Timing Trigger vs Entry Prices

AFL Programming
#1

Hello

I am trying to create an entry rule so that the entry is only executed the following day if the high exceeds the previous days high by $0.10 (buy). I haven't even got to the $0.10 yet, just working on exceeding the previous high.

My question:

If I am using (buytriggered, -1) for an entry signal, and also have the setup referencing previous bars, do I need to account for that in the bar setting, so for example, if I am wanting 3 lower lows, this would normally be Ref(-1/2/3), but since I am using a the -1buytrigger do I need to drop these back one (Ref(-2/3/4) ?

And if anyone can help me with the code for only executing when the high exceeds previous high by $X that would be greatly appreciated ...

//The Trend
X=MA(C,10);
Y=MA(C,50);
Z=MA(C,200);

Uptrend1 = C > X AND X > Y;
Uptrend2 = Z > Ref(Z,-1);
Uptrend = Uptrend1 AND Uptrend2;
Downtrend1 = C < X AND X < Y;
Downtrend2 = Z < Ref(Z,-1);
Downtrend = Downtrend1 AND Downtrend2;

// The Setuo
id = H < Ref(H,-1) AND L > Ref(L,-1);
LLL = L < Ref(L,-1) AND Ref(L,-2) < Ref(L,-3) AND Ref(L,-3) < Ref(L,-4);
LLI = id AND Ref(L,-2) < Ref(L,-3) AND Ref(L,-3) < Ref(L,-4);
HHH = H > Ref(H,-1) AND Ref(H,-2) > Ref(H,-3) AND Ref(H,-3) > Ref(H,-4);
HHI = id AND Ref(H,-2) > Ref(H,-3) AND Ref(H,-3) > Ref(H,-4);

buytriggered = Uptrend AND (LLL OR LLI);
selltriggered = Downtrend AND (HHH OR HHI);

Buy = Ref(buytriggered, -1) AND H > Ref(High,-1);
Short = Ref(selltriggered, -1) AND L < Ref(Low,-1);
Sell = Short;
Cover = Buy;

Thanks

#2

No. Your setup is your setup, 'Buy = Ref(buyTrigger, -1)' is just telling AmiBroker to Buy on the next Bar after your buy condition is met. It's separate to what your actual condition is.

Modify below code to suit your specific logic.

// The Trend
X=MA(C,10);
Y=MA(C,50);
Z=MA(C,200);

Uptrend1 = C > X AND X > Y;
Uptrend2 = Z > Ref(Z,-1);
Uptrend3 = H > Ref(High,-1);
Uptrend = Uptrend1 AND Uptrend2 AND Uptrend3;

Downtrend1 = C < X AND X < Y;
Downtrend2 = Z < Ref(Z,-1);
Downtrend3 = L < Ref(Low,-1);
Downtrend = Downtrend1 AND Downtrend2 AND Downtrend3;

// The Setup
id = H < Ref(H,-1) AND L > Ref(L,-1);

Low_3 = LLV(Low < Ref(Low, -1), 3);
Low_2_startOneBack = LLV(Ref(Low, -1) < Ref(Low, -2), 2);
LLI = id AND Low_2_startOneBack;

High_3 = LLV(High < Ref(High, -1), 3);
High_2_startOneBack = LLV(Ref(High, -1) < Ref(High, -2), 2);
HHI = id AND High_2_startOneBack;

buytriggered = Uptrend AND (Low_3 OR LLI);
selltriggered = Downtrend AND (High_3 OR HHI);

buyLimitPrice = Ref(High, -1) + 0.10;
executionBarCondition = High >= buyLimitPrice;

Buy = Ref(buytriggered, -1) AND executionBarCondition;
Short = Ref(selltriggered, -1);
Sell = Short;
Cover = Buy;
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#3

FWIW,

LLL(Low < Ref(Low, -1), 3)

is not the same as

LLL = L < Ref(L,-1) AND Ref(L,-2) < Ref(L,-3) AND Ref(L,-3) < Ref(L,-4);

See below pic of comparing buytriggered and selltriggered of each version.

Here is correction using Sum() function.

/// The Trend
X=MA(C,10);
Y=MA(C,50);
Z=MA(C,200);

Uptrend1 = C > X AND X > Y;
Uptrend2 = Z > Ref(Z,-1);
Uptrend = Uptrend1 AND Uptrend2;
Downtrend1 = C < X AND X < Y;
Downtrend2 = Z < Ref(Z,-1);
Downtrend = Downtrend1 AND Downtrend2;

rc_L = ROC(L,1);
rc_H = ROC(H,1);

// The Setup
/// correction to LLV
/// @link https://forum.amibroker.com/t/timing-trigger-vs-entry-prices/19054/3
period = 2;
id = rc_H < 0 AND rc_L > 0;
prev_sumL = Ref(Sum(rc_L<0, period),-2) == period;
LLL = rc_L < 0 AND prev_sumL;
LLI = id AND prev_sumL;
prev_sumH = Ref(Sum(rc_H>0, period),-2) == period;
HHH = rc_H > 0 AND prev_sumH;
HHI = id AND prev_sumH;

buytriggered = Uptrend AND (LLL OR LLI);
selltriggered = Downtrend AND (HHH OR HHI);

// etc. below

And with little bit further simplification

//The Trend
X=MA(C,10);
Y=MA(C,50);
Z=MA(C,200);

Uptrend1 = C > X AND X > Y;
Uptrend2 = Z > Ref(Z,-1);
Uptrend = Uptrend1 AND Uptrend2;
Downtrend1 = C < X AND X < Y;
Downtrend2 = Z < Ref(Z,-1);
Downtrend = Downtrend1 AND Downtrend2;

rc_L = ROC(L,1);
rc_H = ROC(H,1);

/// The Setup
/// correction to LLV
/// @link https://forum.amibroker.com/t/timing-trigger-vs-entry-prices/19054/3
period = 2;
id = rc_H < 0 AND rc_L > 0;
LLL = rc_L < 0;
LLI = id;
HHH = rc_H > 0;
HHI = id;

prev_sumL = Ref(Sum(LLL, period),-2) == period;
prev_sumH = Ref(Sum(HHH, period),-2) == period;
buytriggered = Uptrend AND (LLL OR LLI) AND prev_sumL;
selltriggered = Downtrend AND (HHH OR HHI) AND prev_sumH;

// etc. below

17

4 Likes
#4

Big thanks to both, very helpful and insightful. Just when I think I am getting okay at writing my code, you poets show how much more there is to learn :slight_smile:

2 Likes