StockFetcher Forums · Filter Exchange · Kevin_in_GA -- would you repost a script?<< 1 2 3 4 >>Post Follow-up
Kevin_in_GA
4,544 posts
msg #102188
Ignore Kevin_in_GA
8/11/2011 3:02:35 PM

If you are using weekly data, the start and end dates are predefined. This is the most easily accessed data (from Yahoo or other sources) and so backtesting on a day of week - e.g., each Tuesday - is not really practicable or easily done.

Another approach that I have looked at is to take the MA(5) as the data set, and look back 65 days (13 weeks, plus one week from the MA).

Fetcher[

symlist(spy,iwm,efa,bnd)

set{MA1, MA(5) - MA(5) 65 days ago}
set{MA2, MA1 / MA(5) 65 days ago}
set{performance, MA2 * 100}

add column performance
sort on column 5 descending
]



This way you are using daily data and smoothing it out using the 5-day moving average. This is not optimized per se, but uses the same basic 14 week look back period that has shown consistently good performance.

jackmack
333 posts
msg #102190
Ignore jackmack
8/11/2011 4:45:47 PM

Thank you - that sure answered the day question - spot on.
One more please - would it be prudent to use stops at all since you
are all in on 1 ETF?
Thank you

Kevin_in_GA
4,544 posts
msg #102191
Ignore Kevin_in_GA
8/11/2011 6:19:46 PM

No stops - this is designed without stops, and is based on the work of Mebane Faber. Think of 401ks, were you do not have stops.

saico
55 posts
msg #102551
Ignore saico
9/6/2011 8:54:33 AM

Hi Kevin,

I found a very promising script for WL with a solid track record. Do you think its possible to have this written as a SF script? Unfortunately I'm not that good in coding, but I think its worth the work.

Regards
saico

Here's the script.

var LOW1, BUYLIMITPRICE: float;
var LOW, WAGER, BAR, BAND: integer;
InstallProfitTarget (5);
Low := CreateSeries();
wager := 5000;

for Bar := 3 to BarCount() - 1 do
begin
Low1 := (PriceLow (bar) * 0.87);
SetSeriesValue(Bar, Low, Low1);
end;

Band := offsetSeries(low, -1);
PlotSeries( Band, 0, #red, 0 );

for Bar := 3 to BarCount() - 1 do
begin
if LastPositionActive() then
begin
{ Exit Trade }
ApplyAutoStops (bar);
If Bar + 1 - PositionEntryBar( LastPosition() ) > 2 then
SellAtMarket ( Bar + 1, LastPosition(), 'TIME Exit' );
end
else
begin
{Enter Trade}
BuyLimitPrice := ( GetSeriesValue(Bar, Low));
if ((PriceClose( Bar-1 ) < PriceOpen( Bar-1 ))
and (PriceClose( Bar ) < PriceOpen( Bar ))
and (PriceClose( Bar ) < PriceClose( Bar-1 ))
and (PriceOpen( Bar ) < PriceClose( Bar-1 )))
then
BuyAtLimit( Bar + 1, BuyLimitPrice, '');
end;
end;






Kevin_in_GA
4,544 posts
msg #102552
Ignore Kevin_in_GA
9/6/2011 10:07:03 AM

saico:

I honestly have no idea what this even means. Not sure that it relates to this particular thread either. Can you provide more detail on what it does and perhaps the historical performance that makes it worthwhile?

This might be best explored in a new thread.

straken
469 posts
msg #102553
Ignore straken
9/6/2011 9:37:17 PM

Smells like MT script except it isn't. Saico, Stockfetcher is EOD data it does not read daily bars and intraday time frames. If your looking for the TS or MT4 scripts for trailing stops you can modify some of mine for your needs.


// Trailing SELL
if(OrderStopLoss()-Ask>LockProfit*Point)
{
OrderModify(OrderTicket(),OrderOpenPrice(),Ask+Loc kProfit*Point,OrderTakeProfit(),0);
///__REMOVED__/-Ask," ",LockProfit*Point," ",Ask+LockProfit*Point);
}
Text[3]="Trailing SL at trade no: #"+OrderTicket();
ObjectSet("ObjLabel4", OBJPROP_CORNER, 1);
ObjectSet("ObjLabel4", OBJPROP_XDISTANCE, 10);
ObjectSet("ObjLabel4", OBJPROP_YDISTANCE, 45);
ObjectSetText("ObjLabel4", Text[3], 7, "Arial",Yellow);

}
else if (Digits==3 || Digits==5) // for broker 5 Digits
{

for(iTrade=0; iTrade{
OrderSelect(iTrade, SELECT_BY_POS, MODE_TRADES);
if(OrderSymbol()!=Symbol()) continue;
if(OrderType()==0)
{

// Coding for BUY condition
if (OrderStopLoss()==0 && OrderTakeProfit()==0)
{
// If SL && TP ==0, Then Setup SL && TP now
if(OrderModify(OrderTicket(),OrderOpenPrice(),Bid-StopLoss*Point*10,Ask+TakeProfit*Point*10,0)==true )
{
Text[3]="Put SL and TP at trade BUY no: #"+OrderTicket();
}
else
{
Text[3]="ERROR -- Put SL and TP at trade BUY no: #"+OrderTicket();
}
ObjectSet("ObjLabel4", OBJPROP_CORNER, 1);
ObjectSet("ObjLabel4", OBJPROP_XDISTANCE, 10);
ObjectSet("ObjLabel4", OBJPROP_YDISTANCE, 45);
ObjectSetText("ObjLabel4", Text[3], 7, "Arial",Yellow);

}
else
{

// Check if profit ? Is it possible to move the Stop Loss ?
if (Bid-OrderOpenPrice()>LockProfit*Point*10)
{
// Yes, move the SL. Lock the profit +1
if(OrderStopLoss()<=OrderOpenPrice())
{
if(OrderModify(OrderTicket(),OrderOpenPrice(),Orde rOpenPrice()+1*Point*10,OrderTakeProfit(),0)==true )
{
Text[3]="Modify SL at trade BUY no: #"+OrderTicket();
}
else
{
Text[3]="ERROR -- Modifying SL at trade BUY no: #"+OrderTicket();
}
ObjectSet("ObjLabel4", OBJPROP_CORNER, 1);
ObjectSet("ObjLabel4", OBJPROP_XDISTANCE, 10);
ObjectSet("ObjLabel4", OBJPROP_YDISTANCE, 45);
ObjectSetText("ObjLabel4", Text[3], 7, "Arial",Yellow);

}
else
{
// Trailing BUY
if(Bid-OrderStopLoss()>LockProfit*Point*10)
{
OrderModify(OrderTicket(),OrderOpenPrice(),Bid-LockProfit*Point*10,OrderTakeProfit(),0);
///__REMOVED__/," ",LockProfit*Point," ",Bid-LockProfit*Point);
}
Text[3]="Trailing SL trade no: #"+OrderTicket();
ObjectSet("ObjLabel4", OBJPROP_CORNER, 1);
ObjectSet("ObjLabel4", OBJPROP_XDISTANCE, 10);
ObjectSet("ObjLabel4", OBJPROP_YDISTANCE, 45);
ObjectSetText("ObjLabel4", Text[3], 7, "Arial",Yellow);
}
else
{
// Coding for SELL condition
if (OrderStopLoss()==0 && OrderTakeProfit()==0)
{
// If SL && TP ==0, Then Setup SL && TP now
if(OrderModify(OrderTicket(),OrderOpenPrice(),Ask+ StopLoss*Point*10,Bid-TakeProfit*Point*10,0)==true)
{
Text[3]="Put SL and TP at trade SELL no: #"+OrderTicket();
}
else
{
Text[3]="ERROR -- Put SL and TP at trade SELL no: #"+OrderTicket();
}
ObjectSet("ObjLabel4", OBJPROP_CORNER, 1);
ObjectSet("ObjLabel4", OBJPROP_XDISTANCE, 10);
ObjectSet("ObjLabel4", OBJPROP_YDISTANCE, 45);
ObjectSetText("ObjLabel4", Text[3], 7, "Arial",Yellow);
}
else
{
if (OrderOpenPrice()-Ask>LockProfit*Point*10)
{
// Yes, move the SL. Lock the profit +1
if(OrderStopLoss()>=OrderOpenPrice())
{
if(OrderModify(OrderTicket(),OrderOpenPrice(),Orde rOpenPrice()-1*Point*10,OrderTakeProfit(),0)==true)
{
Text[3]="Modify SL at trade SELL no: #"+OrderTicket();
}
else
{
Text[3]="ERROR -- Modifying SL at trade SELL no: #"+OrderTicket();
}
ObjectSet("ObjLabel4", OBJPROP_CORNER, 1);
ObjectSet("ObjLabel4", OBJPROP_XDISTANCE, 10);
ObjectSet("ObjLabel4", OBJPROP_YDISTANCE, 45);
ObjectSetText("ObjLabel4", Text[3], 7, "Arial",Yellow);

}
else
{
// Trailing SELL
if(OrderStopLoss()-Ask>LockProfit*Point*10)
{
OrderModify(OrderTicket(),OrderOpenPrice(),Ask+Loc kProfit*Point*10,OrderTakeProfit(),0);
///__REMOVED__/-Ask," ",LockProfit*Point," ",Ask+LockProfit*Point);
}
Text[3]="Trailing SL at trade no: #"+OrderTicket();
ObjectSet("ObjLabel4", OBJPROP_CORNER, 1);
ObjectSet("ObjLabel4", OBJPROP_XDISTANCE, 10);
ObjectSet("ObjLabel4", OBJPROP_YDISTANCE, 45);
ObjectSetText("ObjLabel4", Text[3], 7, "Arial",Yellow);

return(0);
//Straken Rev H=Stockfinder


StockFetcher Forums · Filter Exchange · Kevin_in_GA -- would you repost a script?<< 1 2 3 4 >>Post Follow-up

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