Amibroker - Simple Inside Bar Trading System Question

[illumintai 10]

Hello,

 

I am trying to develop a simple strategy with the view of further modifying the code as I move forward. But it is becoming very frustrating learning this Amibroker programming.

 

Firstly, I would like to seek some advice on how I can learn this with some structure ? I know some kind of a library exists, but I am struggling.

 

At least I am hoping to learn by asking questions around.

 

Basically the strategy is simple.

 

If a bullish inside bar is formed, I want to go long on the break of that bar high with a stoploss at the low of the bullish inside bar. Profit target is the same distance as the stoploss distance from the entry point.

 

I don't have problem using codes such as..

 

cond1 = ref(h,-1) > h;

cond2 = ref(l,-1) < l;

cond3 = c-o>0;

// which i am guessing defines a bullish inside bar.

 

I know the buy signal could be

 

buy = cond1 and cond2 and cond3;

 

but I am not entirely sure from here how I can define - buy at the break of high in the next bar.

 

And also, I understand I have to use a variation of ApplyStop function to define the stoploss and profit target.

 

PLEASE ADVISE.

 

If you can spare some more time, I would also be interested to know how I can define setting to trade only x% of capital. I managed to import my own fx data but have no idea setting up the tick value, etc ? So it seems all my back testing is done by entering 100% of capital each time :horror;

 

Thank you.

[BlowFish 10]

I don't know AFL but it seems like looking a bar further back for the signal and triggering on the current bar would do the trick.

 

cond1 = ref(h,-2) > h;

cond2 = ref(l,-2) < l;

cond3 = ref(c,-1)-ref(o,-1)>0;

 

signal = cond1 and cond2 and cond3

 

if signal then..............................................//Dont know the syntax for AFL

if c > ref (h-1) then buy.........................//buy on this bar

 

Not sure about the syntax but that logic should do it. assuming you can buy on the current bar. There are alternative ways of doing it that might be more appropriate. It is a question of logic rather than syntax of AFL. As Tams would be the first to say try to set out the logical steps and then try to code it. If you want to check for the break out on the next bar you will need to set a flag and make note of bar numbers.

[illumintai 10]

Thanks BlowFish,

 

I see what you mean.

 

Then, what happens if the current bar is indeed higher than the high of the inside bar thereby triggering the trade, but the low of the current bar is lower than the inside bar triggering the stoploss?

 

 

Thanks.

[Head2k 10]

illuminati,

AmiBroker has a function called Inside() which contains your cond1 and cond2. But lets stick to the conditions you wrote.

 

In AFL, Buy is an array. If that array contains TRUE value for a particular element (i.e. for a particular bar), then you buy in that bar.

 

So if you write

buy = cond1 and cond2 and cond3,

it is wrong, because you would buy within the inside bar itself, not in the next bar.

The correct buy condition would be

 

Buy = Ref( cond1 AND cond2 AND cond3, -1 );

 

so you would buy on a bar which follows after the inside bar. Furthermore, you need to consider that the bullish inside bar -- that is an inside bar with close > open, if I understand your definition correctly -- doesn't need to get broken in the upward direction. And you don't want to buy in such a case. To incorporate this, you need to write

 

Buy = Ref( cond1 AND cond2 AND cond3, -1 ) AND H > Ref( H, -1 );

 

which says:"I want to buy if the previous bar is a bullish inside bar and if the current bar makes high which is higher than the high of the previous bar (i.e. if the current bar breaks the high of the previous bar)."

 

To get rid of your conditions and to write everything in one line, you can use

 

Buy = Ref( Inside() AND C > O, -1 ) AND H > Ref( H, -1 );

 

Now it is important to realize that Buy array contains only the information about which conditions a bar must meet so you buy on that bar. It tells nothing about the price you buy for.

The price you buy for can be set somewhere in settings within the Automatic Analisis window (I would need to have a look at where exactly), or you can do it directly in the code. If you set the buy price in the code, it overrides the settings in the AA window.

 

In the code, you must use BuyPrice array to hold buy prices for every bar. So if you want to use stop limit with stop price 1 tick higher than the high of the previous bar and limit price 2 ticks higher than the high of the previous bar, you will write

 

tick = 0.25; // for example

BuyPrice = Ref( H, -1 ) + 2 * tick;

 

which sets you buy price always two ticks above the previous High.

(A general note: If the price defined in BuyPrice array doesn't lie in the bar which you buy at, AmiBroker uses the nearest price which does in that bar.)

 

You can define the tick value directly in the code, like I did now, or you can define it for every symbol independently. To do so you must enter it in Tick Size field in View --> Symbol Information.

Then you can refer to it in the code if you use TickSize keyword. Then you would write

 

BuyPrice = Ref( H, -1 ) + 2 * TickSize;

 

So, to sum it up so far, you need the following two lines to define your entry:

 

Buy = Ref( Inside() AND C > O, -1 ) AND H > Ref( H, -1 );

BuyPrice = Ref( H, -1 ) + 2 * TickSize;

 

assuming you defined tick size in Symbol Information window.

 

_________________________________________

 

Re position sizing, look up SetPositionSize function in AmiBroker help. You can set size as fixed $ amount, fixed share (contract) amount, % of your equity, and perhaps even as something else, i can't remember exactly.

______________________________________

 

As for ApplyStop function, I would need to study in myself first. I don't use automatic strategies so I am no expert in using related functions.

Or you can define your exits without ApplyStop. Just using Sell and SellPrice arrays. But it will get certainly complicated, because you will need to separate exiting at target(s), initial stop, trailing stop, etc. and define SellPrice appropriatelly to the exit used. You will probably use a lot of conditions (study IIF function). But the principle remains the same as for the buy signal.

[Head2k 10]

Thanks BlowFish,

 

I see what you mean.

 

Then, what happens if the current bar is indeed higher than the high of the inside bar thereby triggering the trade, but the low of the current bar is lower than the inside bar triggering the stoploss?

 

 

Thanks.

That's tricky because you don't know what happened first - the break of the low or the break of the high. But it all depends on how you define your system. The conditions I wrote in the previous post don't consider an outside bar folowing the inside bar as a special case. So every time the high of the inside bar is broken the trade is triggered.

You can write a condition for a stop in the same manner, so every outside bar after inside bar would mean entry and a full stop loss.

 

Generally, the more special cases you want to incorporate, the more complicated code you wind up with.

[Head2k 10]

Well, I hesitated whether I should write this, but one of the first things I did when i decided to pursuit the trading career was trying to program an Inside Bar system.

I can even say that the first half a year or even a year I generally mistook trading for programing. Now I wish I had invested that time better.

IMHO, programing can serve to automate certain parts of your system or even the whole system, but only after you understand what you are doing and why. That is after you spend countless hours watching the market move and understand why and how it moves.

Staring out programing this and that, tweaking and optimizing is a wasted time, IMHO.

 

Anyway, I don't know in what phase you are as a trader and I speak only from my personal experience, so I don't claim to posses the one and only truth. But perhaps you can take it as food for thought.

[illumintai 10]

Thanks Head2k,

 

Obviously my view of my own progress is always subjective and biased, so not to be relied upon. But I feel I have studied and traded inside, outside and pin bars with discretion reasonably well and have developed a "feel" for it.

 

I have noticed certain conditions in which these price action work with particular precision and the goal with amibroker is to test my theories. ..thats all...

 

Again, thanks mate.

[aaa 10]

Head2K

 

ThanX 2 your brilliant pedagogic contribution in AFL

 

Hope that your trading career is successfull now

 

rgds