stopModeRisk used for Buy and Short

AFL Programming
1

I am getting an unexpected result when ApplyStop( stopTypeTrailing, stopModeRisk ) is used with Buy and Short entries and do not know where might be the problem.

The code below is a modified version of "How does risk-mode trailing stop work?" found here

I add a short entry , used symbol AAPL from database Data and set periodicity to weekly.

If I enable only the short entry, the stop is triggered on 2016-03-04

**When I enable the Long entry (buy) the Short stop change to 2015-05-08. Why ? **

Code used with symbol AAPL from database Data and set periodicity to weekly.

/*
Using symbol AAPL from database Data , periodicity set to weekly
copied code found at http://www.amibroker.com/kb/index.php?s=applystop
add short entry
*/
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 ) ) ));

EnableBuy = ParamToggle("Enable Buy", "No|Yes", 1);
EnableShort = ParamToggle("Enable Short", "No|Yes", 1);

Buy = EnableBuy && DateNum() == 1130419; // custom entry on a fixed date
Sell = 0;
BuyPrice = SellPrice = close;

Short = EnableShort && DateNum() == 1150501; // custom entry on a fixed date
Cover = 0;
ShortPrice = CoverPrice = close;

riskSize = Param("riskSize", 35, 1, 100, 1);
daysDelay = Param("daysDelay", 41, 1, 100, 1);

ApplyStop( stopTypeTrailing, stopModeRisk, riskSize, 1, False, 0, daysDelay );

Equity( 1, 0 );

Plot( Close, "", colorDefault, styleBar );

barBuy = BarsSince( Buy );
barShort = BarsSince( Short );

if( EnableBuy ) {
	priceAtBuy = ValueWhen( Buy, BuyPrice );
	highsinceBuy = HighestSince( Buy, High );
	stoplevel = priceAtBuy + ( highsinceBuy - priceAtBuy ) * ( 100 - riskSize ) / 100;
	
	priceAtBuy = IIf(IsEmpty(barShort), priceAtBuy, Null);
	highsinceBuy = IIf(IsEmpty(barShort), highsinceBuy, Null);
	stoplevel = IIf(IsEmpty(barShort), stoplevel, Null);

	Plot( stoplevel, "\n\nBuy - stop", colorRed, styleDashed );
	Plot( highsinceBuy, "highsinceBuy", colorBlue, styleDashed );
	Plot( priceAtBuy, "priceAtBuy", colorBlue, styleDashed );
	Plot( barBuy, "BuyBars", colorDefault, styleNoline | styleNolabel | styleOwnScale);
}

if( EnableShort ) {
	priceAtShort = ValueWhen( Short, ShortPrice );
	LowestSinceShort = LowestSince( Short, Low );
	stoplevel = priceAtShort - ( priceAtShort - LowestSinceShort) * ( 100 - riskSize ) / 100;
	
	Plot( stoplevel, "\n\nShort - stop", colorRed, styleDashed );
	Plot( LowestSinceShort, "LowestSinceShort", colorBlue, styleDashed );
	Plot( priceAtShort, "priceAtShort", colorBlue, styleDashed );
	Plot( barShort, "ShortBars", colorDefault, styleNoline | styleNolabel | styleOwnScale);
}

PlotShapes( Buy*shapeUpArrow, colorGreen, 0, Low );
PlotShapes( IIf( Sell, shapeDownArrow, shapeNone ), colorRed, 0, High );

PlotShapes( Short*shapeDownArrow, colorBlue, 0, High );
PlotShapes( IIf( Cover, shapeUpArrow, shapeNone ), colorLightBlue, 0, Low );
2

Detailed info in the Knowledge Base:

http://www.amibroker.com/kb/2016/01/28/how-does-risk-mode-trailing-stop-work/

You are likely to have “reverse signal forces exit” checkbox turned on.

3

Hi Tomasz.

Thanks for answering. I add

SetOption("ReverseSignalForcesExit",0);
SetOption("AllowSameBarExit",0);

to the code and also disable the option in analysis settings, but still have the sane result.
Is there any other option I should disabel/enable ?

Code updated

SetOption("ReverseSignalForcesExit",0);
SetOption("AllowSameBarExit",0);

/*
Using symbol AAPL from database Data , periodicity set to weekly
copied code found at http://www.amibroker.com/kb/index.php?s=applystop
add short entry
*/
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 ) ) ));

EnableBuy = ParamToggle("Enable Buy", "No|Yes", 1);
EnableShort = ParamToggle("Enable Short", "No|Yes", 1);

Buy = EnableBuy && DateNum() == 1130419; // custom entry on a fixed date
Sell = 0;
BuyPrice = SellPrice = close;

Short = EnableShort && DateNum() == 1150501; // custom entry on a fixed date
Cover = 0;
ShortPrice = CoverPrice = close;

riskSize = Param("riskSize", 35, 1, 100, 1);
daysDelay = Param("daysDelay", 41, 1, 100, 1);

ApplyStop( stopTypeTrailing, stopModeRisk, riskSize, 1, False, 0, daysDelay );

Equity( 1, 0 );

Plot( Close, "", colorDefault, styleBar );

barBuy = BarsSince( Buy );
barShort = BarsSince( Short );

if( EnableBuy ) {
	priceAtBuy = ValueWhen( Buy, BuyPrice );
	highsinceBuy = HighestSince( Buy, High );
	stoplevel = priceAtBuy + ( highsinceBuy - priceAtBuy ) * ( 100 - riskSize ) / 100;
	
	priceAtBuy = IIf(IsEmpty(barShort), priceAtBuy, Null);
	highsinceBuy = IIf(IsEmpty(barShort), highsinceBuy, Null);
	stoplevel = IIf(IsEmpty(barShort), stoplevel, Null);

	Plot( stoplevel, "\n\nBuy - stop", colorRed, styleDashed );
	Plot( highsinceBuy, "highsinceBuy", colorBlue, styleDashed );
	Plot( priceAtBuy, "priceAtBuy", colorBlue, styleDashed );
	Plot( barBuy, "BuyBars", colorDefault, styleNoline | styleNolabel | styleOwnScale);
}

if( EnableShort ) {
	priceAtShort = ValueWhen( Short, ShortPrice );
	LowestSinceShort = LowestSince( Short, Low );
	stoplevel = priceAtShort - ( priceAtShort - LowestSinceShort) * ( 100 - riskSize ) / 100;
	
	Plot( stoplevel, "\n\nShort - stop", colorRed, styleDashed );
	Plot( LowestSinceShort, "LowestSinceShort", colorBlue, styleDashed );
	Plot( priceAtShort, "priceAtShort", colorBlue, styleDashed );
	Plot( barShort, "ShortBars", colorDefault, styleNoline | styleNolabel | styleOwnScale);
}

PlotShapes( Buy*shapeUpArrow, colorGreen, 0, Low );
PlotShapes( IIf( Sell, shapeDownArrow, shapeNone ), colorRed, 0, High );

PlotShapes( Short*shapeDownArrow, colorBlue, 0, High );
PlotShapes( IIf( Cover, shapeUpArrow, shapeNone ), colorLightBlue, 0, Low );
4

Does anyone get the expected result from the code above ?

5

Using Amibroker 6.25 , 32 bits, still do not know what I am doing wrong in the above code, Can not make stoploss of short work if I have long and short positions.

Does anyone knows what is wrong ?

6

if it is of any help: I could reproduce your problem but do not know where the problem lies other then it seems to be inside Applystop.

7

Thanks for your time and feedback

12