGreen,0,H, -30);SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
_SECTION_BEGIN("Short Targets");
Short= Close<EMA(Close,200) AND Ref(Close,-1)<Ref(EMA(Close,200),-1);
ShortPrice= Close;
// the system will exit
// 100% of position if PROFIT TARGET stop is hit
// 100% of position if TRAILING STOP is hit
ProfitTarget = 5; // profit
TrailingStop = 2; // also in percent
priceatshort=0;
lowsinceshort =0;
Short=0;
Cover=0;
exit=0;
for( i = 0; i < BarCount; i++ )
{
if( priceatshort == 0 AND Short[ i ] )
{
priceatshort = ShortPrice[ i ];
}
if( priceatshort > 0 )
{
Lowsinceshort = Min( Low[ i ], Lowsinceshort );
if( exit == 0 AND
Low[ i ] <= ( 1 - ProfitTarget * 0.01 ) * priceatshort )
{
exit=1;
Cover[i]=1;
CoverPrice[i] = Close [i];
}
if( High[ i ] >= ( 1 + TrailingStop * 0.01 ) * lowsinceshort )
{
exit=1;
Cover [i]=1;
CoverPrice[ i ] = Close[i];
}
if(Exit == 1)
{
Short[i] = 0;
Exit = 0;
PriceatShort = 0;
LowSinceShort = 0;
}
}
}
Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);
PlotShapes(shapeDownArrow*Short,colorRed,0,L, -30);
PlotShapes(shapeUpArrow*Cover,colorBrightGreen,0,H, -30);
_SECTION_END();FirstProfitTarget = 10; // profit
SecondProfitTarget = 20; // in percent
TrailingStop = 10; // also in percent
priceatbuy=0;
highsincebuy = 0;
exit = 0;
for( i = 0; i < BarCount; i++ )
{
if( priceatbuy == 0 AND Buy[ i ] )
{
priceatbuy = BuyPrice[ i ];
}
if( priceatbuy > 0 )
{
highsincebuy = Max( High[ i ], highsincebuy );
if( exit == 0 AND
High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy )
{
// first profit target hit - scale-out
exit = 1;
Buy[ i ] = sigScaleOut;
}
if( exit == 1 AND
High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy )
{
// second profit target hit - exit
exit = 2;
SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy );
}
if( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
{
// trailing stop hit - exit
exit = 3;
SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 ) * highsincebuy );
}
if( exit >= 2 )
{
Buy[ i ] = 0;
Sell[ i ] = exit + 1; // mark appropriate exit code
exit = 0;
priceatbuy = 0; // reset price
highsincebuy = 0;
}
}
}
SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) ); // scale out 50% of position_SECTION_BEGIN("Price Chart");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", IIf( C>O, colorDarkGreen, colorRed), styleNoTitle | styleBar| ParamStyle("Style") );
GraphXSpace = 10;
Plot(MA(Close,5),"5 Week SMA",colorViolet,styleDashed);
Plot(MA(Close,30),"30 Week SMA",colorLightBlue,styleThick);
_SECTION_END();
_SECTION_BEGIN("Short Targets");
// Sells 100% on a profit target
// Sells 100% of position if TRAILING STOP is hit
SetTradeDelays(0,0,0,0);
ShortPrice= Close;
CoverPrice= Close;
Short=Cross(MA(C,30),MA(C,5));
Cover=0;
ProfitTarget = 5;
TrailingStop =5;
priceatshort=0;
lowsinceshort =0; // highsincebuy=0; in original formula
exit = 0;
for( i = 0; i < BarCount; i++ )
{
if( priceatshort == 0 AND Short[ i ]==1 )
{
priceatshort = ShortPrice[ i ];
}
else
if( priceatshort > 0 )
{
Lowsinceshort = Min( Low[ i ], Lowsinceshort );
if( exit == 0 AND
Low[ i ] <= ( 1 - ProfitTarget * 0.01 ) * priceatshort )
{
exit = 1;
CoverPrice[ i ] = Min(Open[i],(1-Profittarget * 0.01) * priceatshort);
}
//If the open is below the target - Cover , Otherwise cover when the target is hit.
if( High[ i ] >= ( 1 + TrailingStop * 0.01 ) * lowsinceshort )
{
//Trailing stop hit - exit
exit = 2;
CoverPrice[ i ] = Max(Open [i],( 1 + TrailingStop * 0.01 ) * lowsinceshort ) ;
}
//If the open is above the trailing stop - Cover , Otherwise cover when the trailing stop is hit
if( exit >= 1 )
{
Short[ i ] = 0;
Cover[ i ] = exit + 1 ; // says mark appropriate exit code ( Not sure what this means )Exit next day at open?
exit = 0;
priceatshort = 0; // reset price
lowsinceshort = 0;
}
}
}
SetPositionSize( 100, spsPercentOfEquity );
Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);
PlotShapes(shapeDownArrow*Short,colorRed,0,L, -30);
PlotShapes(shapeUpArrow*Cover,colorBrightGreen,0,H, -30);for( i = 0; i < BarCount; i++ )
{
if( priceatshort == 0 AND Short[ i ]==1 )
{
priceatshort = ShortPrice[ i ];
Lowsinceshort= Low[i];
}
else
if( priceatshort > 0 )
{
Lowsinceshort = Min( Low[ i ], Lowsinceshort );
if( exit == 0 AND
Low[ i ] <= ( 1 - ProfitTarget * 0.01 ) * priceatshort )
{fmkdir( "C:\\#AB_Data" );
dn = DateNum();
Buy = !( C == O AND C == H AND C == L AND V == 0) /*AND dn >= 1070101 AND dn <= 1201231 */;
if(Status("action") == actionScan)
{
fh = fopen( "C:\\#AB_Data\\" + Name() + ".csv", "a");
if( fh )
{
y = Year();
m = Month();
d = Day();
r = Hour();
e = Minute();
s = Second();
for( i = 0; i < BarCount; i++ )
{
if( Buy[i] )
{
fputs( Name() + ",", fh ); // export ticker name
//ds = StrFormat( "%02.0f%02.0f%02.0f,", y[ i ], m[ i ], d[ i ] ); // yyyymmdd
//ds = StrFormat("%02.0f/%02.0f/%02.0f,", y[ i ], m[ i ], d[ i ] ); // yyyy/mm/dd
ds = StrFormat("%02.0f.%02.0f.%02.0f,", y[ i ], m[ i ], d[ i ] ); // yyyy.mm.dd
fputs( ds, fh );
//ts = StrFormat( "%02.0f:%02.0f:%02.0f,", r[ i ],e[ i ], s[i]); // hh:mm:ss
ts = StrFormat( "%02.0f:%02.0f,", r[ i ],e[ i ]); // hh:mm
fputs( ts, fh );
qs = StrFormat( "%.2f, %.2f, %.2f, %.2f, %.0f\n", O[ i ], H[ i ], L[ i ], C[ i ], V[ i ] ); // OHLCV and 2 decimal places
//qs = StrFormat( "%.3f, %.3f, %.3f, %.3f, %.0f\n", O[ i ], H[ i ], L[ i ], C[ i ], V[ i ] ); // OHLCV and 3 decimal places
//qs = StrFormat( "%.4f, %.4f, %.4f, %.4f, %.0f\n", O[ i ], H[ i ], L[ i ], C[ i ], V[ i ] ); // OHLCV and 4 decimal places
//qs = StrFormat( "%.5f, %.5f, %.5f, %.5f, %.0f\n", O[ i ], H[ i ], L[ i ], C[ i ], V[ i ] ); // OHLCV and 5 decimal places
fputs( qs, fh );
}
}
fclose( fh );
}
}fmkdir( "C:\\#AB_Data" );
dn = DateNum();
Buy = !( C == O AND C == H AND C == L AND V == 0) /*AND dn >= 1070101 AND dn <= 1201231 */;
if(Status("action") == actionScan)
{
fh = fopen( "C:\\#AB_Data\\" + Name() + ".csv", "a");
//fh = fopen( "C:\\#AB_Data\\AllInOne.csv", "a");
if( fh )
{
y = Year();
m = Month();
d = Day();
r = Hour();
e = Minute();
s = Second();
for( i = 0; i < BarCount; i++ )
{
if( Buy[i] )
{
fputs( Name() + ",", fh ); // export ticker name
//ds = StrFormat( "%02.0f%02.0f%02.0f,", y[ i ], m[ i ], d[ i ] ); // yyyymmdd
//ds = StrFormat("%02.0f/%02.0f/%02.0f,", y[ i ], m[ i ], d[ i ] ); // yyyy/mm/dd
ds = StrFormat("%02.0f.%02.0f.%02.0f,", y[ i ], m[ i ], d[ i ] ); // yyyy.mm.dd
fputs( ds, fh );
//ts = StrFormat( "%02.0f:%02.0f:%02.0f,", r[ i ],e[ i ], s[i]); // hh:mm:ss
ts = StrFormat( "%02.0f:%02.0f,", r[ i ],e[ i ]); // hh:mm
fputs( ts, fh );
qs = StrFormat( "%.2f,%.2f,%.2f,%.2f,%.0f\n", O[ i ], H[ i ], L[ i ], C[ i ], V[ i ] ); // OHLCV and 2 decimal places
//qs = StrFormat( "%.3f,%.3f,%.3f,%.3f,%.0f\n", O[ i ], H[ i ], L[ i ], C[ i ], V[ i ] ); // OHLCV and 3 decimal places
//qs = StrFormat( "%.4f,%.4f,%.4f,%.4f,%.0f\n", O[ i ], H[ i ], L[ i ], C[ i ], V[ i ] ); // OHLCV and 4 decimal places
//qs = StrFormat( "%.5f,%.5f,%.5f,%.5f,%.0f\n", O[ i ], H[ i ], L[ i ], C[ i ], V[ i ] ); // OHLCV and 5 decimal places
fputs( qs, fh );
}
}
fclose( fh );
}
}XAO = Foreign("XSO","Close");
XAOMA = MA(XAO, 75);
function XAO_sell(drop)
{
global XAO;
global XAOMA;
global H;
global L;
XAO_exit = ExRem( XAO < XAOMA, XAO > XAOMA);
Last = HighestSince(XAO_exit, Ref(H, -1));
return (XAO < XAOMA AND L < drop * Last);
}Buy=cond1 AND cond2 AND cond3 AND cond4 AND cond5 AND cond6
AND XAO > XAOMA;
// here we define variables used once in the trade
// removed and replaced by XAO_sell: ApplyStop( stopTypeLoss, stopModePercent, amount=10 );
Sell= Cross(Ref(EMA(L,180),-1),C) // close crosses below yesterdays average of the low
OR XAO_sell( 0.9 );
This is the one and only purpose of backtesting, to sharpen the hindsight. And 20/20 sight shows that TechTrader is only good in boom times, when everything roars, but produces pathetic results when market goes down or sideways. Since Jan 2011 there have been no signs of the new market bubble, so now there is no point in using TT from now onwards. This now remains constant now, was a year ago and will be in a year, until the new bubble. When every taxi driver and his dog start talking shares again (as in 2004-2008), then it will be the time to return to your love child, but no sooner.
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