Exit 1 trade on multiple targets, stop loss

AFL Programming
1

Hello Amibroker team,

Can you please point me to some examples, where I can see a code for multiple exits for single trade?

This is what I would like to code somehow:
For every open trade immediately to define 1x stop loss and 3x target profit following the rules.
First calculate SL at some level (could be x points price difference from entry price to keep it simple). Based on this set first Target for 1/3 position at RRR 1:1, another 1/3 of position at RRR 2:1 and the rest at 3:1. Additionally, 1st TP is hit, move SL to BreakEven, later if 2nd TP is hit, move SL up to price where was 1st TP.

I'm not asking you to write a code for me, but would be great to see some similar codes for exists with similar idea. I did a search, but I'm a bit lost here.
https://www.amibroker.com/guide/h_pyramid.html

Many thanks,
Tom

2

You might want to search the forum and KB with the term "Trailing stop(s)".

3

Please refer Quantitative Trading System by Howard Bandy, Figure 7.10 ScaleOut afl code. You will get step by step explanation also in the book.

2 Likes
4

hi,

I ran Howard's scale-out code and it appears to only sell at the second profit target. Could someone advise why this is happening please? Altering "FirstProfitTarget" makes no difference to the backtest.

// ScaleOut.afl
buy = cross( ma( c, 5 ), ma( c, 25 ) );
sell = 0;
// Targets are in percentages.
FirstProfitTarget = 3;
SecondProfitTarget = 10;
TrailingStop = 30;

// Scalars to keep track of prices while in trade.
PriceAtBuy = 0;
HighSinceBuy = 0;
Exit = 0;

// Loop through all the bars.
for( i = 0; i < BarCount; i++ )

{
    if( PriceAtBuy == 0 AND Buy[i] == 1 )
    {
        PriceAtBuy = BuyPrice[i];
    }

    else

        if( PriceatBuy > 0 )

        {

            HighSinceBuy = Max( High[i], HighSinceBuy );

            if( exit == 0 AND
                    High[i] >= ( 1 + FirstProfitTarget * .01 ) * PriceAtBuy )

            {
                //first profit target hit - scale-out
                Exit = 1;
                Buy[i] = sigScaleout;
                BuyPrice[i] = ( 1 + FirstProfitTarget * 0.01 ) * PriceatBuy;

            }

            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;
                HighSinceBuy = 0;
            }
        }
}

SetPositionSize( 50, spsPercentofequity );
// scale out 50% of position
SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleout ) );

Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
5

Well, that's interesting. The code in the AB guide works, so I'll use that instead. Virtually identical anyway.