| StockFetcher Forums · General Discussion · Stop Loss Formula | << 1 2 >>Post Follow-up |
| five40 23 posts msg #59629 - Ignore five40 |
2/11/2008 6:27:06 PM Has anyone here used Dr Elders "SafeZone" in Stock Fetcher? The formula gives an guide of where to set a stop loss to avoid market noise. It's based on average downside penetration over the last X days. He lays out the formula for building this in an excel spreadsheet in the book "Come into my Trading Room". I have done this in excel and I really like the results. On the AmiBroker site I found the formula below but I have not been able to convert it to Stock Fetcher. (lots of IF statements). Trailing stop method Formula: _SECTION_BEGIN("Elder safe Zone Long + short"); L1=Ref(L,-1); H1=Ref(H,-1); Pd=Param("Period",10,1,50,1); DnPen=IIf(L UpPen=IIf(H>H1,H-H1,0); DnPenSum=Sum(DnPen,Pd); UpPenSum=Sum(UpPen,Pd); DnPenCount=Sum(L UpPenCount=Sum(H>H1,Pd); AvgDnPen=IIf(DnPenCount>0,DnPenSum/DnPenCount,0.01); AvgUpPen=IIf(UpPenCount>0,UpPenSum/UpPenCount,0.01); AvgDnPenMult=Param("Multiplier",2,1,4,0.1); AvgUpPenMult=Param("Multiplier",2,1,4,0.1); DaysInTrade=Param("Days in trade",1,1,50,1); StopLong=L-(AvgDnPen*AvgDnPenMult); StopShort=H+(AvgUpPen*AvgUpPenMult); SafeZoneStopLong=HHV(StopLong,DaysInTrade); SafeZoneStopShort=LLV(StopShort,DaysInTrade); MilieuCorps = (C+O)/2; Plot( C, "Close", ParamColor("Couleur ", colorBlack ), styleNoTitle | ParamStyle("Style") | styleCandle|styleThick); ShortStop=BeginValue(C); LongStop=BeginValue(C); i=1; for (i=1;i < BarCount; i++) { if (SafeZoneStopShort[i] >= SafeZoneStopShort[i-1] && ShortStop[i-1] <= H[i]) ShortStop[i] = SafeZoneStopShort[i] ; if (SafeZoneStopShort[i] >= SafeZoneStopShort[i-1] && ShortStop[i-1] > H[i]) ShortStop[i] = ShortStop[i-1]; if (SafeZoneStopShort[i] < SafeZoneStopShort[i-1] && ShortStop[i-1] <= H[i]) ShortStop[i] = SafeZoneStopShort[i] ; if (SafeZoneStopShort[i] < SafeZoneStopShort[i-1] && ShortStop[i-1] > H[i]) ShortStop[i] = ShortStop[i-1]; if (IsEmpty(SafeZoneStopShort[i])) ShortStop[i] = SafeZoneStopShort[i] ; if (ShortStop[i] >= SafeZoneStopShort[i]) ShortStop[i] = SafeZoneStopShort[i] ; if (SafeZoneStopLong[i] <= SafeZoneStopLong[i-1] && LongStop[i-1] >= L[i]) LongStop[i] = SafeZoneStopLong[i] ; if (SafeZoneStopLong[i] <= SafeZoneStopLong[i-1] && LongStop[i-1] < L[i]) LongStop[i] = LongStop[i-1]; if (SafeZoneStopLong[i] > SafeZoneStopLong[i-1] && LongStop[i-1] >= L[i]) LongStop[i] = SafeZoneStopLong[i] ; if (SafeZoneStopLong[i] > SafeZoneStopLong[i-1] && LongStop[i-1] < L[i]) LongStop[i] = LongStop[i-1]; if (IsEmpty(SafeZoneStopLong[i])) LongStop[i] = SafeZoneStopLong[i] ; if (LongStop[i] <= SafeZoneStopLong[i]) LongStop[i] = SafeZoneStopLong[i] ; } PlotShapes(IIf(ShortStop>Ref(ShortStop,-1), shapeHollowSmallDownTriangle, shapeNone), colorRed, 0, ShortStop, Offset=-15); PlotShapes(IIf(LongStop shapeNone), colorGreen, 0, LongStop, Offset=-15); Plot(SafeZoneStopShort,"Safe Zone Short", ParamColor("Couleur Safe Zone Short", colorRed ),ParamStyle("Style Safe Zone Short",styleDots|styleNoLine) ); Plot(SafeZoneStopLong,"Safe zone Long", ParamColor("Couleur Stop Long", colorGreen ),ParamStyle("Safe zone Long",styleDots|styleNoLine) ); Plot(ShortStop,"Stop Short", IIf(ShortStop>Ref(ShortStop,-1),colorCustom1,colorBlue),ParamStyle("Style Stop Short",styleLine|styleLine) ); Plot(LongStop,"Stop Long", IIf(LongStop Long",styleLine|styleLine) ); _N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%)n - Elder SafeZone long-Short pour trades aprčs le "+Date()+"n {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) )); Title= Title +"nc56Periode: c56" +WriteVal(Pd,1.0) +"c56 - Multiplicateur Long : c56" +WriteVal(AvgDnPenMult,1.1) +"c56 - Multiplicateur Short : c56" +WriteVal(AvgUpPenMult,1.1) +"c56 - Jour en position(inclus): c56" +WriteVal(DaysInTrade,1.0) +"nc56Milieu corps : c56" +WriteVal(MilieuCorps,1.2 ) +": c56 - N° barre : " +WriteVal(BarIndex(),1); _SECTION_END(); |
| BEVIL1 14 posts msg #59638 - Ignore BEVIL1 |
2/11/2008 11:33:10 PM No I haven't but I'd be interested in the Excel spreadsheet. Would you be kind enough to share it? |
| five40 23 posts msg #59652 - Ignore five40 |
2/12/2008 6:52:50 PM I'm not sure how to attach a file? Anyone? |
| nikoschopen 2,824 posts msg #59653 - Ignore nikoschopen modified |
2/12/2008 10:37:53 PM SafeZone Stops - Long & Short: |
| chetron 2,817 posts msg #59659 - Ignore chetron |
2/13/2008 12:03:55 PM FOR THE STANDARD FOLKS.... PUT ON YOUR THINKING CAPS. |
| nikoschopen 2,824 posts msg #59660 - Ignore nikoschopen modified |
2/13/2008 12:59:29 PM Chetron, The two formulas set{Uptrend, max(Short_Stop,Short_Stop 2 day ago)} and set{Downtrend, min(Long_Stop, Long_Stop 2 days ago)} are the "SafeZone" as defined by Alexander Elder in his book Come Into My Trading Room. If you leave the most fundamental matter out of the equation, it ain't what it supposed to be. Or is it? |
| chetron 2,817 posts msg #59663 - Ignore chetron modified |
2/13/2008 2:01:29 PM hi niko, how i understood your code was that the up and down trend value is low / highest of 2 values. so i added the variables and columns, var3 and var4 so you could eyeball the min max value, SHORT_STOP V. VAR3 AND LONG_STOP V. VAR4, and you would be able to figure out what the uptrend / downtrend values were, hoping that would still be useful. |
| five40 23 posts msg #59724 - Ignore five40 |
2/16/2008 12:49:47 PM Niko and Chetron- Thank you very much for working this out! Unfortunately, I can't see it without upgrading. I get this error: "Your StockFetcher filter exceeds filter performance restrictions." Niko- can you tell me, does your filter plot the safezone onto the cart? |
| nikoschopen 2,824 posts msg #59725 - Ignore nikoschopen modified |
2/16/2008 3:32:03 PM What you see is what you get and I do suggest that you upgrade to the Advanced subscription. |
| five40 23 posts msg #59832 - Ignore five40 |
2/20/2008 9:21:45 PM Niko- I upgraded. Good tip, well worth it. NOTE: I made a change to your filter, I changed UPTREND to this: set{Uptrend, max(Short_Stop, Short_Stop 2 days ago, Short_Stop 1 days ago)} It now matches my spreadsheet and the book. Question- How do I change the color of the uptrend plot line in SF 2.0? |
| StockFetcher Forums · General Discussion · Stop Loss Formula | << 1 2 >>Post Follow-up |