Re: [amibroker] Re: AIRAP - fitness function
Hi Scott, What about replacing MaxDD by AvgDD + 2 * StdevDD ? Regards, Ton. - Original Message - From: sdwcyberdude To: amibroker@yahoogroups.com Sent: Wednesday, September 08, 2010 4:34 PM Subject: [amibroker] Re: AIRAP - fitness function Tomasz, I also use and see value in the Max DD, however, I believe it is should only be a secondary measure. Think of a 10 year backtest. System X has 1 drawdown of 30% (max), and many small drawdown never exceeding 5%. System Y has 1 drawdown of 25% (max), and 10+ other drawdowns between 20 and 23%. Which system is more stable? I will invest risk capital in System X, which has the higher max drawdown, but much fewer drawdowns of depth. I would love to have a measure of drawdown that more directly and intuitively measures the depth and frequency of drawdowns per unit of time. Correlation of the equity curve also gets at that point. Regarding the Omega, I am relying on a friend who studied both the advanced math and models and uncover significant concerns with the Omega (I seem to recall in was bias issues around skewness and kurtosis, but I might be wrong), however it was unpublished work for hedge funds. He also developed a proprietary alternative. Sorry I can't be more helpful on that one. Kind Regards, Scott --- In amibroker@yahoogroups.com, tf28373 tom...@... wrote: Hi Scott Thanks for response. I agree that the Sortino ratio is a kind of solution to the typical Sharp ratio disadvantages (like penalization high moments, which for me is irrational). Nevertheless, there is no max dd taken into account, which confuses me a bit. However, I might be too devoted to this risk measure (max dd) - what do you think? Is mean and its variance better/sufficient values as far as the characteristics of equity line is considered? (This is what brain123 was supporting in many discussions.) One should be careful if it is built upon the Omega, which I believe introduces other problems. That is an interesting point - can you elaborate a bit on this one? In fact I was hoping to get this kind of information when starting this thread as - frankly speaking - I don't feel familiar with plain maths enough to analyse it... Looking forward to your response. Regards Tomasz --- In amibroker@yahoogroups.com, sdwcyberdude scwalker1986@ wrote: Tomasz, Thanks for raising this question (and for the good work you do). The Sortino Ratio is a well regarding improvement upon the Sharpe; I urge you to consider adding the Sortino to the base metric array. Is there a reason you passed on it earlier? The Sharpe ratio has a lot of problems and I was not familiar with the AIRAP. One should be careful if it is built upon the Omega, which I believe introduces other problems. Regards, Scott --- In amibroker@yahoogroups.com, tf28373 tomfid@ wrote: Hello everyone I have been working on the choose of fitness function following the Howard Bundy's advices in his Quantitative Trading Systems and come across M. Sharma's Alternative Investments Risk Adjusted Performance (AIRAP). The equation of it is as following: AIRAP = [ E pi*(1+TRi)(1-c) ] 1/(1-c) - 1, where TRi - ith period total fund return (in my opinon it can also be ith trade net return), c - risk aversion parameter (author suggests to set its value to c=4), i=1,...,N - number of periods (as for me it can be number of trades), pi - the probability of the ith period's total return (according to the author it can be replaced with 1/N). (For futher information please check this working paper: http://www.intelligenthedgefundinvesting.com/pubs/rb-ms01.pdf http://www.intelligenthedgefundinvesting.com/pubs/rb-ms01.pdf .) M. Sharma argues that this measure captures all higher moments, penalizes for higher volatility and leverage (downside risk is penalized more) and has all merits of Sharp ratio, though without its limitations and disadvantages. I have carried out some simulations on the artificial returns of different distributions and indeed it makes some difference. Nevertheless what I am suspicious about is the fact that it was the very first time I found this objective function even though it was created by Sharma about 5 years ago. As for me it can mean that AIRAP is in fact far from being effective or/and practical fitness measure at least for trader like us and nobody use it (maybe I am wrong...). Another issue that concerns me a bit is omission of MaxDrawDown in the equation, which - at least for me - is a very important risk measure. According to many experienced wise people writing on this forum (like ex Mr Bundy), an effective fitness function shouls take Max DD or some comparable risk
Re: [amibroker] OT: installing OS again
Hi Anthony/Herman, I missing something in this conversation. It's the BIOS determining the BOOT process ? Regards, Ton. - Original Message - From: Herman To: Anthony Faragasso Sent: Wednesday, September 08, 2010 1:43 PM Subject: Re: [amibroker] OT: installing OS again I don't think that is possible because before it can access the external hard-disk the OS must be running the drivers, i.e., the OS must be loaded. herman Herman, I purchased an external HD...if I install the OS ( Vista ) on the external HD, will the computer boot from there ? Anthony - Original Message - From: Herman To: Keith McCombs Sent: Wednesday, September 08, 2010 3:19 AM Subject: Re: [amibroker] OT: installing OS again A fresh install of the OS most of the time leads to new install of most programs you use. If you have many you always miss some and always have to serach for install disks, passwords, etc. My way around this is to add another harddisk and leave the old one intact and functional. Then install on the new Hard disk. You will still have to install all the programs but at least you can still access everything you missed copying. Having two hard disks you can do a new OS install periodically without having to worry about losing anything. I do the same when upgrading OS and now have three HDs, XP, Vista and W7. herman Before you attempt to do anything else, make a complete image of your hard drive. Make sure that your disk imaging software will allow you to recover individual folders and files as well as the entire image. Then see if you can run your OS installation software in 'Repair' mode. If you can, you may end up fixing what ever your problem is, without needing to reinstall any software. If that doesn't work, maybe you might have to reinstall the OS. Are you absolutely sure that the only solution to your problem is a complete re-install? Positive? Absolutely Positive? If so: Just because you have copies of all your installed programs does NOT mean that you can merely copy them onto the newly installed OS. You will have to re-install almost all of your programs. For this you need the Original installation programs, including protection keys, either on disks or saved elsewhere. Good luck, -- Keith BTW, I have been using PC's since the very first IBM ones. Probably owned a couple of dozen since then. The only time I have had to reinstall an OS was when I lost my first HD more than 25 years ago. Since then, I make drive images and/or use other work arounds. On 9/7/2010 02:36, reinsley wrote: Hi, IMO, before to format, save your My documents files ( it's another name under Vista, the file containing all your personnal documents), save your bookmarks ( IE or Firefox), save your Outlook settings (address book contacts, settings accounts) Emails as well if needed, but they are on ISP's server. Save the other application files such as AB, into c:\Program Files. Your formulas, your databases, etc. are there. Then format the disk, and start from scratch, install vista. Don't forget the drivers. Install all your applications. Printer and gadgets... Restore your My documents, and AB formulas, AB databases. You can do a todolist of the actions before to start. You update this document as and when you did it. Next install you update your technical notes, the order to proceed, the things forgotten. It's a good way to never miss a step. When everything is running fine for a while, you know what is worth to backup from time to time. :) Best regards Le 07/09/2010 00:44, Anthony Faragasso a écrit : I need to re-install windows Vista to correct several issues I am having... I purchased an external Hard drive...How do I move all programs and files to the external hard drive and then move them back to the computers internal hard drive after re-installing the operating system ? I do not think just backing up the internal hard drive will preserve all programs...some programs I do not have disks for... Help... thank you Anthony
Re: [amibroker] Re: Don't use AmiQuote ver 2.12 for Fundamental Data
and apples be compared
or apples and oranges?
Bill
- Original Message -
From: Ton Sieverding
To: amibroker@yahoogroups.com
Sent: August 16, 2010 3:54 AM
Subject: Re: [amibroker] Don't use AmiQuote ver 2.12 for Fundamental
Data
Hi. If AmiQuote is unreliable and if Yahoo gives the correct data
than I should not have the same errors when downloading Yahoo data with other
downloaders. But I do ... Please prove me why AmiQuote is unreliable just by
showing that downloading the same data from Yahoo and a different downloader
gives different results. Not by just telling me that AmiQuote is unreliable ...
Regards, Ton.
- Original Message -
From: donangiecarlson
To: amibroker@yahoogroups.com
Sent: Monday, August 16, 2010 2:21 AM
Subject: [amibroker] Don't use AmiQuote ver 2.12 for Fundamental
Data
The program is so bad it probably loads incorrect ticker quotes as
well. The Basic Data changes/deletes the Extended Data and when Extended Data
is loaded it changes/deletes Basic Data. Many people have said that the Yahoo
data is unreliableit's probably more because AmiQuote is unreliabel and
doesn't load info correctly. #...@*
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Don't use AmiQuote ver 2.12 for Fundamental Data
Hi. If AmiQuote is unreliable and if Yahoo gives the correct data than I should not have the same errors when downloading Yahoo data with other downloaders. But I do ... Please prove me why AmiQuote is unreliable just by showing that downloading the same data from Yahoo and a different downloader gives different results. Not by just telling me that AmiQuote is unreliable ... Regards, Ton. - Original Message - From: donangiecarlson To: amibroker@yahoogroups.com Sent: Monday, August 16, 2010 2:21 AM Subject: [amibroker] Don't use AmiQuote ver 2.12 for Fundamental Data The program is so bad it probably loads incorrect ticker quotes as well. The Basic Data changes/deletes the Extended Data and when Extended Data is loaded it changes/deletes Basic Data. Many people have said that the Yahoo data is unreliableit's probably more because AmiQuote is unreliabel and doesn't load info correctly. #...@*
Re: [amibroker] RE - 5.30.3
Correct. I have the same problem and it's the first time I see this ... Tomasz something wrong or new settings ? Regards, Ton. - Original Message - From: cas soni To: AB Sent: Wednesday, July 21, 2010 8:14 PM Subject: [amibroker] RE - 5.30.3 [1 Attachment] [Attachment(s) from cas soni included below] sir, i have installed new version 5.30.3.5106 .and i found that when ever i start amibroker , chart gets plotted from the begining [ first data ] please check this image. Kindly guide me if i am doing anything wrong Thank you
Re: [amibroker] Re: RE - 5.30.3
Thanks Tomasz for the quick fix. Works fine again ...
Regards, Ton.
- Original Message -
From: Tomasz Janeczko
To: amibroker@yahoogroups.com
Sent: Wednesday, July 21, 2010 8:56 PM
Subject: Re: [amibroker] Re: RE - 5.30.3
Hello,
I am sorry about this. Please redownload.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-07-21 20:51, rise_t575 wrote:
I confirm.
--- In amibroker@yahoogroups.com, Ton Sieverdington.sieverd...@...
wrote:
Correct. I have the same problem and it's the first time I see this ...
Tomasz something wrong or new settings ?
Regards, Ton.
- Original Message -
From: cas soni
To: AB
Sent: Wednesday, July 21, 2010 8:14 PM
Subject: [amibroker] RE - 5.30.3 [1 Attachment]
[Attachment(s) from cas soni included below]
sir,
i have installed new version 5.30.3.5106 .and i found that when ever i
start amibroker , chart gets plotted from the begining [ first data ] please
check this image.
Kindly guide me if i am doing anything wrong
Thank you
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Re: PLOT OVERLAY AFL FOR RECESSIONS
Hi, I like really like this one. Something for the FED -)
12/01/2007,12/31/2010
Regards, Ton.
- Original Message -
From: notanaiqgenius
To: amibroker@yahoogroups.com
Sent: Wednesday, July 07, 2010 12:05 AM
Subject: [amibroker] Re: PLOT OVERLAY AFL FOR RECESSIONS
Hi BisTrader,
No need to study it (unless you want to). It should work if you just do the
following:
1) copy my code to new afl document.
2) create this directory: c:\abTestData\
3) with Notepad copy and paste the following dates into a file and save it as
a .csv file in that abTestData directory. Name the file recessions.csv
4) apply to afl document to chart and Enjoy.
09/01/1902,08/31/1904
05/01/1907,06/30/1908
01/01/1910,01/31/1912
01/01/1913,12/31/1914
08/01/1918,03/31/1919
01/01/1920,07/31/1921
05/01/1923,07/31/1924
10/01/1926,11/30/1927
08/01/1929,03/31/1933
05/01/1937,06/30/1938
02/01/1945,10/31/1945
11/01/1948,10/31/1949
07/01/1953,05/31/1954
08/01/1957,04/30/1958
04/01/1960,02/28/1961
12/01/1969,11/30/1970
11/01/1973,03/31/1975
01/01/1980,07/31/1980
07/01/1981,11/30/1982
07/01/1990,03/31/1991
03/01/2001,11/30/2001
12/01/2007,12/31/2010
--- In amibroker@yahoogroups.com, bistrader bistra...@... wrote:
Wow. Need to study. More work than expected. Most is ready the csv file and
converting to 1s and 0s it appears. Thanks for sharing.
--- In amibroker@yahoogroups.com, notanaiqgenius notanaiqgenius@ wrote:
Sebastian and bistrader,
That is a very clean, fast, and simple solution, Sebastian. I actually
prefer your method most of the time.
However, I kind of got carried away and wrote it the hard way reading a
csv file directly with the string functions. This code could be used to
plot user-defined periods of any sort whose start and end dates are
stored in two columns in a csv file.
Please read the comments at the top of my code so you know how the
begin and end recession dates should be formatted in the csv file. I
wrote the dates for the recessions from then nber.org website from 1900
to now, and just guessed that the current recession would end at the
end of this year. You can find them in a comment below the main code.
I fully debugged this and it works. It basically parses the dates out
of a csv file and then loops through to make a isRecession boolean
array, which is then plotted on the chart in gray area, as bistrader
originally requested.
I hope you like this solution!
-Paul
CODE:
/*Coded By: Paul D. ( notanaiqgenius@ )
Last Modified: 07/05/2010 using Amibroker 5.3
for Yahoo amibroker group message #150705 for bistrader
NOTE #1: CSV file must be in following format:
MM/DD/,MM/DD/
MM/DD/,MM/DD/
MM/DD/,MM/DD/
where the first column is the START Of the recession OR period AND
the Second column is the END Of the recession OR period
NOTE #2: be sure to feed the full folder AND file path with \\ slashs
for folder/file
separators; it should look like this path string:
C:\\abTestData\\recessions.csv
You will need to make a folder called abTestData and put the
recessions.csv file
in there if you want my code to work as-is
NOTE #3: the Plot should be inserted as an OVERLAY.
NOTE #4: dates before 1900 won't work i don't think because i used Easy
Language style dates
which are in the format of YYYMMDD like 1101231. 01/01/1900 would be
101, so can't go before
01/01/1900. Sorry didn't think about this beforehand. */
function GetRecessionDates(returnBeginOrEnd, fullPathAndFileName)
{ //if you want the BEGIN dates array to be returned, set
returnBeginOrEnd to 0
//if you want the END dates array to be returned, set
returnBeginOrEnd to 1
local recDateStr;
local fh;
recDateStr = ;
fh = fopen(fullPathAndFileName,r);
if (fh)
{
while(!feof(fh)) //get all text/string from csv file
{
recDateStr += fgets(fh);
recDateStr += ,;
}
fclose(fh);
//_TRACE(the string: + recDateStr);
//parse string and put it into an numeric array that this
function will return
rDatesBEGINarr = 0; rDatesENDarr = 0;
DateCntr = 0; rDatesBEGINcntr = 0; rDatesENDcntr = 0;
slashCounter = 0;
MonthNum = 0; DayNum = 0; YearNum = 0; tempDateNum = 0;
i = 0;
fp = 0; //fp = first position
while(iStrLen(recDateStr))
{
if(StrMid(recDateStr,i,1)==/)
{
switch(slashCounter)
{
case 0: MonthNum =
StrToNum(StrMid(recDateStr,fp,i-fp));break; //save month
case 1: DayNum =
StrToNum(StrMid(recDateStr,fp,i-fp));break; //save day
}
slashCounter++;
fp = i + 1;
}
//save year + entire datenum
if(StrMid(recDateStr,i,1)==, StrMid(recDateStr,i-1,1)
Re: [amibroker] impenetrable AFL
Hi Rick, As you can see, in the mean time I have got several answers. Interesting enough we all have different opinions about this topic. But frankly I do not agree with It becomes just a number, not an array. Why not ? Because that's not what I see. Did you ever try to access different elements in a number ? Do the following ... // This is an array ... myString = Close; _TRACE(myString1 +myString); _TRACE(myString2 +Ref(myString,-1)); _TRACE(myString3 +Ref(myString,-2)); // This still is an array ... mySuperStr = StrToNum(NumToStr(Close)); _TRACE(mySuperString1 +mySuperStr); _TRACE(mySuperString2 +Ref(mySuperStr,-1)); _TRACE(mySuperString3 +Ref(mySuperStr,-2)); Giving me : So for me it's still an array. And according to the AmiBroker Help you cannot handle arrays with an simple IF. For that you need a complex IIF. Now it seems that if all elements in an array are equal, it's possible to use the simple IF. Because the IF thinks you are working with a number or string. ( Bruce ) If that's the case - and only Tomasz can tell me that - than the above is a simple way to use the simple IF for situations where you normally should use an complex IIF ... Therefore I find this code very interesting ... Regards, Ton. - Original Message - From: Rick Osborn To: amibroker@yahoogroups.com Sent: Tuesday, June 15, 2010 2:50 AM Subject: Re: [amibroker] impenetrable AFL Ton You may have this a little backward. The first operation is NumToString - which changes the array value to a string. The next operation is StrToNum - which changes the string back to a number. It becomes just a number, not an array Best Regards Rick Osborn -- From: Ton Sieverding ton.sieverd...@scarlet.be To: amibroker@yahoogroups.com Sent: Mon, June 14, 2010 4:11:34 AM Subject: Re: [amibroker] impenetrable AFL Rick changing a string to a number THAT'S COMING FROM AN ARRAY and after that changing a number to a string again, should give me the same array with the initial strings. But the fact that I can use IF after the string manipulation shows me that I am no longer having an array ... I still do not get this. Weird ... Tomasz Regards, Ton. - Original Message - From: Rick Osborn To: amibro...@yahoogrou ps.com Sent: Sunday, June 13, 2010 5:33 PM Subject: Re: [amibroker] impenetrable AFL First off let me repeat - this is not my original code. I found it in someone's code for TD Sequential (with apologies to the original coder - didn't keep your name) The Buysignal is a Flip(Buy,Sell) type - or could be a true/false item. Checking the help file the NunToStr says FUNCTION It is used to convert numeric value of NUMBER or ARRAY to string. Next the StrToNum function FUNCTION It is used to convert numeric value of NUMBER or ARRAY to string. So the combination of changing that value of the array from a number to a string and then that string back to a number (not an array) LastValue works the same but I still don't understand that function well enough. From the help file FUNCTION Returns last calculated value of the specified ARRAY. The result of this function can be used in place of a constant (NUMBER) in any function argument. If ARRAY is undefined (e.g., only 100-days loaded and you request the last value of a 200-day moving average) then the lastvalue function returns zero. Caveat: since this function fills an entire data array with the last value of another array, it allows a formula to look into the future. so if there are repeated events (buy signals and sell signals), I'm not sure if lastvalue sees any but the last one. Plus I worry about the Caveat!! Best Regards Rick Osborn From: Ton Sieverding ton.sieverding@ scarlet.be To: amibro...@yahoogrou ps.com Sent: Sun, June 13, 2010 2:55:32 AM Subject: Re: [amibroker] impenetrable AFL That's interesting code, Rick. Can you explain me why this works ? 1. First I assume BuySignal to be BUY. Therefore being an array. So IF should not work. Should be IIF. But even when I put there BUY to be sure it's an array, it does work. Why ? 2. What's the difference between StrToNum(NumtoStr( BUY)) and BUY ? Should give me the same result. But is does not. Without this trick I cannot use IF. What's going on here Regards, Ton. - Original Message - From: Rick Osborn To: amibro...@yahoogrou ps.com Sent: Saturday, June 12, 2010 10:52 PM Subject: Re: [amibroker] impenetrable AFL Yuki I have the following code which changes the background gradient color depending
Re: [amibroker] impenetrable AFL
Rick changing a string to a number THAT'S COMING FROM AN ARRAY and after that changing a number to a string again, should give me the same array with the initial strings. But the fact that I can use IF after the string manipulation shows me that I am no longer having an array ... I still do not get this. Weird ... Tomasz Regards, Ton. - Original Message - From: Rick Osborn To: amibroker@yahoogroups.com Sent: Sunday, June 13, 2010 5:33 PM Subject: Re: [amibroker] impenetrable AFL First off let me repeat - this is not my original code. I found it in someone's code for TD Sequential (with apologies to the original coder - didn't keep your name) The Buysignal is a Flip(Buy,Sell) type - or could be a true/false item. Checking the help file the NunToStr says FUNCTION It is used to convert numeric value of NUMBER or ARRAY to string. Next the StrToNum function FUNCTION It is used to convert numeric value of NUMBER or ARRAY to string. So the combination of changing that value of the array from a number to a string and then that string back to a number (not an array) LastValue works the same but I still don't understand that function well enough. From the help file FUNCTION Returns last calculated value of the specified ARRAY. The result of this function can be used in place of a constant (NUMBER) in any function argument. If ARRAY is undefined (e.g., only 100-days loaded and you request the last value of a 200-day moving average) then the lastvalue function returns zero. Caveat: since this function fills an entire data array with the last value of another array, it allows a formula to look into the future. so if there are repeated events (buy signals and sell signals), I'm not sure if lastvalue sees any but the last one. Plus I worry about the Caveat!! Best Regards Rick Osborn -- From: Ton Sieverding ton.sieverd...@scarlet.be To: amibroker@yahoogroups.com Sent: Sun, June 13, 2010 2:55:32 AM Subject: Re: [amibroker] impenetrable AFL That's interesting code, Rick. Can you explain me why this works ? 1. First I assume BuySignal to be BUY. Therefore being an array. So IF should not work. Should be IIF. But even when I put there BUY to be sure it's an array, it does work. Why ? 2. What's the difference between StrToNum(NumtoStr( BUY)) and BUY ? Should give me the same result. But is does not. Without this trick I cannot use IF. What's going on here Regards, Ton. - Original Message - From: Rick Osborn To: amibro...@yahoogrou ps.com Sent: Saturday, June 12, 2010 10:52 PM Subject: Re: [amibroker] impenetrable AFL Yuki I have the following code which changes the background gradient color depending on whether a buy or sell signal is given. if(StrToNum(NumToStr(BuySignal)) ) bgColor = ColorRGB(0,66, 2); else bgColor = ColorRGB(66,2, 0); SetChartBkGradientF ill( colorBlack, bgColor); Perhaps you can change this to meet your needs Best Regards Rick Osborn From: Yuki Taga yukit...@tkh. att.ne.jp To: amibro...@yahoogrou ps.com Sent: Sat, June 12, 2010 1:24:58 AM Subject: [amibroker] impenetrable AFL Impenetrable! (At least to me.) xcolor = IIf(TSI = SigLine, SetChartBkGradientF ill( ParamColor( BgTop, ColorRGB( 172,172,172 )), ParamColor( BgBottom , ColorRGB( 172,172,172 ))), SetChartBkGradientF ill( ParamColor( BgTop, ColorRGB(140, 140,140)) , ParamColor( BgBottom , ColorRGB(140, 140,140)) )); SetChartBkColor( SelectedValue( xcolor)); I tried that line above as SetChartBkGradientF ill(SelectedValu e(xcolor) ); but that produced a syntax error. I think you can see what I'm trying to do here. The idea is simple: change the background gradient depending on a true/false result. The gradients in this example are not the gradients I would actually use (in fact they are not gradients at all, as your intelligent eyes will quickly have seen). They are just test code to see if I can even make it work. I cannot. For one thing, the gradient does not change no matter the selected value. It's static. For another thing, the margin background goes to black, a hideous (although somewhat foreseen) result. Okay, what am I doing wrong, and where did I miss this in the docs? And what, if anything, can I do about this margin result? The only way I can change the *entire* background color is by not using a gradient??? (Using SetChartBkColor) How sad that would be! I can make that work, at least. But not with a gradient. Anything is possible in Amibroker, right? Wrong? Thanks, Yuki
Re: [amibroker] Re: impenetrable AFL
but the last one. Plus I worry about the Caveat!! TS Best Regards TS Rick Osborn TS -- TS From: Ton Sieverding ton.sieverding@ TS To: amibroker@yahoogroups.com TS Sent: Sun, June 13, 2010 2:55:32 AM TS Subject: Re: [amibroker] impenetrable AFL TS TS  TS That's interesting code, Rick. Can you explain me why this works ? TS 1. First I assume BuySignal to be BUY. Therefore being an TS array. So IF should not work. Should be IIF. But even when I put TS there BUY to be sure it's an array, it does work. Why ? TS 2. What's the difference between StrToNum(NumtoStr( BUY)) and TS BUY ? Should give me the same result. But is does not. Without TS this trick I cannot use IF. What's going on here TS Regards, Ton. TS - Original Message - TS From: Rick Osborn TS To: amibro...@yahoogrou ps.com TS Sent: Saturday, June 12, 2010 10:52 PM TS Subject: Re: [amibroker] impenetrable AFL TS TS Yuki TS I have the following code which changes the background TS gradient color depending on whether a buy or sell signal is given. TS if(StrToNum(NumToStr(BuySignal)) ) TS bgColor = ColorRGB(0,66, 2); TS else TS bgColor = ColorRGB(66,2, 0); TS SetChartBkGradientF ill( colorBlack, bgColor); TS Perhaps you can change this to meet your needs TS Best Regards TS Rick Osborn TS -- TS From: Yuki Taga yukit...@tkh. att.ne.jp TS To: amibro...@yahoogrou ps.com TS Sent: Sat, June 12, 2010 1:24:58 AM TS Subject: [amibroker] impenetrable AFL TS TS Impenetrable! (At least to me.) TS xcolor = IIf(TSI = SigLine, SetChartBkGradientF ill( TS ParamColor( BgTop, ColorRGB( 172,172,172 )), TS ParamColor( BgBottom , ColorRGB( 172,172,172 ))), TS SetChartBkGradientF ill( ParamColor( BgTop, ColorRGB(140, 140,140)) , TS ParamColor( BgBottom , ColorRGB(140, 140,140)) )); TS SetChartBkColor( SelectedValue( xcolor)); TS I tried that line above as TS SetChartBkGradientF ill(SelectedValu e(xcolor) ); but that produced a TS syntax error. TS I think you can see what I'm trying to do here. The idea is simple: TS change the background gradient depending on a true/false result. The TS gradients in this example are not the gradients I would actually use TS (in fact they are not gradients at all, as your intelligent eyes will TS quickly have seen). They are just test code to see if I can even TS make it work. I cannot. TS For one thing, the gradient does not change no matter the selected TS value. It's static. For another thing, the margin background goes TS to black, a hideous (although somewhat foreseen) result. TS Okay, what am I doing wrong, and where did I miss this in the docs? TS And what, if anything, can I do about this margin result? The only TS way I can change the *entire* background color is by not using a TS gradient??? (Using SetChartBkColor) How sad that would be! I can TS make that work, at least. But not with a gradient. TS Anything is possible in Amibroker, right? TS Wrong? TS Thanks, TS Yuki TS STR.JPG
Re: [amibroker] impenetrable AFL
That's interesting code, Rick. Can you explain me why this works ? 1. First I assume BuySignal to be BUY. Therefore being an array. So IF should not work. Should be IIF. But even when I put there BUY to be sure it's an array, it does work. Why ? 2. What's the difference between StrToNum(NumtoStr(BUY)) and BUY ? Should give me the same result. But is does not. Without this trick I cannot use IF. What's going on here Regards, Ton. - Original Message - From: Rick Osborn To: amibroker@yahoogroups.com Sent: Saturday, June 12, 2010 10:52 PM Subject: Re: [amibroker] impenetrable AFL Yuki I have the following code which changes the background gradient color depending on whether a buy or sell signal is given. if(StrToNum(NumToStr(BuySignal))) bgColor = ColorRGB(0,66, 2); else bgColor = ColorRGB(66,2, 0); SetChartBkGradientFill( colorBlack, bgColor); Perhaps you can change this to meet your needs Best Regards Rick Osborn -- From: Yuki Taga yukit...@tkh.att.ne.jp To: amibroker@yahoogroups.com Sent: Sat, June 12, 2010 1:24:58 AM Subject: [amibroker] impenetrable AFL Impenetrable! (At least to me.) xcolor = IIf(TSI = SigLine, SetChartBkGradientFill( ParamColor(BgTop, ColorRGB( 172,172,172 )), ParamColor(BgBottom, ColorRGB( 172,172,172 ))), SetChartBkGradientFill( ParamColor(BgTop, ColorRGB(140,140,140)), ParamColor(BgBottom, ColorRGB(140,140,140; SetChartBkColor(SelectedValue(xcolor)); I tried that line above as SetChartBkGradientFill(SelectedValue(xcolor)); but that produced a syntax error. I think you can see what I'm trying to do here. The idea is simple: change the background gradient depending on a true/false result. The gradients in this example are not the gradients I would actually use (in fact they are not gradients at all, as your intelligent eyes will quickly have seen). They are just test code to see if I can even make it work. I cannot. For one thing, the gradient does not change no matter the selected value. It's static. For another thing, the margin background goes to black, a hideous (although somewhat foreseen) result. Okay, what am I doing wrong, and where did I miss this in the docs? And what, if anything, can I do about this margin result? The only way I can change the *entire* background color is by not using a gradient??? (Using SetChartBkColor) How sad that would be! I can make that work, at least. But not with a gradient. Anything is possible in Amibroker, right? Wrong? Thanks, Yuki
Re: [amibroker] Re: Problem getting CMAE Optimizer to run
No problems at all ... XPPro with 5.30.1 ( 32bit ) ... Regards, Ton. - Original Message - From: Gordon Sutherland To: Amibroker Sent: Tuesday, June 08, 2010 1:40 AM Subject: [amibroker] Re: Problem getting CMAE Optimizer to run Hi, I am having a problem getting the in-built non-exhaustive Optimizer cmae to run (or spso and trib for that matter). I can get the standard exhaustive Optimizer to run no problems. When I hit Optimizer in AA the program runs the first line and stops there. Before I burden Marcin with this problem I wonder if somebody with a similar configuration could run this basic AFL code in the Portfolio Mode and let me know if it runs OK. I am using Weekly mode but Daily or Monthly don't run for me either. I have not used the non-exhaustive Optimizer for quite a few months but have never had problems with it in the past. My set-up is: Windows 7 (x64); AB Pro 5.30.1 (32 bit); Here is a basic set-up that I am using to troubleshoot the problem: OptimizerSetEngine(cmae); B = Optimize(B,21,8,34,1); S = Optimize(S,13,5,20,1); Buy= Cross(C,EMA(C,B) ); Sell = Cross(EMA(C,S),C ); MaxPos = 12; SetOption(MaxOpenPositions, MaxPos); PositionSize = -100/MaxPos; Thanks, Gordon Sutherland
Re: [amibroker] Re: Extracting last record from Text file
Mike do you know if we can get the last record without a loop ? So with an
instruction. Something like fgetlast(fh) ... I know there should be an
instruction like that but I cannot find it ...
Regards, Ton.
- Original Message -
From: Mike
To: amibroker@yahoogroups.com
Sent: Friday, June 04, 2010 1:57 AM
Subject: [amibroker] Re: Extracting last record from Text file
The sample in the docs can be modified to store the record, instead of
printing it. The value held after the loop will be the last record.
e.g. (untested)
List = ;
fh = fopen( quotes.csv, r);
if( fh )
{
while( ! feof( fh ) )
{
List = fgets( fh );
}
}
else
{
printf(ERROR: file can not be found (does not exist));
}
Mike
--- In amibroker@yahoogroups.com, wpok543 thedog...@... wrote:
I don't get a clue from the docs for fgets(). Can anyone point me in the
right direction?
--- In amibroker@yahoogroups.com, ovtrading@ ovtrading@ wrote:
Check the docs for fgets, the example should get you started.
ovt
--- In amibroker@yahoogroups.com, wpok543 thedog8it@ wrote:
The following code extracts the first record from the text file. How
would I extract the last record?
The Text file looks like this.
314
B,06/22/1989
S,08/22/1990
B,03/05/1991
The code:
FileName = Test;
fh = fopen(C:// + FileName + .sig ,r);
if(fh)
{printf(FileName + .sig Opened\n);}
else
{printf(FileName + .sig Failed to Open\n);}
List = fgets(fh);
printf(List);
Re: [amibroker] Re: Passing Param value from jscript to afl
REMINDER ... Regards, Ton. - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Wednesday, May 12, 2010 2:42 PM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl Hi Herman, Did you ever make code for the following application - using mentioned functions in the UKB - or can you give me a link to code for this kind of application ? Persistent variables can also be used to save ticker-specific system parameters. For example, you could run an optimization and save the optimized parameters in a Persistent Variable encoded with the Ticker's name. Regards, Ton. - Original Message - From: Herman To: TA Sent: Wednesday, May 12, 2010 11:41 AM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl you can use PersistentVariables, they can be read from any programming language because they are saved in small files. see http://www.amibroker.org/userkb/2007/04/24/persistent-variables/ herman As usual you're the man. The following is partial code that I am using /* retrieve automatic analysis object */ AA = AB.Analysis; /* backtest over symbols and all quotes*/ AA.ClearFilters(); AA.ApplyTo = 0; // use symbols AA.RangeMode = 3; // Last Day //AA.RangeN = 1; // Last Day FromDate = new Date; /* year, month-1, day, hour, min, sec (required by JScript date constructor) */ ToDate = new Date; // current time /* getVarDate is required to convert from JScript Date to OLE-automation date */ AA.RangeFromDate = FromDate.getVarDate(); AA.RangeToDate = ToDate.getVarDate(); AA.LoadFormula(Z:\\amibroker\\Formulas\\1Production\\O2.afl); AA.Explore(); AA.Export(Z:\\Amibroker\\CSV FILES\\O2.csv); AA.LoadFormula(Z:\\amibroker\\Formulas\\1Production\\O3.afl); AA.Explore(); AA.Export(Z:\\Amibroker\\CSV FILES\\O3.csv); .. .. O2.afl, O3.afl ... Ox.afl are identical except for different value for a variable. So rather than maintaining all these afl files (O2.afl, O3.afl ... Ox.afl) I want to loop thru variable values in jscript and pass the variable value to Ox.afl. something like: For (var = 1 to 100) AA.LoadFormula(Z:\\amibroker\\Formulas\\1Production\\O2.afl); AA.Explore(); AA.Export(Z:\\Amibroker\\CSV FILES\\O2.csv); Where diferrent values of var create a new explore and then is exported to Ox.csv From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of Mike Sent: Tuesday, May 11, 2010 4:01 PM To: amibroker@yahoogroups.com Subject: [amibroker] Re: Passing Param value from jscript to afl Are you asking if you can have a stand alone, external jscript that drives AmiBroker to fire off multiple Explores one after the other (i.e. using OLE Automation), altering AFL variables along the way? Or, are you asking if you can have jscript embedded in an AFL script that fires off multiple Explores one after the other? If the former, you can do any of the following: 1. jscript first writes desired values to file on disk, AFL Exploration reads values from disk file. 2. jscript first runs minimal AFL script, whose sole purpose is to set static variable(s), AFL Exploration references static variables 3. jscript first modifies .AFL file on disk, AFL Exploration runs normally. Mike --- In amibroker@yahoogroups.com, TA tagro...@... wrote: Tomasz Would you or someone else please let me know if this is possible or not? TIA From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of TA Sent: Saturday, May 08, 2010 2:34 PM To: amibroker@yahoogroups.com Subject: [amibroker] Passing Param value from jscript to afl I want to run different explores and exporting the results to a cvs file, using the same afl code with different param or variable values by using a jscript and looping thru the param or var values. Is it possible to pass a parameter or variable value from jscript to afl. TIA
Re: [amibroker] Re: Passing Param value from jscript to afl
Oops my famous mistake. Being no clear enough when asking something ... You are giving a link for an userkb doc with persistent variable functions. In this userkb doc you are talking about an example for an optimalisation application using mentioned functions. So perhaps you have made an application for optimalisation using these functions or you can give me a link for such an application. I would like to see how this works out in an example ... Kind regards, Ton. - Original Message - From: Herman To: Ton Sieverding Sent: Monday, May 17, 2010 1:08 PM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl Hi Ton, not sure what you need. There is no 'specific' application I can think of. I use Persistent Variables all the time; it is really just a simplified way to use files to communicate between programs and/or computers, and to still have your variables when you power up the next day. Its nice to know the system state you were in the day before ;-) Persistent variables can be saved with the ticker's name embedded in the parameter name, just like you do with Static Variables. For simple values this could be PersistentVarSet( AAPL + _BuyPrice, BuyPriceNum ); for arrays it gets more complicated. This results in a small file named AAPL_BuyPrice.pva, you can read this file from any other program. You can open it with NotePad to see the contents. You can also use them as flags to maintain orderly afl - JS operation (handshaking). For example afl could monitor a flag set by JS to indicates JS has completed its task. When afl has done its work it can clear the flag so that JS knows it can do another run. Similarly afl can set a flag that is monitored by JS to tell it to perform a function. Not sure if this helps... best regards, herman REMINDER ... Regards, Ton. - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Wednesday, May 12, 2010 2:42 PM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl Hi Herman, Did you ever make code for the following application - using mentioned functions in the UKB - or can you give me a link to code for this kind of application ? Persistent variables can also be used to save ticker-specific system parameters. For example, you could run an optimization and save the optimized parameters in a Persistent Variable encoded with the Ticker's name. Regards, Ton. - Original Message - From: Herman To: TA Sent: Wednesday, May 12, 2010 11:41 AM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl you can use PersistentVariables, they can be read from any programming language because they are saved in small files. see http://www.amibroker.org/userkb/2007/04/24/persistent-variables/ herman As usual you're the man. The following is partial code that I am using /* retrieve automatic analysis object */ AA = AB.Analysis; /* backtest over symbols and all quotes*/ AA.ClearFilters(); AA.ApplyTo = 0; // use symbols AA.RangeMode = 3; // Last Day //AA.RangeN = 1; // Last Day FromDate = new Date; /* year, month-1, day, hour, min, sec (required by JScript date constructor) */ ToDate = new Date; // current time /* getVarDate is required to convert from JScript Date to OLE-automation date */ AA.RangeFromDate = FromDate.getVarDate(); AA.RangeToDate = ToDate.getVarDate(); AA.LoadFormula(Z:\\amibroker\\Formulas\\1Production\\O2.afl); AA.Explore(); AA.Export(Z:\\Amibroker\\CSV FILES\\O2.csv); AA.LoadFormula(Z:\\amibroker\\Formulas\\1Production\\O3.afl); AA.Explore(); AA.Export(Z:\\Amibroker\\CSV FILES\\O3.csv); .. .. O2.afl, O3.afl ... Ox.afl are identical except for different value for a variable. So rather than maintaining all these afl files (O2.afl, O3.afl ... Ox.afl) I want to loop thru variable values in jscript and pass the variable value to Ox.afl. something like: For (var = 1 to 100) AA.LoadFormula(Z:\\amibroker\\Formulas\\1Production\\O2.afl); AA.Explore(); AA.Export(Z:\\Amibroker\\CSV FILES\\O2.csv); Where diferrent values of var create a new explore and then is exported to Ox.csv From: amibroker@yahoogroups.com [mailto:amibro
Re: [amibroker] Re: Passing Param value from jscript to afl
OK. Thanks ... Hope it was a pleasant trip -) Regards, Ton. - Original Message - From: Herman To: Ton Sieverding Sent: Monday, May 17, 2010 9:38 PM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl its been a couple of years since i wrote that. I had to go look what I wrote and to be honest I don't remember exactly what I had in mind. I didn't refer to a specific example, but mentioned one example use for them. I think that in those days I was individually optimizing many tickers in one optimization, for example all tickers in a Watchlist. These were lengthy optimizations and I wanted the min/max values to be ready for use in my system at the end of the optimization. You could use static variables but they would be gone the next day. Hope this helps... you are taking me on a trip through memory lane :-) herman Oops my famous mistake. Being no clear enough when asking something ... You are giving a link for an userkb doc with persistent variable functions. In this userkb doc you are talking about an example for an optimalisation application using mentioned functions. So perhaps you have made an application for optimalisation using these functions or you can give me a link for such an application. I would like to see how this works out in an example ... Kind regards, Ton. - Original Message - From: Herman To: Ton Sieverding Sent: Monday, May 17, 2010 1:08 PM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl Hi Ton, not sure what you need. There is no 'specific' application I can think of. I use Persistent Variables all the time; it is really just a simplified way to use files to communicate between programs and/or computers, and to still have your variables when you power up the next day. Its nice to know the system state you were in the day before ;-) Persistent variables can be saved with the ticker's name embedded in the parameter name, just like you do with Static Variables. For simple values this could be PersistentVarSet( AAPL + _BuyPrice, BuyPriceNum ); for arrays it gets more complicated. This results in a small file named AAPL_BuyPrice.pva, you can read this file from any other program. You can open it with NotePad to see the contents. You can also use them as flags to maintain orderly afl - JS operation (handshaking). For example afl could monitor a flag set by JS to indicates JS has completed its task. When afl has done its work it can clear the flag so that JS knows it can do another run. Similarly afl can set a flag that is monitored by JS to tell it to perform a function. Not sure if this helps... best regards, herman REMINDER ... Regards, Ton. - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Wednesday, May 12, 2010 2:42 PM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl Hi Herman, Did you ever make code for the following application - using mentioned functions in the UKB - or can you give me a link to code for this kind of application ? Persistent variables can also be used to save ticker-specific system parameters. For example, you could run an optimization and save the optimized parameters in a Persistent Variable encoded with the Ticker's name. Regards, Ton. - Original Message - From: Herman To: TA Sent: Wednesday, May 12, 2010 11:41 AM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl you can use PersistentVariables, they can be read from any programming language because they are saved in small files. see http://www.amibroker.org/userkb/2007/04/24/persistent-variables/ herman As usual you're the man. The following is partial code that I am using /* retrieve automatic analysis object */ AA = AB.Analysis; /* backtest over symbols and all quotes*/ AA.ClearFilters(); AA.ApplyTo = 0; // use symbols AA.RangeMode = 3; // Last Day //AA.RangeN = 1; // Last Day FromDate = new Date; /* year, month-1, day, hour, min, sec (required by JScript date constructor) */ ToDate = new Date; // current time
Re: [amibroker] Re: Passing Param value from jscript to afl
Hi Herman, Did you ever make code for the following application - using mentioned functions in the UKB - or can you give me a link to code for this kind of application ? Persistent variables can also be used to save ticker-specific system parameters. For example, you could run an optimization and save the optimized parameters in a Persistent Variable encoded with the Ticker's name. Regards, Ton. - Original Message - From: Herman To: TA Sent: Wednesday, May 12, 2010 11:41 AM Subject: Re: [amibroker] Re: Passing Param value from jscript to afl you can use PersistentVariables, they can be read from any programming language because they are saved in small files. see http://www.amibroker.org/userkb/2007/04/24/persistent-variables/ herman As usual you're the man. The following is partial code that I am using /* retrieve automatic analysis object */ AA = AB.Analysis; /* backtest over symbols and all quotes*/ AA.ClearFilters(); AA.ApplyTo = 0; // use symbols AA.RangeMode = 3; // Last Day //AA.RangeN = 1; // Last Day FromDate = new Date; /* year, month-1, day, hour, min, sec (required by JScript date constructor) */ ToDate = new Date; // current time /* getVarDate is required to convert from JScript Date to OLE-automation date */ AA.RangeFromDate = FromDate.getVarDate(); AA.RangeToDate = ToDate.getVarDate(); AA.LoadFormula(Z:\\amibroker\\Formulas\\1Production\\O2.afl); AA.Explore(); AA.Export(Z:\\Amibroker\\CSV FILES\\O2.csv); AA.LoadFormula(Z:\\amibroker\\Formulas\\1Production\\O3.afl); AA.Explore(); AA.Export(Z:\\Amibroker\\CSV FILES\\O3.csv); .. .. O2.afl, O3.afl ... Ox.afl are identical except for different value for a variable. So rather than maintaining all these afl files (O2.afl, O3.afl ... Ox.afl) I want to loop thru variable values in jscript and pass the variable value to Ox.afl. something like: For (var = 1 to 100) AA.LoadFormula(Z:\\amibroker\\Formulas\\1Production\\O2.afl); AA.Explore(); AA.Export(Z:\\Amibroker\\CSV FILES\\O2.csv); Where diferrent values of var create a new explore and then is exported to Ox.csv From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of Mike Sent: Tuesday, May 11, 2010 4:01 PM To: amibroker@yahoogroups.com Subject: [amibroker] Re: Passing Param value from jscript to afl Are you asking if you can have a stand alone, external jscript that drives AmiBroker to fire off multiple Explores one after the other (i.e. using OLE Automation), altering AFL variables along the way? Or, are you asking if you can have jscript embedded in an AFL script that fires off multiple Explores one after the other? If the former, you can do any of the following: 1. jscript first writes desired values to file on disk, AFL Exploration reads values from disk file. 2. jscript first runs minimal AFL script, whose sole purpose is to set static variable(s), AFL Exploration references static variables 3. jscript first modifies .AFL file on disk, AFL Exploration runs normally. Mike --- In amibroker@yahoogroups.com, TA tagro...@... wrote: Tomasz Would you or someone else please let me know if this is possible or not? TIA From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of TA Sent: Saturday, May 08, 2010 2:34 PM To: amibroker@yahoogroups.com Subject: [amibroker] Passing Param value from jscript to afl I want to run different explores and exporting the results to a cvs file, using the same afl code with different param or variable values by using a jscript and looping thru the param or var values. Is it possible to pass a parameter or variable value from jscript to afl. TIA
Re: [amibroker] Wow what a plunge !
mmm ... It's us Europe. Or perhaps the German industry. We did not like that weak dollar. Being Uncle Sam's currency and our problem. So Germany took the opportunity to support the dollar and they got what they wanted to get -) Regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Thursday, May 06, 2010 9:12 PM Subject: [amibroker] Wow what a plunge ! Hello, Wow what a plunge ! Did some quant algorithms gone wild again ? Best regards, Tomasz Janeczko amibroker.com
Re: [amibroker] Re: How to backtest or plot a script, which uses SelectedValue or LastValue?
Tomasz how do I calculate this 'Expected Lag' in Bars? So how do I know when
the Peak/Through is true ?
Regards, Ton.
- Original Message -
From: Tomasz Janeczko
To: amibroker@yahoogroups.com
Sent: Tuesday, April 27, 2010 12:59 AM
Subject: Re: [amibroker] Re: How to backtest or plot a script, which uses
SelectedValue or LastValue?
Hello,
The script never looks after the BAR, but, of course, it does look
after the peak if the peak is in the past.
This is *exactly* looking into the future. You can only claim a peak
when you look several bars AFTER the peak
- that is looking into the future in purest form.
You don't know that the PEAK occurred until many bars AFTER the fact.
You can call it expected lag and I am calling it looking into the
future, both having same net effect
- the result is useless for profitable trading, as useless as knowing
what kind of market cycle we had one year ago.
You can not profit from the information that is several bars (days) old.
For me this ends this purely academic discussion.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-04-26 23:43, jhnlmn wrote:
Hi,
You admit that you are complete novice, yet you make definitive statements
...
Sure. This is because I wrote a script, which generates exactly the same
output as Peak/Trough in WL.
So, I know for sure that this script does not use a Zigzag (WL simply does
not have this indicator)
and it does not look into the future, that is when I call TroughBars[bar] I
do know that it does not
use any bars with indexes bar. So, it does not look into the future, but
have some lag,
which is expected. Please, correct me if I am wrong.
(i.e. you must look at bars that occur AFTER THE PEAK) and find out that
the price moved in opposite
Sure, but I never look AFTER THE BAR when I call TroughBars[bar].
Therefore, my script does not look into the future. That is, it will generate
exactly the same answer no matter whether bar is the last in the series or some
time later when bar will be in the middle of historical data.
Finding that reversal happens is where looking into the future occurs.
No. The script never looks after the BAR, but, of course, it does look
after the peak if the peak is in the past.
*IS* actually zig-zag algorithm and that peak and trough functions are
_products_ of zig-zag algorithm.
This may be true, but it is not really important. It does not matter how a
particular trading program chose to name each function. It is more important
what exactly the function does, in particular whether it does look into the
future, that is when I call TroughBars[bar] will it look after the bar or not?
And here, if I understood you correctly, AB is profoundly different from WL
because in WL TroughBars[bar] does NOT touch any data after bar, but AB does.
You can not simply remove SelectedValue from such formula because it
relied on manual input
Of course. I stated this in my original question.
In order to remove SelectedValue you would need to come up first with
conditions that say when to start and when to end the trendline because it
is not always obvious.
I already did that in my post
http://finance.groups.yahoo.com/group/amibroker/message/148924
I, as well as other users, found it very difficult to understand AB
array-based language,
so it is very likely that I made some mistake in my rewritten scripts.
So, I would appreciate if somebody with experience will comment on it.
Thank you
John
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Re: [amibroker] Re: How to backtest or plot a script, which uses SelectedValue or LastValue?
Thanks Tomasz. Yes I've found that thread. I still have problems with the 'Amount' variable for the ZIG. Should not this be a percentage ? Anyway I have got my 'Expected Lag' in Bars. Thanks again ... Regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Tuesday, April 27, 2010 11:43 AM Subject: Re: [amibroker] Re: How to backtest or plot a script, which uses SelectedValue or LastValue? Hello, This has been answered already in my previous response in this thread: http://finance.groups.yahoo.com/group/amibroker/message/148933 (It was back in 2003 http://www.amibroker.com/members/traders/11-2003.html when the formula was provided in the Traders' Tips section that: a) shows how to use Zig/Peak/Trough SAFELY in backtest b) provides actual code that marks points where you know when Peak/Trough is true The 'expected lag' is dynamic and is given by distance between peak/trough and the signal in ZZT variable. ZZT variable crosses zero when peak / trough is guaranteed. Such signals are backtest-safe. Once again the formula: array = Close; amount = Param(Amount, 15.5, 1, 50, 0.5 ); zz0 = Zig( array, amount ); zz1 = Ref( zz0, -1 ); zz2 = Ref( zz0, -2 ); tr = ValueWhen(zz0 zz1 AND zz1 zz2, zz1); pk = ValueWhen(zz0 zz1 AND zz1 zz2, zz1); PU = tr + 0.01 * abs(tr)*amount; PD = pk - 0.01 * abs(pk)*amount; ZZT = IIf( array = PU AND zz0 zz1, 1, IIf( array = PD AND zz0 zz1, -1, 0 ) ); ZZT = ValueWhen( ZZT != 0, ZZT ); // plot price bar chart Plot( Close, Price, colorBlack, styleBar ); // plot Zigzag and zigzag trend Plot( ZZT, ZigZagTrend, colorRed, styleOwnScale ); Plot( zz0, ZigZag line, colorBlue, styleThick ); // Plot the ribbon ribboncol= IIf( ZZT 0, colorGreen, colorRed ); Plot( 2, ZZT Ribbon, ribboncol, styleArea | styleOwnScale | styleNoLabel, 0, 100 ); GraphXSpace = 10; Buy = Cover = Cross( ZZT, 0 ); Sell = Short = Cross( 0, ZZT ); // plot arrows PlotShapes( Buy + 2 * Sell, ribboncol, 0, IIf( Buy, L, H ), -30 ); PlotShapes( Buy + 2 * Sell, ribboncol, 0, IIf( Buy, L, H ), -30 ); Best regards, Tomasz Janeczko amibroker.com On 2010-04-27 08:41, Ton Sieverding wrote: Tomasz how do I calculate this 'Expected Lag' in Bars? So how do I know when the Peak/Through is true ? Regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Tuesday, April 27, 2010 12:59 AM Subject: Re: [amibroker] Re: How to backtest or plot a script, which uses SelectedValue or LastValue? Hello, The script never looks after the BAR, but, of course, it does look after the peak if the peak is in the past. This is *exactly* looking into the future. You can only claim a peak when you look several bars AFTER the peak - that is looking into the future in purest form. You don't know that the PEAK occurred until many bars AFTER the fact. You can call it expected lag and I am calling it looking into the future, both having same net effect - the result is useless for profitable trading, as useless as knowing what kind of market cycle we had one year ago. You can not profit from the information that is several bars (days) old. For me this ends this purely academic discussion. Best regards, Tomasz Janeczko amibroker.com On 2010-04-26 23:43, jhnlmn wrote: Hi, You admit that you are complete novice, yet you make definitive statements ... Sure. This is because I wrote a script, which generates exactly the same output as Peak/Trough in WL. So, I know for sure that this script does not use a Zigzag (WL simply does not have this indicator) and it does not look into the future, that is when I call TroughBars[bar] I do know that it does not use any bars with indexes bar. So, it does not look into the future, but have some lag, which is expected. Please, correct me if I am wrong. (i.e. you must look at bars that occur AFTER THE PEAK) and find out that the price moved in opposite Sure, but I never look AFTER THE BAR when I call TroughBars[bar]. Therefore, my script does not look into the future. That is, it will generate exactly the same answer no matter whether bar is the last in the series or some time later when bar will be in the middle of historical data. Finding that reversal happens is where looking into the future occurs. No. The script never looks after the BAR, but, of course, it does look after the peak if the peak is in the past. *IS* actually zig-zag algorithm and that peak and trough functions are _products_ of zig-zag algorithm
Re: [amibroker] Re: How to backtest or plot a script, which uses SelectedValue or LastValue?
OK and thanks ... Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Tuesday, April 27, 2010 12:29 PM Subject: Re: [amibroker] Re: How to backtest or plot a script, which uses SelectedValue or LastValue? Hello, Yes 'amount' is expressed in percent. For example 15.5 set via Params window means 15.5%. Best regards, Tomasz Janeczko amibroker.com On 2010-04-27 12:23, Ton Sieverding wrote: Thanks Tomasz. Yes I've found that thread. I still have problems with the 'Amount' variable for the ZIG. Should not this be a percentage ? Anyway I have got my 'Expected Lag' in Bars. Thanks again ... Regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Tuesday, April 27, 2010 11:43 AM Subject: Re: [amibroker] Re: How to backtest or plot a script, which uses SelectedValue or LastValue? Hello, This has been answered already in my previous response in this thread: http://finance.groups.yahoo.com/group/amibroker/message/148933 (It was back in 2003 http://www.amibroker.com/members/traders/11-2003.html when the formula was provided in the Traders' Tips section that: a) shows how to use Zig/Peak/Trough SAFELY in backtest b) provides actual code that marks points where you know when Peak/Trough is true The 'expected lag' is dynamic and is given by distance between peak/trough and the signal in ZZT variable. ZZT variable crosses zero when peak / trough is guaranteed. Such signals are backtest-safe. Once again the formula: array = Close; amount = Param(Amount, 15.5, 1, 50, 0.5 ); zz0 = Zig( array, amount ); zz1 = Ref( zz0, -1 ); zz2 = Ref( zz0, -2 ); tr = ValueWhen(zz0 zz1 AND zz1 zz2, zz1); pk = ValueWhen(zz0 zz1 AND zz1 zz2, zz1); PU = tr + 0.01 * abs(tr)*amount; PD = pk - 0.01 * abs(pk)*amount; ZZT = IIf( array = PU AND zz0 zz1, 1, IIf( array = PD AND zz0 zz1, -1, 0 ) ); ZZT = ValueWhen( ZZT != 0, ZZT ); // plot price bar chart Plot( Close, Price, colorBlack, styleBar ); // plot Zigzag and zigzag trend Plot( ZZT, ZigZagTrend, colorRed, styleOwnScale ); Plot( zz0, ZigZag line, colorBlue, styleThick ); // Plot the ribbon ribboncol= IIf( ZZT 0, colorGreen, colorRed ); Plot( 2, ZZT Ribbon, ribboncol, styleArea | styleOwnScale | styleNoLabel, 0, 100 ); GraphXSpace = 10; Buy = Cover = Cross( ZZT, 0 ); Sell = Short = Cross( 0, ZZT ); // plot arrows PlotShapes( Buy + 2 * Sell, ribboncol, 0, IIf( Buy, L, H ), -30 ); PlotShapes( Buy + 2 * Sell, ribboncol, 0, IIf( Buy, L, H ), -30 ); Best regards, Tomasz Janeczko amibroker.com On 2010-04-27 08:41, Ton Sieverding wrote: Tomasz how do I calculate this 'Expected Lag' in Bars? So how do I know when the Peak/Through is true ? Regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Tuesday, April 27, 2010 12:59 AM Subject: Re: [amibroker] Re: How to backtest or plot a script, which uses SelectedValue or LastValue? Hello, The script never looks after the BAR, but, of course, it does look after the peak if the peak is in the past. This is *exactly* looking into the future. You can only claim a peak when you look several bars AFTER the peak - that is looking into the future in purest form. You don't know that the PEAK occurred until many bars AFTER the fact. You can call it expected lag and I am calling it looking into the future, both having same net effect - the result is useless for profitable trading, as useless as knowing what kind of market cycle we had one year ago. You can not profit from the information that is several bars (days) old. For me this ends this purely academic discussion. Best regards, Tomasz Janeczko amibroker.com On 2010-04-26 23:43, jhnlmn wrote: Hi, You admit that you are complete novice, yet you make definitive statements ... Sure. This is because I wrote a script, which generates exactly the same output as Peak/Trough in WL. So, I know for sure that this script does not use a Zigzag (WL simply does not have this indicator) and it does not look into the future, that is when I call TroughBars[bar] I do know that it does not use any bars with indexes bar. So, it does not look into the future, but have some lag, which is expected. Please
Re: [amibroker] Trade Arrows strangness
As far as I know, you must first click on the Chart before seeing the arrows. Kind of a refresh or activation. That's how it works for me ... Regards, Ton. - Original Message - From: David Fitch To: amibroker@yahoogroups.com Sent: Monday, March 22, 2010 3:56 AM Subject: Re: [amibroker] Trade Arrows strangness Sid, According to Marcin, TJ already knows about the issue. Dave - Original Message - From: Sidney Kaiser To: amibroker@yahoogroups.com Sent: Sunday, March 21, 2010 1:15 PM Subject: [amibroker] Trade Arrows strangness Hi guys, I have a strange one. Run AA Click on a line in the results, click for trade arrows, any type... nothing. Click the + zoom button, presto, trade arrows appear on the chart. Does anyone have an idea what is happening or even better, how to restore normal operation? TIA Sid
Re: [amibroker] Re: Empirical Mode Decomposition
Thanks Mike. I must have misunderstood the article. I got the feeling that FracAvgPeak and FracAvgValley should give me a band for BP. That's not what I get with this code because I am using the same BP1 for both ... In my opinion it should be something like FracAvgPeak = BP + Delta and FracAvgValley - Delta ... Anyway I must read the article again. Regards, Ton. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Wednesday, March 03, 2010 10:30 PM Subject: [amibroker] Re: Empirical Mode Decomposition Ton, The intent appears to be to split the BP[1] values into peaks and valleys such that the two averages can be calculated independent of the other. Mike --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverd...@... wrote: Hi John. It's not that I cannot translate lines 29 thru 36 in AFL. My problem is that I do not understand the code : 29. if BP[1] BP and BP[1] BP[2] then 30. Peak = BP[1] 31. else if BP[1] BP and BP[1] BP[2] then 32. Valley = BP[1] ; What's the difference between Peak and Valley in the above code ? For me they always have the same value because whatever happens this value is BP[1] ... BTW BP is an array and AFL handles this with the double if.( Iff( BPRef(BP,-1) etc. ) ... Regards, Ton. - Original Message - From: bbands To: amibroker@yahoogroups.com Sent: Wednesday, March 03, 2010 5:01 PM Subject: [amibroker] Re: Empirical Mode Decomposition I've included the TradeStation code below. It is lines 29 through 36 that I am having trouble realizing in AB. TIA, John 1. Indicator: EmpiricalMode 2. inputs: 3. Price( 0.5 * ( High + Low ) ), 4. Period( 20 ), 5. Delta1( 0.5 ), 6. Fraction( 0.1 ) ; 7. variables: 8. Beta1( 0 ), 9. Gamma1( 0 ), 10. Alpha( 0 ), 11. HalfAlphaDiff( 0 ), 12. Beta1OnePlusAlpha( 0 ), 13. BP( 0 ), 14. Trend( 0 ), 15. Peak( 0 ), 16. Valley( 0 ), 17. AvgPeak( 0 ), 18. FracAvgPeak( 0 ), 19. AvgValley( 0 ), 20. FracAvgValley( 0 ) ; 21. Beta1 = Cosine( 360 / Period ) ; 22. Gamma1 = 1 / Cosine( 720 * Delta1 / Period ) ; 23. Alpha = Gamma1 - SquareRoot( Square( Gamma1 ) - 1 ) ; 24. HalfAlphaDiff = 0.5 * ( 1 - Alpha ) ; 25. Beta1OnePlusAlpha = Beta1 * ( 1 + Alpha ) ; 26. BP = HalfAlphaDiff * ( Price - Price[2] ) + 27. Beta1OnePlusAlpha * BP[1] - Alpha * BP[2] ; 28. Trend = Average( BP, 2 * Period ) ; 29. if BP[1] BP and BP[1] BP[2] then 30. Peak = BP[1] 31. else if BP[1] BP and BP[1] BP[2] then 32. Valley = BP[1] ; 33. AvgPeak = Average( Peak, 50 ) ; 34. FracAvgPeak = Fraction * AvgPeak ; 35. AvgValley = Average( Valley, 50 ) ; 36. FracAvgValley = Fraction * AvgValley ; 37. Plot1( Trend, Trend ) ; 38. Plot2( FracAvgPeak, AvgPeak ) ; 39. Plot3( FracAvgValley, AvgValley ) ;
Re: [amibroker] Re: Empirical Mode Decomposition
That's better for me. Thanks ... Ton. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Thursday, March 04, 2010 12:56 AM Subject: [amibroker] Re: Empirical Mode Decomposition John, If in fact Peak is supposed to retain the value of the previous Peak when not a new Peak (as opposed to zero shown in my previous post) and similarly for Valley, then my earlier post would need to be modified to the following (also corrected to no longer use the AmiBroker keyword Peak as a variable name) BP1 = Ref( BP, -1 ); BP2 = Ref( BP, -2 ); NewPeak = ( BP1 BP AND BP1 BP2 ); Peaks = IIF( NewPeak, BP1, ValueWhen( NewPeak, BP1 ) ); NewValley = ( BP1 BP AND BP1 BP2 ); Valleys = IIF( NewValley, BP1, ValueWhen( NewValley, BP1 ) ); AvgPeak = MA( Peaks, 50 ); FracAvgPeak = Fraction * AvgPeak; AvgValley = MA( Valleys, 50 ); FracAvgValley = Fraction * AvgValley; Mike --- In amibroker@yahoogroups.com, bbands bba...@... wrote: --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverding@ wrote: Hi John. It's not that I cannot translate lines 29 thru 36 in AFL. My problem is that I do not understand the code : 29. if BP[1] BP and BP[1] BP[2] then 30. Peak = BP[1] 31. else if BP[1] BP and BP[1] BP[2] then 32. Valley = BP[1] ; What's the difference between Peak and Valley in the above code ? For me they always have the same value because whatever happens this value is BP[1] ... BTW BP is an array and AFL handles this with the double if.( Iff( BPRef(BP,-1) etc. ) ... Ton, First, I think the John Ehlers' work in the article is quite elegant and very interesting. As I grok it: Peaks: If the last period is greater than the current period and the prior period then peak = last period else peak equals the prior value of peak. c c c Valleys: If the last period is less than the current period and the prior period then valley = last period else valley equals the prior value of valley. c c c So peak and valley always contains the value to the most recent high point and low point, where a high point is a point surrounded by lower points and a low point is a point surrounded by higher points. I have done a lot of work on these ideas, which I call hips and lops and Wheeler called circled highs and lows. The big difference here being that closes are used instead of highs and lows. You can see hips and lops in action on our forex site, www.BBForex.com. So this neatly combines several area of interest for me, hips and lops and bands. Thanks for having a look at it, John Bollinger
Re: [amibroker] Re: Empirical Mode Decomposition
Hi John. It's not that I cannot translate lines 29 thru 36 in AFL. My problem is that I do not understand the code : 29. if BP[1] BP and BP[1] BP[2] then 30. Peak = BP[1] 31. else if BP[1] BP and BP[1] BP[2] then 32. Valley = BP[1] ; What's the difference between Peak and Valley in the above code ? For me they always have the same value because whatever happens this value is BP[1] ... BTW BP is an array and AFL handles this with the double if.( Iff( BPRef(BP,-1) etc. ) ... Regards, Ton. - Original Message - From: bbands To: amibroker@yahoogroups.com Sent: Wednesday, March 03, 2010 5:01 PM Subject: [amibroker] Re: Empirical Mode Decomposition I've included the TradeStation code below. It is lines 29 through 36 that I am having trouble realizing in AB. TIA, John 1. Indicator: EmpiricalMode 2. inputs: 3. Price( 0.5 * ( High + Low ) ), 4. Period( 20 ), 5. Delta1( 0.5 ), 6. Fraction( 0.1 ) ; 7. variables: 8. Beta1( 0 ), 9. Gamma1( 0 ), 10. Alpha( 0 ), 11. HalfAlphaDiff( 0 ), 12. Beta1OnePlusAlpha( 0 ), 13. BP( 0 ), 14. Trend( 0 ), 15. Peak( 0 ), 16. Valley( 0 ), 17. AvgPeak( 0 ), 18. FracAvgPeak( 0 ), 19. AvgValley( 0 ), 20. FracAvgValley( 0 ) ; 21. Beta1 = Cosine( 360 / Period ) ; 22. Gamma1 = 1 / Cosine( 720 * Delta1 / Period ) ; 23. Alpha = Gamma1 - SquareRoot( Square( Gamma1 ) - 1 ) ; 24. HalfAlphaDiff = 0.5 * ( 1 - Alpha ) ; 25. Beta1OnePlusAlpha = Beta1 * ( 1 + Alpha ) ; 26. BP = HalfAlphaDiff * ( Price - Price[2] ) + 27. Beta1OnePlusAlpha * BP[1] - Alpha * BP[2] ; 28. Trend = Average( BP, 2 * Period ) ; 29. if BP[1] BP and BP[1] BP[2] then 30. Peak = BP[1] 31. else if BP[1] BP and BP[1] BP[2] then 32. Valley = BP[1] ; 33. AvgPeak = Average( Peak, 50 ) ; 34. FracAvgPeak = Fraction * AvgPeak ; 35. AvgValley = Average( Valley, 50 ) ; 36. FracAvgValley = Fraction * AvgValley ; 37. Plot1( Trend, Trend ) ; 38. Plot2( FracAvgPeak, AvgPeak ) ; 39. Plot3( FracAvgValley, AvgValley ) ;
Re: [amibroker] Re: Translation code of H.E. Hurst Coefficient byEhlers from TS to AM
Genius is one percent inspiration, ninety-nine percent perspiration. - Thomas Alva Edison, Regards, Ton. - Original Message - From: Fred Tonetti To: amibroker@yahoogroups.com Sent: Wednesday, February 17, 2010 6:13 AM Subject: RE: [amibroker] Re: Translation code of H.E. Hurst Coefficient byEhlers from TS to AM I have toyed with a variety of seemingly interesting things like this over the years most of which wind up on the garbage heap. -- From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of Ted Byers Sent: Tuesday, February 16, 2010 4:11 PM To: amibroker@yahoogroups.com Subject: Re: [amibroker] Re: Translation code of H.E. Hurst Coefficient byEhlers from TS to AM Relax. It was just a figure of speech, to caution against getting carried away with a neat idea one knows little about. Joe did say he knew little about the matter, I guess except that it exists. With the current state of development of the math involved in the Hurst coefficient, and related ideas, interest in experimenting with it is interesting. Interest in actually applying it would strike me as risky jumping onto a bandwagon. My worries about getting carried away with something like this are related to experience over the past few decades of having been approached by traders and financial advisors wanting to apply one thing or another from the realm of nonlinear systems theory (I specialized in RD looking at the suitability of applying it in risk management) to their trading and investing activities. They were not looking at doing the RD required, they just wanted to apply it. Even though they offered outrageous sums for me to develop the code to do it, I refused because the grounds for what they wanted me to do were inadequate so accepting would be tantamount to taking money under false pretenses. I could not guarantee that doing what they wanted would give them and their clients the results they wanted. So, then, whether or not there is a parade depends on the purpose of the code originally and on the intent of the people wanting to use it (experimentation vs real world application). Sorry if I offended you. That was not intended. Ted On Tue, Feb 16, 2010 at 1:14 PM, fctonetti ftone...@optonline.net wrote: Parade ? ... What parade ? ... All Joe did was point someone at the library where some related stuff could be found one of which I think I posted a long time ago. --- In amibroker@yahoogroups.com, Ted Byers r.ted.by...@... wrote: I don't mean to rain on your parade, but the notion of using something I don't know much about is something I find 'scary'. I would suggest you find out, and delve into the math behind it, before making much use of it. Examine it thoroughly, experiment with it enough to satisfy yourself you can make good use of it. The Hurst exponent is based on fascinating scientific work, and is an intriguing idea. But I am not yet convinced there are adequate algorithms available to compute it reliably, or that the math is adequately developed, to allow it to be used well. For the Hurst coefficient, there are, in fact, several different algorithms for computing it, and these different algorithms rarely agree. I have written code (Java, C++) to compute it, but I do not trust the numbers any of these algorithms produce for any applied purpose. Therefore, I simply do not apply them in code I write that others may use to manage their trading/investing. I wil not put other people's money at risk by letting them use math/algorithms I am not happy with. And I will not until I have sufficiently analyzed both the math and the algorithms behind the Hurst coefficient to the point I know why the available algorithms give different results. FTR, I am the sort of individual that writes tens of thousands of lines of code to do statistical analysis before trusting a readily available stats package, and then still write code to provide diagnostics that such packages typically don't provide. And my QA code typically applies my number crunching code to tens of millions of randomly generated test cases, requiring the result to have the expected mathematical properties: every analysis has a well defined suite of assumptions and mathematical properties, and my QA code tests every one of them. I do not regard my code ready to be released unless it passes every one of these tests, and that includes giving error messages when the data it is applied to violates one or more of the assumptions inherent in the algorithm. I know some in the software development industry who would regard my standards as too cautious or conservative, but given that my code has been used in risk management in the environmental consulting
Re: [amibroker] Problem removing OptimizerSetEngine(cmae);
Hi James, I am running on a Windows XPPro DeskTop 2.6Ghz with 1GB internal AmiBroker 5.6.29 and did the same test for several AFL's. I cannot reproduce your problem. Also when trying the other optimizer engines, AmiBroker keeps on smiling ... This does not mean that I have no problems with AmiBroker. Enough bugs to drive me crazy. But not this one ... Also I cannot prove it, I have the feeling that my problems have more to do with Bill gates than with Tomasz Janeczko ... Regards, Ton. - Original Message - From: James To: amibroker@yahoogroups.com Sent: Monday, February 01, 2010 5:13 PM Subject: Re: [amibroker] Problem removing OptimizerSetEngine(cmae); Ton, 1. 1GB of Ram 2. 61 optimization steps, the total number for exahustive optimization 3. It was happening almost immediately after hitting the optimize button, but just now I tried running one of the files that was making it crash and cannot get it to crash. Even stranger the first time I ran the file today it took 5.5 minutes to run the 61 steps, and now I just ran it in 42 seconds. I don't understand it. It must have been a memory problem on my end, but this occurred on Friday, Saturday and Sunday, but it is not happening now. Plus the exception report included the line below regarding module CMAE.dll, but this was when I had removed the CMAE line and was attempting exhaustive optimization. AmiBroker version 5.29.6.5096 ( cooltool.dll 5.28.0, mfc42.dll 6.2.4131, msvcrt.dll 7.0.2600 ) Microsoft Windows XP version 5.1 (Build 2600) Service Pack 3.0 Common Controls: 6.0 Unhandled exception Type: CSysException Code: c005 Description: ACCESS VIOLATION Address: 69015ADB Detailed exception information: Broker.exe caused an EXCEPTION_ACCESS_VIOLATION in module CMAE.dll at 001B:69015ADB Call Stack: 001B:69015ADB CMAE.dll -- From: Ton Sieverding ton.sieverd...@scarlet.be To: amibroker@yahoogroups.com Sent: Mon, February 1, 2010 8:37:37 AM Subject: Re: [amibroker] Problem removing OptimizerSetEngine(cmae); Hi James, Can you please let me know the following. Just to avoid a wrong conclusion ... 1. Internal memory on your system ? GBytes ? 2. Number of steps with exhaustive optimization ? Is 60 steps the total number or the number for cmae ? 3. Does this happen immed after hitting the OPTIMIZE button or after several steps ? So after 60 steps ? Regards, Ton. - Original Message - From: James To: amibro...@yahoogrou ps.com Sent: Monday, February 01, 2010 2:57 PM Subject: Re: [amibroker] Problem removing OptimizerSetEngine( cmae); There are only 60 steps and it crashes on the second one. I have been able to replicate it. Any code that I have this line: OptimizerSetEngine(cmae); will crash after I change it to: // OptimizerSetEngine( cmae); If I delete the line altogether, it still crashes. From: Steve Dugas sjdu...@comcast. net To: amibro...@yahoogrou ps.com Sent: Sun, January 31, 2010 6:42:42 PM Subject: Re: [amibroker] Problem removing OptimizerSetEngine( cmae); Hi - Exhaustive optimizer can crash if the opt has too many steps and it eventually runs out of memory. Does the crash happen well into the opt? Steve - Original Message - From: James To: amibro...@yahoogrou ps.com Sent: Sunday, January 31, 2010 6:26 PM Subject: [amibroker] Problem removing OptimizerSetEngine( cmae); Has anyone else had a problem removing this line from their code: OptimizerSetEngine(cmae); and then trying to run an exhaustive optimization? Every file of code I remove this from, I then can an exception error crash when I try to optimize. I am running XP pro and version 5.29.6. James
Re: [amibroker] Monte Carlo Analysis in AMIBROKER?
Hi Howard, Returning to the question of reordering trades to study the risk associated with the trading system. Use of Monte Carlo analysis in this area is very valuable. It is best done using a program that accepts a list of closed trades and performs the risk analysis. Equity Monaco, available free (http://www.tickquest.com/product/equitymonaco.html), is a good one to start with. And Market Systems Analyzer (http://adaptrade.com/) has more capability and a trial version. My experience with Equity Monaco stops at the first page of the manual. Isn't this a NeoTicker product ? Or at least for NeoTicker. Can I use it with AmiBroker ? oh yes, something else. And you know what ... your next book. When ? Regards, Ton. - Original Message - From: Howard B To: amibroker@yahoogroups.com Sent: Sunday, January 24, 2010 6:12 PM Subject: Re: [amibroker] Monte Carlo Analysis in AMIBROKER? Hi Joseph -- There are many uses of Monte Carlo in the fields of econometrics and financial analysis and modeling. But the three described below are the most applicable to trading systems development. Some are easy to implement in AmiBroker, others are more difficult. Some are useful, others are not useful or poor practice. 1. Use Monte Carlo techniques to study the robustness of a trading system to small changes in the data. Small, random amounts of noise can be added to the open, high, low, close, and volume to see if the trading system is sensitive to noise in the data. This is easily done and useful. There is a more detailed explanation, including code, in my book, Quantitative Trading Systems. 2. Use Monte Carlo techniques to study the robustness of a trading system to small changes in values of parameters. When an optimization is performed, the value of an objective function is calculated for every set of parameter values tested. The best set of parameters is the set that give the highest value of the objective function. If we consider a two dimensional optimization, say the lengths of two moving averages, then we can imagine and visualize the objective function as a surface above (or below) the plane defined by the two variables. If the highest value of the objective function is an isolated peak, then the system is sensitive to changes in the relationship between the model and the data being modeled, and even small changes in the characteristics of the data will cause a shift in the position of the optimal solution. That is, the system is not robust relative to changes in the values of the parameters. If, on the other hand, the highest value of the objective function is a broad plateau, then the system is relatively insensitive to changes in the relationship between the model and the data and small changes in the characteristics of the data will not result in significant changes in the profitability of the system. That is, the system is robust relative to changes in the values of the parameters. Monte Carlo techniques can be used to study the sensitivity of the system by adding random noise to the values of the parameters, testing solutions near the optimal solution. There are many subtle issues that arise when performing this type of study, making general solutions very difficult. Specific solutions are easy to code by running a second set of optimizations that look at the solution space near the previously selected optimum. Additionally, some of the optimization methods included with current releases of AmiBroker (such as the non-exhaustive method known as cmae -- Covariance Matrix Adaptation Evolutionary Strategy) have a robustness component that is used with no need for additional coding by the trading system developer. 3. Monte Carlo techniques can be used to study the risk profile of a sequence of trades. Your question prompts me to ask how the tests you are running are defined. If the universe of stocks being tested is comprised of the 3000 stocks that are the current members of the Russell 3000 index, and the test period is the past ten years, then there is a considerable survivorship bias in the test runs. That is, the 3000 companies that are in the index now have survived the past ten years, but those companies that disappeared during that period are not included in the tests. That bias strongly affects the test results. In some of my research, I have compared two studies: 1. Use the list of stocks currently in an index. 2. Use the lists of stocks that were in an index at the start of each year and run tests one year at a time, with lists reconstructed at the beginning of each year. The results of the first study are always significantly better than the results of the second study. Ignoring the survivorship bias will cause the trading system developer to significantly over-estimate the likelihood that the system will be profitable in the future. Norgate Premium Data
Re: [amibroker] Use an image as background
Hi Carl, something like this ? I hope you will understand how to get the code
in the way you want it. I just took part out of existing code I have on my PC :
if (ShowGraphs!=NONE)
{
// Characters in background ...
GfxSetOverlayMode(1);
GfxSelectFont(Tahoma, Status(pxheight)/2 );
GfxSetTextAlign( 6 ); // center alignment
GfxSetTextColor( ColorRGB( 200, 200, 200 ) );
GfxSetBkMode(1); // transparent
if (CheckBSSC(BuyEx,1))
Tekst=Buy;
else
{
if (CheckBSSC(SellEx,1))
Tekst=Sell;
else
Tekst=;
}
}
if (PopupBack==BACKGROUND AND ShowGraphs!=NONE)
GfxTextOut( Tekst, Status(pxwidth)/2, Status(pxheight)/12 );
Regards, Ton.
- Original Message -
From: cvanhaesendonck
To: amibroker@yahoogroups.com
Sent: Friday, January 22, 2010 2:26 PM
Subject: [amibroker] Use an image as background
This might seem like a strange inquiry but I would like to know whether it is
possible to have an image (or a text) fill in the background of a chart. The
reason is that, as a trader, I like to have some text reminder in front of my
eyes before I take a trade (such as don't forget to check this and that...).
I didn't find such possibility, other than using the existing
setchartbkcolor, and gfxsetbkcolor, etc.
Could anyone help here?
Thank you,
Carl
Re: [amibroker] A computer science related question on the AFL Language
Dear members do not waste your time ... Regards, Ton. - Original Message - From: Ted Byers To: amibroker@yahoogroups.com Sent: Sunday, January 10, 2010 4:15 AM Subject: Re: [amibroker] A computer science related question on the AFL Language This is getting irritating. You are expressing your views in a manner that is rather insulting. I have my doubts about your claim to such experience. If you truly had experience with such large companies, you would have expressed your views with greater tact. While I would had made slightly different decisions on some aspects of AFL, I can understand the rationale behind those choices I would have made differently and I certainly would not criticize the product or the developer for the choices made. AFL is a specialty language, and so I would not expect the same things from it that I expect from the programming languages I normally use. In some respects it is analogous to VB. VB was originally designed as a scripting language for MS Office. In that domain it works very well. But as a general purpose programming language it is deeply flawed. It does what it was designed to do very well, but for other domains it is a poor choice. AFL, too, does what it does well, but I would not use it to develop a streaming video server. This reminds me of an experience I had early on in my career. I had to develop a product for the agricultural consulting industry. My product had several competitors, and their products were quite impressive. They had the look and feel of something designed by engineers for engineers. They were also commercial failures because they ignored the characteristics of the target market. The clients and the users were very different. The clients were farmers with earned doctorates in some aspect of agribusiness, with plenty of experience using IT. The users were secondary school graduates who had never turned on a computer. They were bright people, and could strip down, repair, and reassemble their farm equipment without any problems, but they were intimidated by IT. I developed a product that had a very simple interface, using jargon the users would be familiar with, and building in a little AI. That product was ridiculed by the competition, who falsely believed that the product was as simple as the user interface. However, the product was a commercial success BECAUSE THE USERS UNDERSTOOD IT. My product did all the same things that the competition did, but it's interface was designed to be intuitive for the end users. The feedback we received from the clients was that the users refused to use the competitors' products because they did not understand them, but they loved using the product I developed because they found it so intuitive that they did not need the user's manual. If you had the experience you claim to have, you would know that a product's design must take the end users needs into account, and you would have made allowance for that in your assessment of AmiBroker. This is a product that appears to have been around for a long time, and so it must have found a good fit between what it offers and what its users need and understand. Now, as for your claims about python, I am well aware that there are some 'libraries' that have been developed for it using fortran and C/C++, and so it is possible to get reasonably fast code from it. I am not impressed by it, though, since I can make my C++ code much faster than my fortran and C code, and I have used fortran for twice as long as I have C++. Going to something that is only as fast as good quality fortran code is for me a step backward. However, if I were developing a product that needed something analogous to AFL, I would rebuke any programmer working for me who suggested I provide support for python in that product. Neither Amibroker nor the products I develop need a full fledged general purpose programming language, although there is no question that a specialty scripting language is often useful. It is sufficient that one can develop plugins for AmiBroker, so one can use a general purpose language like C++ if one needs to do so. This has nothing to do with the nature of the python language itself. Rather, it has to do with the availability of capable programmers who know it and the rather small likelihood of customers asking for it. It is hard enough to find capable programmers who know mainstream languages like fortran or C++, or more recent languages like perl. When I look at undergraduate and college curriculae, I see some coverage of basic object oriented concepts, but very little dealing with generic programming and none at all dealing with more advanced concepts like template metaprogramming. Until there is significant demand for support for python bindings for one of my products and until there is a sufficient and reliable supply of capable python
Re: [amibroker] ATM breakout - Rahul Mohinder
mmm. obtained ? regards, Ton. - Original Message - From: Deepak Patade To: amibroker@yahoogroups.com Sent: Monday, January 04, 2010 9:35 AM Subject: Re: [amibroker] ATM breakout - Rahul Mohinder I am not well acquainted with Metaastock, but the same can be obtained from www.viratechsoftware.com Deepak Patade, Nasik. -- From: Ton Sieverding ton.sieverd...@scarlet.be To: amibroker@yahoogroups.com Sent: Mon, January 4, 2010 1:11:10 PM Subject: Re: [amibroker] ATM breakout - Rahul Mohinder Can you show me the MetaStock code for the ATM breakout ? Regards, Ton. - Original Message - From: Deepak Patade To: amibro...@yahoogrou ps.com Sent: Monday, January 04, 2010 5:49 AM Subject: [amibroker] ATM breakout - Rahul Mohinder Hello , Does any one have the afl code for ATM breakout by rahul mohinder which he uses for metastock. www.viratechsoftwar e.com Deepak Patade, Nasik.
Re: [amibroker] ATM breakout - Rahul Mohinder
Can you show me the MetaStock code for the ATM breakout ? Regards, Ton. - Original Message - From: Deepak Patade To: amibroker@yahoogroups.com Sent: Monday, January 04, 2010 5:49 AM Subject: [amibroker] ATM breakout - Rahul Mohinder Hello , Does any one have the afl code for ATM breakout by rahul mohinder which he uses for metastock. www.viratechsoftware.com Deepak Patade, Nasik.
Re: [amibroker] Re: ABTool / multidimensional arrays
Hi Ed. I know you will not like what I am suggesting but it works. At least for
me. Before using Static Arrays load a very long time series like the SP500 and
use this as a 'carrier' or 'feeder' for your Static Array ... I assume you
understand what I mean. I am using this trick for all cases where I need long
arrays ...
Regards, Ton.
- Original Message -
From: Edward Pottasch
To: amibroker@yahoogroups.com
Sent: Tuesday, December 29, 2009 11:31 AM
Subject: Re: [amibroker] Re: ABTool / multidimensional arrays [1 Attachment]
[Attachment(s) from Edward Pottasch included below]
hi,
I wanted to use multi dimensional arrays so that I can use a number of levels
as a variable. It is impossible in Amibroker to define a variable number of
arrays, or I do not know how. For instance I tried as a variable: nlev = 4;
for (k = 0; k = nlev * 2; k++)
{
nn = (k - nlev);
global lev + nn;
lev + nn = Null;
}
this does not work. So it seems you can not define a variable number of
normal arrays.
Therefor I moved to static arrays. That seemed to work at first but I
encountered problems I did not understand and now I find this in the manual:
static array variables store only as many bars as there are currently in use
by given chart. Even though I use setbarsrequired(-2,-2) or
setbarsrequired(sbrall) the values inside the static arrays seem to vary. It
depends where you drop your cursor, what part of the chart you display how they
get filled. I thought there was something wrong in my code, drives you nuts but
the values in these static arrays seem all over the place, pretty much useless
for my purposes. Attached code what I was trying to do. Also I get different
results when using setbarsrequired(-2,-2) and setbarsrequired(sbrall).
Now I turned to the Osaka plugin but I find that you can fill and restore
only 1 element at a time. You can not get an entire row at once. Am I right?
thanks, Ed
- Original Message -
From: Herman
To: amibroker@yahoogroups.com
Sent: Monday, December 28, 2009 9:12 PM
Subject: Re: [amibroker] Re: ABTool / multidimensional arrays
The changes made by Tomasz to the OSAKA plugin are documented in the readme.
herman
Edward Pottasch wrote:
ok thanks. I only find it in the 3-rd party area. Seems to be unchanged.
Didn't know Tomasz improved it. Looks the same from when I tried it a few years
ago. It has very little documentation. Will try again some day.
to reefbreak: will have a look. For now I am able to solve my problem
using static arrays. I am writing a complicated scaling in and out system, at
least complicated to code where at the entry signal I define levels for scaling
in and out. It looks like I can do without these multi dimensional arrays and
static arrays do the job.
rgds, Ed
- Original Message -
From: Herman
To: amibroker@yahoogroups.com
Sent: Monday, December 28, 2009 5:03 PM
Subject: Re: [amibroker] Re: ABTool / multidimensional arrays
btw, if you haven't tried the OSAKA plugin yet you should give it a
try. Tomasz improved it some time in the past and it gives, if you use it is
intended to be used, high performance multi-column sorting. It is fast and has
full capability to save/read/import tables to/from files - also very fast. It
offers an unlimited number of columns, this may enable you to simulate multi
dimensional tables in a two dimensional field.
I think there are some ready to run examples in file section.
If you haven't used this plugin you are missing out on some great
functions! I encourage you to try it.
herman
reefbreak_sd wrote:
You didn't state your application, so I don't know if it is relevant, but I
posted a 2 dimensional sort routine in message 136551. This routine reverse
sorts tickers and an indicator value, and keeps the pairs together to be
printed in the Interpretation window.
ReefBreak
--- In amibroker@yahoogroups.com, Edward Pottasch empotta...@... wrote:
ok thanks Herman.
regards, Ed
- Original Message -
From: Herman
To: amibroker@yahoogroups.com
Sent: Monday, December 28, 2009 11:21 AM
Subject: Re: [amibroker] ABTool / multidimensional arrays
The last I heard was that the developer stopped supporting it and that Tomasz
wrote at some point that ABTools wasn't compatible with AB. It would be risky
to use it.
herman
Edward Pottasch wrote:
hi,
I was looking into multidimensional arrays again. I know there is the Osaka
plugin but never quite figured out how to use it. However, I found this post:
http://finance.groups.yahoo.com/group/amibroker/message/40135
all the way from 2003. This ABTool seems just what I need and easy to
understand. However it seems to have been removed. Anyone know the history on
Re: [amibroker] Re: ABTool / multidimensional arrays
Ed, thanks for the code. I've tried it. A very nice quick intro for OSAKA. Just
a simple question. Is there a way in OSAKA to write the table to internal in
stead of external memory ? Should be a hell of a lot faster ...
Regards, Ton.
- Original Message -
From: Edward Pottasch
To: amibroker@yahoogroups.com
Sent: Tuesday, December 29, 2009 1:11 PM
Subject: Re: [amibroker] Re: ABTool / multidimensional arrays
hi Ton,
thanks for your suggestion, I will remember it for future use. For now I seem
to be able to get ahead with the Osaka plugin. It would be nice if we could
define multidimensional arrays in Amibroker. I thought there have been requests
for this but I can't find any in the suggestions section.
In my example code it can be seen that you can use a Osaka table inside a
procedure but you can not pass it to the main program as a global variable
multidimensional array. Therefor it needs to be saved in a file and later
restored.
regards, Ed
- Original Message -
From: Ton Sieverding
To: amibroker@yahoogroups.com
Sent: Tuesday, December 29, 2009 1:02 PM
Subject: Re: [amibroker] Re: ABTool / multidimensional arrays
Hi Ed. I know you will not like what I am suggesting but it works. At least
for me. Before using Static Arrays load a very long time series like the SP500
and use this as a 'carrier' or 'feeder' for your Static Array ... I assume you
understand what I mean. I am using this trick for all cases where I need long
arrays ...
Regards, Ton.
- Original Message -
From: Edward Pottasch
To: amibroker@yahoogroups.com
Sent: Tuesday, December 29, 2009 11:31 AM
Subject: Re: [amibroker] Re: ABTool / multidimensional arrays [1
Attachment]
hi,
I wanted to use multi dimensional arrays so that I can use a number of
levels as a variable. It is impossible in Amibroker to define a variable number
of arrays, or I do not know how. For instance I tried as a variable: nlev = 4;
for (k = 0; k = nlev * 2; k++)
{
nn = (k - nlev);
global lev + nn;
lev + nn = Null;
}
this does not work. So it seems you can not define a variable number of
normal arrays.
Therefor I moved to static arrays. That seemed to work at first but I
encountered problems I did not understand and now I find this in the manual:
static array variables store only as many bars as there are currently in use
by given chart. Even though I use setbarsrequired(-2,-2) or
setbarsrequired(sbrall) the values inside the static arrays seem to vary. It
depends where you drop your cursor, what part of the chart you display how they
get filled. I thought there was something wrong in my code, drives you nuts but
the values in these static arrays seem all over the place, pretty much useless
for my purposes. Attached code what I was trying to do. Also I get different
results when using setbarsrequired(-2,-2) and setbarsrequired(sbrall).
Now I turned to the Osaka plugin but I find that you can fill and restore
only 1 element at a time. You can not get an entire row at once. Am I right?
thanks, Ed
- Original Message -
From: Herman
To: amibroker@yahoogroups.com
Sent: Monday, December 28, 2009 9:12 PM
Subject: Re: [amibroker] Re: ABTool / multidimensional arrays
The changes made by Tomasz to the OSAKA plugin are documented in the
readme.
herman
Edward Pottasch wrote:
ok thanks. I only find it in the 3-rd party area. Seems to be
unchanged. Didn't know Tomasz improved it. Looks the same from when I tried it
a few years ago. It has very little documentation. Will try again some day.
to reefbreak: will have a look. For now I am able to solve my problem
using static arrays. I am writing a complicated scaling in and out system, at
least complicated to code where at the entry signal I define levels for scaling
in and out. It looks like I can do without these multi dimensional arrays and
static arrays do the job.
rgds, Ed
- Original Message -
From: Herman
To: amibroker@yahoogroups.com
Sent: Monday, December 28, 2009 5:03 PM
Subject: Re: [amibroker] Re: ABTool / multidimensional arrays
btw, if you haven't tried the OSAKA plugin yet you should give it a
try. Tomasz improved it some time in the past and it gives, if you use it is
intended to be used, high performance multi-column sorting. It is fast and has
full capability to save/read/import tables to/from files - also very fast. It
offers an unlimited number of columns, this may enable you to simulate multi
dimensional tables in a two dimensional field.
I think there are some ready to run examples in file section
Re: [amibroker] Re: Traders Tax
And something else Ed. You are talking about pension fund managers and the DOW : Let's assume this is the return you can expect in your pension fund. How many trades can the manager make before you are losing money when they tax you 0.25% per trade? How many fund managers did beat the DOW ? Regards, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Tuesday, December 08, 2009 10:32 PM Subject: Re: [amibroker] Re: Traders Tax hi Mike, I did not include dividends. Do they pay dividends these days? For the calculation I use the Dow Jones. The data I have on Oct 1 1928 the DowJ closed at 240.01. Roughly assuming that from then to now there are 81 years and also I assume that the average inflation is 3.3% per year. Total increase per year is 3.3 + 1.5 = 4.8% which in 81 years results in the Dow going from 240 to 10212. Only 1.5%/year is creation of true value. Yes I indeed omitted the dividend, rgds, Ed - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Tuesday, December 08, 2009 10:11 PM Subject: [amibroker] Re: Traders Tax Where are you getting the 1.5% figure? It does not sound right and is not at all consistent with the SP 500 (more like 9%): http://politicalcalculations.blogspot.com/2006/05/mapping-sp-500-performance-since-1871.html Regardless, your figure is perhaps unrealistic (at least in the last couple of decades) to use in any current analysis given that your average bank account would pay the same with zero risk. Just to be clear; I'm very much against the tax and believe that it is more likely to fail than to be passed. But, at the same time, it would not surprise me in the least to see it go through, even globally. We're living in turbulent times. Mike --- In amibroker@yahoogroups.com, Edward Pottasch empotta...@... wrote: let me add to that: did you know that over the past 100 years the stock market only returns about 1.5% per year? Let's assume this is the return you can expect in your pension fund. How many trades can the manager make before you are losing money when they tax you 0.25% per trade? - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Tuesday, December 08, 2009 9:00 PM Subject: Re: [amibroker] Re: Traders Tax if they think they will make easy money on this they are fools. Trading volumes increased because costs are low and access is easy. Taxing it 0.25% will kill it off completely. If they do it to win votes then wait for Joe Six Pack finding out that he is paying for this tax in his pension fund as well. These pension fund managers will know how to charge Joe Six Pack for all additional costs they encounter. Don't they understand trading is a zero sum game? If they are worried we push up prices then I can say I shorted oil today (for a trade). Let them look at management of listed companies paying themselves 400 to 600 times that of the average worker. Then they can win some votes too. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Tuesday, December 08, 2009 8:34 PM Subject: [amibroker] Re: Traders Tax I suspect that investors would hardly notice the tax. Depending on the frequency at which they move in and out of stocks, it would likely end up being comparable to a mutual fund management fee. The ones most at risk, including myself, are high frequency traders. The tax would seem to be aimed at hedge funds that constantly take micro profits, quickly moving in and out of positions. Unfortunately, it severely impacts day traders and swing traders too. It is not uncommon for high frequency traders to have several hundred trades in a year. With smaller accounts that can be hundreds of thousands in volume, and several million dollars in volume for larger accounts. At those rates, that amounts to tens of thousands of dollars in additional taxes. If politicians only consider the impact as it relates to investors (the vast majority), then the tax appears well targeted at Wall Street. It is only retail traders (minority) that are at risk of being put out of business. The bigger impact is, I believe, what impact it would have on capital leaving the US for opportunities elsewhere. If US markets are worth the premium for their stability, liquidity and diversity, then capital will remain and the politicians will pass the tax. If capital is expected to flee, the tax will not be passed. If even just a few of the larger worldwide exchanges agreed on a tax (in order to leave nowhere for capital to flee), then the countries involved could reap huge revenues. After the amount of money that has
Re: [amibroker] AFL FOR FRACTALS/ALLIGATORS:
Works fine for me. Nothing wrong ...
Regards, Ton.
- Original Message -
From: Asis Ghosh
To: amibroker@yahoogroups.com
Sent: Wednesday, December 09, 2009 10:14 AM
Subject: [amibroker] AFL FOR FRACTALS/ALLIGATORS:
This AFL has some error (ERROR-30: SYNTAX ERROR)--can anyone of our
experienced member fix it ?
/*
Bill William's Alligator System II
Reference Website:
==
http://www.alpari-idc.com/en/market-analysis-guide/chaos-theory/alligator-and-gator.html
Modified from http://www.amibroker.com/library/detail.php?id=100, by Steve
Wiser - slwis...@erols.com
Modified by TohMz on June 9th, 2008
*/
SetChartOptions( 0, chartShowArrows|chartShowDates );
_SECTION_BEGIN(Price Chart);
_N(Title = StrFormat({{NAME}}- {{INTERVAL}} {{DATE}} O= %g, H= %g, L= %g, C=
%g (%.1f%%) V= +WriteVal( V, 1.0 ) +\n{{VALUES}}, O, H, L, C,
SelectedValue(
ROC( C, 1 )) ));
PriceStyle = GetPriceStyle();
PriceStyleOpt = ParamStyle(Price Style)|PriceStyle;
if (PriceStyle==styleCandle)
Plot( C, , colorBlack, PriceStyleOpt);
else
Plot( C, , IIf( Close = Ref(C, -1), colorBlue, colorRed ),
PriceStyleOpt);
_SECTION_END();
_SECTION_BEGIN(BW Alligator);
/*** The trend indicators ***/
P= ParamList(Price, Close|(H+L)/2|(H+C+L)/3,1);
if (P==Close)
A = C;
else
if (P==(H+C+L)/3)
A = (H+C+L)/3;
else
A = (H+L)/2;
AlligatorJaw = Ref(Wilders(A,13),-8);
AlligatorTeeth = Ref(Wilders(A,8), -5);
AlligatorLips = Ref(Wilders(A,5), -3);
Plot(AlligatorJaw, Jaw, ParamColor(Jaw's Color,colorBlue),
ParamStyle(Jaw's Style, styleThick));
Plot(AlligatorTeeth,Teeth, ParamColor(Teeth's Color,colorRed),
ParamStyle(Teeth's Style, styleThick));
Plot(AlligatorLips, Lips, ParamColor(Lips's Color,colorGreen),
ParamStyle(Lips's Style, styleThick));
_SECTION_END();
_SECTION_BEGIN(BW Fractal);
UpFractal= ValueWhen(
(Ref(H,-2) Ref(H, -4)) AND
(Ref(H,-2) Ref(H, -3)) AND
(Ref(H,-2) Ref(H, -1)) AND
(Ref(H,-2) H), Ref(H,-2));
DownFractal= ValueWhen(
(Ref(L,-2) = Ref(L, -4)) AND
(Ref(L,-2) = Ref(L, -3)) AND
(Ref(L,-2) = Ref(L, -1)) AND
(Ref(L,-2) = L), Ref(L,-2));
//== Added Crash crashandburn59 [at] hotmail.com solution
Plot(Ref(UpFractal,2), Up Fractal, ParamColor(Up Fractal Color,colorRed),
ParamStyle(Up Fractal Style, styleDashed));
Plot(Ref(DownFractal,2), Down Fractal,ParamColor(Down Fractal
Color,colorBlue), ParamStyle(Down Fractal Style, styleDashed));
//Plot(Max(HHV(H,3),Ref(UpFractal,2)), Up Fractal, ParamColor(Up Fractal
Color,colorRed), ParamStyle(Up Fractal Style, styleDashed));
//Plot(Max(HHV(H,3),Ref(UpFractal,2)), Down Fractal,ParamColor(Down
Fractal
Color,colorBlue), ParamStyle(Down Fractal Style, styleDashed));
_SECTION_END();
Cheers,
Asis
error.JPG
Re: [amibroker] Re: Jurik Research tools - opinions? Anybody using Jurik tools?
Hi Jim,
I like what I see but could not find what I wanted ... Can you give me the name
of the DLL ? Or even better the DLL of course ...
Regards, Ton.
- Original Message -
From: JIM WIEHE
To: amibroker@yahoogroups.com
Sent: Sunday, November 29, 2009 11:24 PM
Subject: Re: [amibroker] Re: Jurik Research tools - opinions? Anybody using
Jurik tools?
It's somewhere on the Amirboker website for members, where you can find a dll
for Gaussian moving average. Once you find it, put it in your Include folder
and you can use it like any other function.
Here is something I did with it, the ADX indicator is very jagged so why not
smooth it? Oh ya' its free too!!
_SECTION_BEGIN(ADX);
range = Param(Periods, 14, 2, 200, 1 );
Plot( ADX(range), _DEFAULT_NAME(), ParamColor( ADX color, colorBlue ),
ParamStyle(ADX style, styleThick ) );
Plot( scGauss2ord(PDI(range),3), +DI, ParamColor( +DI color, colorGreen
), ParamStyle(+DI style) );
Plot( scGauss2ord(MDI(range),3), -DI, ParamColor( -DI color, colorRed ),
ParamStyle(-DI style) );
_SECTION_END();
--
From: sebastiandanconia sebastiandanco...@yahoo.com
To: amibroker@yahoogroups.com
Sent: Sun, November 29, 2009 1:15:23 PM
Subject: [amibroker] Re: Jurik Research tools - opinions? Anybody using Jurik
tools?
(OT) In a sincere attempt to help out a fellow trader/investor, I must agree
with Ara on this, and offer this additional advice: Whatever Jurik has to
offer, you can recreate it for yourself, at no further expense, with Amibroker!
In fact, you may not even need to recreate anything. Between the canned
indicators that come with AB, the additional ones available for free in AB's
online library, and what you can easily adapt from these two sources I'm not
sure you would ever need to pay extra for any indicators or group of indicators.
Seriously. Pick any unique indicator that you think is interesting, and
spend a little time trying to duplicate it on your own using AB. The math is
the same for everybody.:) You'll get an eye-opening experience in how snake oil
is produced and marketed, but better yet you'll get an indicator that you truly
understand because you'll know how it was made.
Good luck,
Sebastian
p.s. This also goes for the poster from a few days ago who asked about the
High Velocity Market Master system. It looks like the indicators needed are a
long-term moving average (for direction), a couple of linear regression moving
average lines (crossover is a signal to buy or short), and an ATR volatility
stop as an entry trigger and target exit. S.
--- In amibro...@yahoogrou ps.com, Michael herps...@.. . wrote:
I appreciate Ara's reply, but I would like to get an opinion or two from
actual users of Jurik Research tools. Anybody?
Thanks!
--- In amibro...@yahoogrou ps.com, Ara Kaloustian ara1@ wrote:
My impression is that Jurik indicators are optimal for smoothness and
fast
reaction.
Having said that, fast indicators are not necessarily the best for all
applications.
One really needs to learn how to use indicators properly and not to
depend
on any one indicator ... or any one timeframe.
Guess what I am saying is, you really don't need to pay for expensive
indicators
- Original Message -
From: Michael herpse30@
To: amibro...@yahoogrou ps.com
Sent: Saturday, November 28, 2009 2:07 PM
Subject: [amibroker] Jurik Research tools - opinions?
Jurik Research has variations of moving averages, RSI, Stochastics,
etc.
in their indicator toolbox for Amibroker. They are JMA, VEL, CFB, RSX,
and
DMX.
Any good? Worthwhile add-on purchases?
Any indicator/s better than the others?
Thanks!
- - --
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Re: Jurik Research tools - opinions? Anybody using Jurik tools?
Thanks a lot Jim. Downloaded, installed and ... yes works fine. Regards, Ton. - Original Message - From: JIM WIEHE To: amibroker@yahoogroups.com Sent: Monday, November 30, 2009 2:39 PM Subject: Re: [amibroker] Re: Jurik Research tools - opinions? Anybody using Jurik tools? Hello Ton, I checked the Amibroker website and in the third party link you can find indicator help zip and indicator.dll. Put the indicator.dll into the plugins folder and read the help file and you will be on your way to using the gaussian moving average. I think its better than any of the others because its more smooth faster and its free. As someone in this thread earlier wrote, indicators are just a tool in the process of reaching some descision or bias. Using one indicator to make a decision might be the equivalent of painting with one color on a canvas of the same color. Good Luck Jim Wiehe -- From: Ton Sieverding ton.sieverd...@scarlet.be To: amibroker@yahoogroups.com Sent: Mon, November 30, 2009 4:06:22 AM Subject: Re: [amibroker] Re: Jurik Research tools - opinions? Anybody using Jurik tools? Hi Jim, I like what I see but could not find what I wanted ... Can you give me the name of the DLL ? Or even better the DLL of course ... Regards, Ton. - Original Message - From: JIM WIEHE To: amibro...@yahoogrou ps.com Sent: Sunday, November 29, 2009 11:24 PM Subject: Re: [amibroker] Re: Jurik Research tools - opinions? Anybody using Jurik tools? It's somewhere on the Amirboker website for members, where you can find a dll for Gaussian moving average. Once you find it, put it in your Include folder and you can use it like any other function. Here is something I did with it, the ADX indicator is very jagged so why not smooth it? Oh ya' its free too!! _SECTION_BEGIN( ADX); range = Param(Periods , 14, 2, 200, 1 ); Plot( ADX(range), _DEFAULT_NAME( ), ParamColor( ADX color, colorBlue ), ParamStyle( ADX style, styleThick ) ); Plot( scGauss2ord( PDI(range) ,3), +DI, ParamColor( +DI color, colorGreen ), ParamStyle( +DI style) ); Plot( scGauss2ord( MDI(range) ,3), -DI, ParamColor( -DI color, colorRed ), ParamStyle( -DI style) ); _SECTION_END( ); From: sebastiandanconia sebastiandanconia@ yahoo.com To: amibro...@yahoogrou ps.com Sent: Sun, November 29, 2009 1:15:23 PM Subject: [amibroker] Re: Jurik Research tools - opinions? Anybody using Jurik tools? (OT) In a sincere attempt to help out a fellow trader/investor, I must agree with Ara on this, and offer this additional advice: Whatever Jurik has to offer, you can recreate it for yourself, at no further expense, with Amibroker! In fact, you may not even need to recreate anything. Between the canned indicators that come with AB, the additional ones available for free in AB's online library, and what you can easily adapt from these two sources I'm not sure you would ever need to pay extra for any indicators or group of indicators. Seriously. Pick any unique indicator that you think is interesting, and spend a little time trying to duplicate it on your own using AB. The math is the same for everybody.:) You'll get an eye-opening experience in how snake oil is produced and marketed, but better yet you'll get an indicator that you truly understand because you'll know how it was made. Good luck, Sebastian p.s. This also goes for the poster from a few days ago who asked about the High Velocity Market Master system. It looks like the indicators needed are a long-term moving average (for direction), a couple of linear regression moving average lines (crossover is a signal to buy or short), and an ATR volatility stop as an entry trigger and target exit. S. --- In amibro...@yahoogrou ps.com, Michael herps...@.. . wrote: I appreciate Ara's reply, but I would like to get an opinion or two from actual users of Jurik Research tools. Anybody? Thanks! --- In amibro...@yahoogrou ps.com, Ara Kaloustian ara1@ wrote: My impression is that Jurik indicators are optimal for smoothness and fast reaction. Having said that, fast indicators are not necessarily the best for all applications. One really needs to learn how to use indicators properly and not to depend on any one indicator ... or any one timeframe. Guess what I am saying is, you really don't need to pay for expensive indicators - Original Message - From: Michael herpse30@ To: amibro...@yahoogrou ps.com Sent: Saturday, November 28, 2009 2:07 PM Subject: [amibroker] Jurik Research tools - opinions
Re: [amibroker] Does the variable exist ?
Thanks but that's not what I mean Aron. I want to check in AFL if a variable
exitsts or not. So a variable being defined in the program. Let's say you have
a loop that creates variables with VarSet going from AmiP0 thru AmiP9. You
don't know where the loop ends and therefore do not know which variables you
are getting. For that reason you must have a possibility tot check if a
variable exists or else you are getting a syntax error. So there must be an
instruction in AFL that provides this check. Something like IF (
VarExist(AmiP5)) etc. I just don't get the right instruction ...
Regards, Ton.
- Original Message -
From: Aron
To: amibroker@yahoogroups.com
Sent: Wednesday, October 21, 2009 7:22 PM
Subject: Re: [amibroker] Does the variable exist ?
Formula Editor Edit Find
On 10/21/2009 6:57 PM, amsiev wrote:
How do I check in AFL if a variable exists ? Say I have a variable AmiP8
and want to know in the program if this variable exists. What's the AFL
instruction for that ? Should be something like :
If (VarExist(AmiP8)) etc. But I cannot find it ...
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Does the variable exist ?
Correct and thanks Tomasz. That's what i did ...
// Let's get the new values for the AmiPn's
// from loaded Include and overwrite the
// existing AmiPn's ...
for( pn = 0; pn 10; pn++ )
{
AmiPName = AmiPNew+NumToStr(pn,1.0); // Variable name AmiPn new ...
AmiP = AmiP+NumToStr(pn,1.0); // Existing AmiPn in
header AFL ...
// Check if variable exists ...
if (VarGet(AmiPName)0)
{
VarSet(AmiP,VarGet(AmiPName)); // Assign value
AmiPNew to existing
}
else
{
pn = 10;
}
}
Regards, Ton.
- Original Message -
From: Tomasz Janeczko
To: amibroker@yahoogroups.com
Sent: Wednesday, October 21, 2009 9:18 PM
Subject: Re: [amibroker] Does the variable exist ?
You can use VarGet.
http://www.amibroker.com/f?varget
if( IsNull( VarGet(something ) ) )
{
// does NOT exist
}
or you can use typeof
if( typeof( Variable ) == undefined )
{
printf( Variable does NOT exist);
}
Best regards,
Tomasz Janeczko
amibroker.com
- Original Message -
From: Ton Sieverding
To: amibroker@yahoogroups.com
Sent: Wednesday, October 21, 2009 9:03 PM
Subject: Re: [amibroker] Does the variable exist ?
Thanks but that's not what I mean Aron. I want to check in AFL if a
variable exitsts or not. So a variable being defined in the program. Let's say
you have a loop that creates variables with VarSet going from AmiP0 thru AmiP9.
You don't know where the loop ends and therefore do not know which variables
you are getting. For that reason you must have a possibility tot check if a
variable exists or else you are getting a syntax error. So there must be an
instruction in AFL that provides this check. Something like IF (
VarExist(AmiP5)) etc. I just don't get the right instruction ...
Regards, Ton.
- Original Message -
From: Aron
To: amibroker@yahoogroups.com
Sent: Wednesday, October 21, 2009 7:22 PM
Subject: Re: [amibroker] Does the variable exist ?
Formula Editor Edit Find
On 10/21/2009 6:57 PM, amsiev wrote:
How do I check in AFL if a variable exists ? Say I have a variable
AmiP8 and want to know in the program if this variable exists. What's the AFL
instruction for that ? Should be something like :
If (VarExist(AmiP8)) etc. But I cannot find it ...
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Re: Market profile, Value Area, POC etc
Hi Rob, thanks and next question. How do I get my account being approved ? Regards, Ton. - Original Message - From: Rob To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 3:57 PM Subject: [amibroker] Re: Market profile, Value Area, POC etc Ton, likely your account hasn't been approved yet so you don't have access. --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverd...@... wrote: Thanks. That's what I did Prashanth. Registering ... Only this does not give me the authorization to download the AFL files. I'm getting underneath mentioned message. How did you get the AFLs on your system ? Regards, Ton. - Original Message - From: Prashanth To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 2:34 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc [1 Attachment] [Attachment(s) from Prashanth included below] It requires registration. AFL is attached herewith. Cheers Prashanth - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 17:51 Subject: Re: [amibroker] Market profile, Value Area, POC etc Ed what does this mean and how can I get the AFL code ... AMS, you do not have permission to access this page. This could be due to one of several reasons: 1.. Your user account may not have sufficient privileges to access this page. Are you trying to edit someone else's post, access administrative features or some other privileged system? 2.. If you are trying to post, the administrator may have disabled your account, or it may be awaiting activation. Regards, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:31 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc hi, these guys at inditraders did some programming, in this thread there is some code: http://www.inditraders.com/showthread.php?t=1526highlight=market+profile+Amibroker+kaka it is nice for charting (on a limited amount of data, e.g. 15 days of 5-min data) but not for backtesting purposes on 2 years of data. I am also not interested in all these letters, just need the value area and the POC. I would think Amibroker could implement this quite easily because PlotVapOverlayA basicly contains the data already from which you can derive the POC and the VA. If you want to solve it in AFL doing it straightforward would require you to step through the entire range of the day with a certain step density and store this data in an array or static array temporarily and derive the POC and VA's from this storage array. To my knowledge AFL is not really suitable for these type of calculations. When you could store this information in smaller subarrays and one could do some sorting and calculations on much smaller subarrays that would make it much faster. Not sure if the Osaka plugin could be used. regards, Ed - Original Message - From: reinsley To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:08 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc I dreamed about it... I planned to code it in two decades or more up to my programming skill . BR Edward Pottasch a écrit : hi, anyone managed to program this in AFL or a plugin? There are several AFL's on the net that basicly are designed to display the last few days. I am interested in code that generates the upper/lower value area and POC for backtesting purposes. But it seems you need some *clever programming* to make this usable else it will be very slow. The code I found sofar is slow indeed and I can't come up with something smart either. Try loading 2 years of 5 minute data and AB locks up completely. Camarilla is a nice substitute but as I read somewhere Camarilla is the poor man's Market Profile, regards, Ed
Re: [amibroker] Market profile, Value Area, POC etc
Normally I would answer that Belgians are being discriminated in this world but since you are also living in Belgium it must be me -) Regards, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 3:50 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc not sure Ton. I just registered and then clicked on the AFL file and the download commences. That's all I do. regards, Ed - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 3:41 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc That's what I did Ed. Subscribing ... Only this does not give me the authorization to download the AFL files. I'm getting underneath mentioned message. How did you get the AFLs on your system ? Regards, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 2:36 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc Ton, I think first subscribe at http://www.inditraders.com/ it is free. Then you can download the files. I did not add the AFL's to my post because they posted so many versions. Best to get them yourself, regads, Ed p.s. this is the true link to the thread: http://www.inditraders.com/showthread.php?t=1526 this thread also contains comments on the market profile: http://www.inditraders.com/showthread.php?t=492 - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 2:21 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc Ed what does this mean and how can I get the AFL code ... AMS, you do not have permission to access this page. This could be due to one of several reasons: 1.. Your user account may not have sufficient privileges to access this page. Are you trying to edit someone else's post, access administrative features or some other privileged system? 2.. If you are trying to post, the administrator may have disabled your account, or it may be awaiting activation. Regards, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:31 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc hi, these guys at inditraders did some programming, in this thread there is some code: http://www.inditraders.com/showthread.php?t=1526highlight=market+profile+Amibroker+kaka it is nice for charting (on a limited amount of data, e.g. 15 days of 5-min data) but not for backtesting purposes on 2 years of data. I am also not interested in all these letters, just need the value area and the POC. I would think Amibroker could implement this quite easily because PlotVapOverlayA basicly contains the data already from which you can derive the POC and the VA. If you want to solve it in AFL doing it straightforward would require you to step through the entire range of the day with a certain step density and store this data in an array or static array temporarily and derive the POC and VA's from this storage array. To my knowledge AFL is not really suitable for these type of calculations. When you could store this information in smaller subarrays and one could do some sorting and calculations on much smaller subarrays that would make it much faster. Not sure if the Osaka plugin could be used. regards, Ed - Original Message - From: reinsley To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:08 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc I dreamed about it... I planned to code it in two decades or more up to my programming skill . BR Edward Pottasch a écrit : hi, anyone managed to program this in AFL or a plugin? There are several AFL's on the net that basicly are designed to display the last few days. I am interested in code that generates the upper/lower value area and POC for backtesting purposes. But it seems you need some *clever programming* to make this usable else it will be very slow. The code I found sofar is slow indeed and I can't come up with something smart either. Try loading 2 years of 5 minute data and AB locks up completely. Camarilla is a nice substitute but as I read somewhere Camarilla is the poor man's Market
Re: [amibroker] Market profile, Value Area, POC etc
Ed what does this mean and how can I get the AFL code ... AMS, you do not have permission to access this page. This could be due to one of several reasons: 1.. Your user account may not have sufficient privileges to access this page. Are you trying to edit someone else's post, access administrative features or some other privileged system? 2.. If you are trying to post, the administrator may have disabled your account, or it may be awaiting activation. Regards, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:31 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc hi, these guys at inditraders did some programming, in this thread there is some code: http://www.inditraders.com/showthread.php?t=1526highlight=market+profile+Amibroker+kaka it is nice for charting (on a limited amount of data, e.g. 15 days of 5-min data) but not for backtesting purposes on 2 years of data. I am also not interested in all these letters, just need the value area and the POC. I would think Amibroker could implement this quite easily because PlotVapOverlayA basicly contains the data already from which you can derive the POC and the VA. If you want to solve it in AFL doing it straightforward would require you to step through the entire range of the day with a certain step density and store this data in an array or static array temporarily and derive the POC and VA's from this storage array. To my knowledge AFL is not really suitable for these type of calculations. When you could store this information in smaller subarrays and one could do some sorting and calculations on much smaller subarrays that would make it much faster. Not sure if the Osaka plugin could be used. regards, Ed - Original Message - From: reinsley To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:08 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc I dreamed about it... I planned to code it in two decades or more up to my programming skill . BR Edward Pottasch a écrit : hi, anyone managed to program this in AFL or a plugin? There are several AFL's on the net that basicly are designed to display the last few days. I am interested in code that generates the upper/lower value area and POC for backtesting purposes. But it seems you need some *clever programming* to make this usable else it will be very slow. The code I found sofar is slow indeed and I can't come up with something smart either. Try loading 2 years of 5 minute data and AB locks up completely. Camarilla is a nice substitute but as I read somewhere Camarilla is the poor man's Market Profile, regards, Ed
Re: [amibroker] Market profile, Value Area, POC etc
That's what I did Ed. Subscribing ... Only this does not give me the authorization to download the AFL files. I'm getting underneath mentioned message. How did you get the AFLs on your system ? Regards, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 2:36 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc Ton, I think first subscribe at http://www.inditraders.com/ it is free. Then you can download the files. I did not add the AFL's to my post because they posted so many versions. Best to get them yourself, regads, Ed p.s. this is the true link to the thread: http://www.inditraders.com/showthread.php?t=1526 this thread also contains comments on the market profile: http://www.inditraders.com/showthread.php?t=492 - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 2:21 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc Ed what does this mean and how can I get the AFL code ... AMS, you do not have permission to access this page. This could be due to one of several reasons: 1.. Your user account may not have sufficient privileges to access this page. Are you trying to edit someone else's post, access administrative features or some other privileged system? 2.. If you are trying to post, the administrator may have disabled your account, or it may be awaiting activation. Regards, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:31 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc hi, these guys at inditraders did some programming, in this thread there is some code: http://www.inditraders.com/showthread.php?t=1526highlight=market+profile+Amibroker+kaka it is nice for charting (on a limited amount of data, e.g. 15 days of 5-min data) but not for backtesting purposes on 2 years of data. I am also not interested in all these letters, just need the value area and the POC. I would think Amibroker could implement this quite easily because PlotVapOverlayA basicly contains the data already from which you can derive the POC and the VA. If you want to solve it in AFL doing it straightforward would require you to step through the entire range of the day with a certain step density and store this data in an array or static array temporarily and derive the POC and VA's from this storage array. To my knowledge AFL is not really suitable for these type of calculations. When you could store this information in smaller subarrays and one could do some sorting and calculations on much smaller subarrays that would make it much faster. Not sure if the Osaka plugin could be used. regards, Ed - Original Message - From: reinsley To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:08 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc I dreamed about it... I planned to code it in two decades or more up to my programming skill . BR Edward Pottasch a écrit : hi, anyone managed to program this in AFL or a plugin? There are several AFL's on the net that basicly are designed to display the last few days. I am interested in code that generates the upper/lower value area and POC for backtesting purposes. But it seems you need some *clever programming* to make this usable else it will be very slow. The code I found sofar is slow indeed and I can't come up with something smart either. Try loading 2 years of 5 minute data and AB locks up completely. Camarilla is a nice substitute but as I read somewhere Camarilla is the poor man's Market Profile, regards, Ed
Re: [amibroker] Market profile, Value Area, POC etc
Thanks. That's what I did Prashanth. Registering ... Only this does not give me the authorization to download the AFL files. I'm getting underneath mentioned message. How did you get the AFLs on your system ? Regards, Ton. - Original Message - From: Prashanth To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 2:34 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc [1 Attachment] [Attachment(s) from Prashanth included below] It requires registration. AFL is attached herewith. Cheers Prashanth - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 17:51 Subject: Re: [amibroker] Market profile, Value Area, POC etc Ed what does this mean and how can I get the AFL code ... AMS, you do not have permission to access this page. This could be due to one of several reasons: 1.. Your user account may not have sufficient privileges to access this page. Are you trying to edit someone else's post, access administrative features or some other privileged system? 2.. If you are trying to post, the administrator may have disabled your account, or it may be awaiting activation. Regards, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:31 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc hi, these guys at inditraders did some programming, in this thread there is some code: http://www.inditraders.com/showthread.php?t=1526highlight=market+profile+Amibroker+kaka it is nice for charting (on a limited amount of data, e.g. 15 days of 5-min data) but not for backtesting purposes on 2 years of data. I am also not interested in all these letters, just need the value area and the POC. I would think Amibroker could implement this quite easily because PlotVapOverlayA basicly contains the data already from which you can derive the POC and the VA. If you want to solve it in AFL doing it straightforward would require you to step through the entire range of the day with a certain step density and store this data in an array or static array temporarily and derive the POC and VA's from this storage array. To my knowledge AFL is not really suitable for these type of calculations. When you could store this information in smaller subarrays and one could do some sorting and calculations on much smaller subarrays that would make it much faster. Not sure if the Osaka plugin could be used. regards, Ed - Original Message - From: reinsley To: amibroker@yahoogroups.com Sent: Monday, October 12, 2009 12:08 PM Subject: Re: [amibroker] Market profile, Value Area, POC etc I dreamed about it... I planned to code it in two decades or more up to my programming skill . BR Edward Pottasch a écrit : hi, anyone managed to program this in AFL or a plugin? There are several AFL's on the net that basicly are designed to display the last few days. I am interested in code that generates the upper/lower value area and POC for backtesting purposes. But it seems you need some *clever programming* to make this usable else it will be very slow. The code I found sofar is slow indeed and I can't come up with something smart either. Try loading 2 years of 5 minute data and AB locks up completely. Camarilla is a nice substitute but as I read somewhere Camarilla is the poor man's Market Profile, regards, Ed
Re: [amibroker] Re: Is the Walk forward study useful?
Hi Howard, Just a very simple question. Or perhaps not ... Which of the three on page 320 of EBTA described solutions for dealing with data-mining do you prefer : a.. Out of Sample testing with the WalkForward, b.. Bootstrapping/MonteCarlo or c.. Deflating the observed performance with 'Markowitz Correction Factor'. Regards, Ton. - Original Message - From: Howard B To: amibroker@yahoogroups.com Sent: Tuesday, October 06, 2009 6:40 PM Subject: Re: [amibroker] Re: Is the Walk forward study useful? Greetings all -- There has been a lot of activity on this thread. I'll not respond to each point individually, but will make a couple of general comments. I know David Aronson, speak with him regularly, and collaborate with him on projects. I have a copy of his book, Evidence-Based Technical Analysis. His book is excellent and I highly recommend it. I think David and I are in pretty close agreement on most of the modeling, simulation, testing, and validation issues. I have spoken with Robert Pardo and have exchanged several emails and forum postings with him. I think his earlier book was very good, particularly at the time it was published. And his more recent book is not quite up to those standards. There are several important areas he did not cover and several areas where I see things considerably differently than Robert. I have spoken with and exchanged emails with Van Tharp, and I have copies of his books Trade Your Way to Financial Freedom and Definitive Guide to Position Sizing. Both are excellent, and I recommend them both highly. Be sure to get the second edition of Trade Your Way to Financial Freedom -- it has some important corrections and clarifications. Permit me a short rant on my soapbox. I really dislike it when people claim ownership of common terms. Tom DeMark, Robert Pardo, Van Tharp, and others put Service Mark symbols on terms that they think are unique to them, but are not. I appreciate Tharp's enthusiasm over what he calls System Quality Number, but I wish he would not put the Service Mark symbol next to every occurrence of it. And trying to Service Mark the term Position Sizing is like a dietician service marking calorie counting. Robert Pardo claims Walk Forward. I used exactly that term describing exactly that process in research papers I delivered at conferences in the late 1960s. The mark has been registered, not by Robert, but by a company I used to work for and with which Robert was not associated, over my strong objection. End of rant. System quality number is equivalent to t-test. Systems with SQNs above 2 work well for exactly the same reasons that systems with t-test scores above 2 work well. In fact, it is possible to create a custom objective function that Is the t-test and use it for optimization. Attendees at my workshops in Melbourne later this month will see that demonstrated. Optimizing for the t-test of expectancy is equivalent to optimizing for CAR, so don't bother creating the custom function unless you have a better candidate for your objective function than CAR. Back to the topic at hand - There is No rule of thumb to determine how long the in-sample period should be. The Only way to determine that is by testing the model and the data together. And be prepared for that length to change over time. Some writers suggest a relationship between the number of free parameters and the number of data points, or some proportional division of the available data. Those techniques do work on industrial time-series data which is usually stationary, but they do not work on financial time-series data which is non-stationary and changes as trading systems become better at extracting inefficiencies from it. No matter how good the in-sample results look, no matter how high the t-test score is, no matter how many closed trades are represented -- in-sample results have no value in estimating the future performance of the system. None. The only information you have that gives any indication of future performance are the out-of-sample results from testing on data that was never used at all -- not even once -- during system development. Tomorrow is out-of-sample. The only way to prepare for real-money trading tomorrow is to be rigorous during the system testing and validation process. Anything less will overestimate the probability of success. Thanks for listening, Howard
Re: [amibroker] Re: Is the Walk forward study useful?
Thanks Mike. Yes that could be another possible way to handle WalkFowards. Will be very time consuming ... Regards, Ton. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Tuesday, October 06, 2009 2:17 AM Subject: [amibroker] Re: Is the Walk forward study useful? Hi Ton, I agree that the rule of thumb is subjective. So far, I've been willing to live with it. It appears that you and I have different expectations of IS/OOS window sizes. I treat the calculation of walk forward window sizes as a second pass optimization, similar to a simple moving average (SMA) crossover system. - There are two variables (e.g. IS length/OOS length vs. fast SMA/slow SMA) - An optimal combination is desired - We use a fitness function to measure optimal (e.g. OOS:IS ratio vs. CAR/MDD) This is how I try to satisfy your Aronson quote Each strategy will have its own best values for IS/OOS periods. Upon finding an optimal CAR/MDD using fast SMA/slow SMA, we should theoretically be able to trade that same optimal combination of fast SMA/slow SMA over different time periods and expect to get a somewhat stable CAR/MDD (subject to changing market conditions). I would not expect combinations of fast SMA/slow SMA to be stable relative to each other. Looking at a 3-D graph for this crossover system will reveal peaks and valleys. Taking a single slice of that graph (i.e. holding slow SMA constant and varying only fast SMA) will reveal a rising and falling wave. So, I would expect exactly the same in the IS/OOS experiment you describe. You are simply taking a slice of the 2 variable optimization graph (holding IS constant and varying OOS). I would expect a rising and falling wave representing the peaks and valleys that would appear on the full 3-D graph. If I optimize the ratio of OOS:IS using IS length/OOS length, then I expect to get a somewhat consistent OOS:IS ratio (subject to market changes) when using that same optimal IS length/OOS length over different data ranges. I don't expect to get a stable OOS:IS ratio using a fixed IS length and variable OOS length. Mike --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverd...@... wrote: Thanks for your patience Mike -) 1. I know Pardo disagrees with Aronson. And yes I am also using Pardo's rule of thumb. But a rule of thumb without a scientific explanation is still a rule of thumb and therefore subjective. The result of this is when taking 1/8 in stead of 1/3, I am getting a completely different results. That's what Aronson tells me. So I do not understand why Pardo disagrees with Aronson ... Of course I should ask him. And I will ... 2. Here you are telling me what Aronson says : Each strategy will have its own best values for IS/OOS periods. But trying to find the best values is empirical and therefore without having a 'good theory' why your are getting these values is highly subjective. Pardo is not giving me this good theory and Aronson tells me this good theory does not exist ... 3. With regard to our topic, it's not so important which objective function you are using for the WalkFoward. In general I use the CAR/MDD. But whatever OF gives you the same random WalkForward results. Where of course by definition you should use a return/risk related OF ... 4. The way I am analyzing the WalkForward result is simple. I am calculating the differences between the IS and OOS results in percentages from OOS. Then I am taking the average and standard deviation of all these percentages. This gives me an idea about the average IS/OOS error as well as the spread around this average. For the same AFL using the same Symbol you should do the WalkFoward in the way I mentioned in my previous email and calculate the above average/stdev relation. In order to get a stable WalkForward result being independent of the IS/OOS ratio, the average/stdev relation should be more or less stable. It's not. It's highly dependent on the IS/OOS ratio you are using ... BTW ... To get things straight, I am not throwing WalkFoward out of the window. I am just trying to believe in what I am using. And it's getting more and more difficult for me ... Regards, Ton. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Monday, October 05, 2009 11:09 AM Subject: [amibroker] Re: Is the Walk forward study useful? Ton, 1. Pardo disagrees with Aronson (and Bandy). Pardo suggests that a OOS to IS ration of 25% - 35% is best, but that a good rule of thumb for empirical testing is 1/8 to 1/3. 2. Yes, I suspect that each strategy will have its own best values for IS/OOS and that other values will appear as useless. It is up to us to try and find the best values. With respect to your comment: I am getting results that show a random pattern, my question remains; What
Re: [amibroker] Re: Is the Walk forward study useful?
Hi Howard, I still am struggling with the following sentence from David Aronson : The decision about how to apportion the data between the IS and OOS subsets is arbitrary. There is no theory that suggests what fraction of the data should be assigned to training ( IS ) and testing ( OOS ). Results can be very sensitive to these choices ... . Because this is exactly what I am seeing. WalkFoward results are more then sensitive to the IS/OOS relation and in many cases a pure random story. I am getting more and more the feeling that WalkForward is not the correct or better objective way to test trading systems. With all respect to Robert Pardo's idea's about this topic and what you are writing in QTS ... Regards, Ton. - Original Message - From: Howard B To: amibroker@yahoogroups.com Sent: Monday, October 05, 2009 12:48 AM Subject: Re: [amibroker] Re: Is the Walk forward study useful? Greetings all -- My point of view on the length of the in-sample and out-of-sample may be a little different. The logic of the code has been designed to recognize some pattern or characteristic of the data. The length of the in-sample period is however long it takes to keep the model (the logic) in synchronization with the data. There is no one answer to what that length is. When the pattern changes, the model fits it less well. When the pattern changes significantly, the model must be re-synchronized. The only person who can say whether the length is correct or should be longer or shorter is the person running the tests. The length of the out-of-sample period is however long the model and the data remain in sync. That must be some length of time beyond the in-sample period in order to make profitable trades. It could be a long time, in which case there is no need to modify the model at all during that period. There is no general relationship between the length of the in-sample period and the length of the out-of-sample period -- none. There is no general relationship between the performance in-sample and the performance out-of-sample. The greater the difference between the two, the better the system has been fit to the data over the in-sample period. But that does not necessarily mean that the out-of-sample results are less meaningful. You can perform some experiments to see what the best in-sample length is. And then to see what the typical out-of-sample length is. Knowing these two, set up a walk forward run using those lengths. After the run is over, ignore the in-sample results. They have no value in estimating the future performance of the system. It is the out-of-sample results that can give you some idea of how the system might act when traded with real money. It is nice to have a lot of closed traded in the out-of-sample period, but you can run statistics on as few as 5 or 6. Having fewer trades means that it will be more difficult to achieve statistical significance. The number 30 is not magic -- it is just conventional. I think it helps to distinguish between the in-sample and out-of-sample periods this way -- in-sample is seeing how well the model can be made to fit the older data, out-of-sample is seeing how well it might fit future data. Ignore the television ads where person after person exclaims backtesting! as though that is the key to system development. It is not. Backtesting by itself, without going on to walk forward testing, will give the trading system developer the impression that the system is good. In-sample results are always good. We do not stop fooling with the system until they are good. But in-sample results have no value in predicting future performance -- none. There are some general characteristics of trading systems that make them easier to validate. Those begin with having a positive expectancy -- no system can be profitable in the long term unless it has a positive expectancy. Then going on to include trade frequently, hold a short time, minimize losses. Of course, there have been profitable systems that trade infrequently, hold a long time, and suffer deep drawdowns. It is much harder to show that those were profitable because they were good rather than lucky. There is more information about in-sample, out-of-sample, walk forward testing, statistical validation, objective functions, and so forth in my book, Quantitative Trading Systems. http://www.quantitativetradingsystems.com/ Thanks for listening, Howard On Sun, Oct 4, 2009 at 10:56 AM, Bisto bistoma...@yahoo.com wrote: Yes, I believe that you should increase the IS period as general rule is not true the shortest the best trying to catch every market change because it's possible that a too short IS period produces a too low number of trades with no statistical robustness -- you will find parameters that are more likely candidated to fail in OS try a longer IS
Re: [amibroker] Re: Is the Walk forward study useful?
Hi Mike, What I am saying is : 1. That according to David Aronson There is no theory that suggests what fraction of the data should be assigned to training ( IS ) and testing ( OOS ). and that Results can be very sensitive to these choices ... . I assume that he knows where he is talking about ... 2. That when I am doing WalkFoward tests following the advice of Howard Bandy, Robert Pardo AND Van Tharp, I am getting results that show a random patron when changing the OOS en IS periods. So my conclusion is that WalkFoward is a subjective test ... Therefore I have serious problems using WalkFoward tests. If you can help me to get things done in an objective way then I will be delighted to know how you want to do that. But for sure Van Tharp did not help me ... Please do a simple WF test with OOS=1year and IS=1month...12months. So creating WF results for OOS1y+IS1m, OOS1y+IS2m etc. And see what you are getting. This is purely random. The result says nothing to me ... Regards, Ton. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Monday, October 05, 2009 9:29 AM Subject: [amibroker] Re: Is the Walk forward study useful? Ton, Are you saying that you have not found an IS/OOS pair that works well? What measure are you using to judge stability of the walk forward process (i.e. what measure are you using to judge the process as random)? After testing with multiple IS periods, and with multiple OOS periods, I was able to identify fixed window lengths that proved more consistent than the others tested. I reached this conclusion by charting a distribution curve of CAR for the OOS results. My fitness function is currently based on UPI, and thus my walk forward is driven by that value. However, ultimately my interest is in how consistent CAR would be which is why I used that for evaluating the goodness of fit for the IS/OOS period lengths. In my case, over a 13 year period, a 2 year IS and 6 month OOS (for a total of 26 OOS data points) produced the most normal looking distribution of CAR results (i.e. central peak, smallest standard deviation). Excluding the results from all of 1999 and the first half of 2000 (during which results were abnormally strong), the distribution curve looks even better. Also, have you tried working with different fitness functions? Perhaps your fitness function doesn't adequately identify the signal and thus misguides the walk forward, regardless of IS/OOS window lengths. I am in the process of running a new walk forward over the last 7.5 years using Van Tharp's System Quality Number (SQN) as my fitness function. I have kept the same 2 year IS/6 months OOS for a total of 15 OOS data points. My system strives to generate a minimum average of 2 trades per day, so each IS period generally has 1000 or more trades from which to calculate the fitness. It has not run to completion yet. But, for the periods that have produced results, the results look promising (at least with respect to the SQN of the OOS relative to the SQN of the IS, I have not yet created the distribution of CAR for OOS). Assuming that the remainder of the results are equally strong, I will walk forward further back in history to get the full 26 data points to compare against the results produced using my UPI fitness. If the CAR distribution is more normal using SQN as fitness, then I will officially start using SQN for generating optimal values for my next live OOS. If you are willing to share, I would be curious to hear if SQN as a fitness function was able to produce a more stable walk forward for you, and what measure you are using to judge stable. Mike --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverd...@... wrote: Hi Howard, I still am struggling with the following sentence from David Aronson : The decision about how to apportion the data between the IS and OOS subsets is arbitrary. There is no theory that suggests what fraction of the data should be assigned to training ( IS ) and testing ( OOS ). Results can be very sensitive to these choices ... . Because this is exactly what I am seeing. WalkFoward results are more then sensitive to the IS/OOS relation and in many cases a pure random story. I am getting more and more the feeling that WalkForward is not the correct or better objective way to test trading systems. With all respect to Robert Pardo's idea's about this topic and what you are writing in QTS ... Regards, Ton. - Original Message - From: Howard B To: amibroker@yahoogroups.com Sent: Monday, October 05, 2009 12:48 AM Subject: Re: [amibroker] Re: Is the Walk forward study useful? Greetings all -- My point of view on the length of the in-sample and out-of-sample may be a little different. The logic of the code has been designed to recognize some pattern or characteristic of the data. The length
Re: [amibroker] Re: Is the Walk forward study useful?
Thanks for your patience Mike -) 1. I know Pardo disagrees with Aronson. And yes I am also using Pardo's rule of thumb. But a rule of thumb without a scientific explanation is still a rule of thumb and therefore subjective. The result of this is when taking 1/8 in stead of 1/3, I am getting a completely different results. That's what Aronson tells me. So I do not understand why Pardo disagrees with Aronson ... Of course I should ask him. And I will ... 2. Here you are telling me what Aronson says : Each strategy will have its own best values for IS/OOS periods. But trying to find the best values is empirical and therefore without having a 'good theory' why your are getting these values is highly subjective. Pardo is not giving me this good theory and Aronson tells me this good theory does not exist ... 3. With regard to our topic, it's not so important which objective function you are using for the WalkFoward. In general I use the CAR/MDD. But whatever OF gives you the same random WalkForward results. Where of course by definition you should use a return/risk related OF ... 4. The way I am analyzing the WalkForward result is simple. I am calculating the differences between the IS and OOS results in percentages from OOS. Then I am taking the average and standard deviation of all these percentages. This gives me an idea about the average IS/OOS error as well as the spread around this average. For the same AFL using the same Symbol you should do the WalkFoward in the way I mentioned in my previous email and calculate the above average/stdev relation. In order to get a stable WalkForward result being independent of the IS/OOS ratio, the average/stdev relation should be more or less stable. It's not. It's highly dependent on the IS/OOS ratio you are using ... BTW ... To get things straight, I am not throwing WalkFoward out of the window. I am just trying to believe in what I am using. And it's getting more and more difficult for me ... Regards, Ton. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Monday, October 05, 2009 11:09 AM Subject: [amibroker] Re: Is the Walk forward study useful? Ton, 1. Pardo disagrees with Aronson (and Bandy). Pardo suggests that a OOS to IS ration of 25% - 35% is best, but that a good rule of thumb for empirical testing is 1/8 to 1/3. 2. Yes, I suspect that each strategy will have its own best values for IS/OOS and that other values will appear as useless. It is up to us to try and find the best values. With respect to your comment: I am getting results that show a random pattern, my question remains; What are you measuring? In other words, what values appear random - your fitness value? CAR? Something else? 3. I have done very much as you ask, except that I also varied my IS period. I mostly kept my ratios within Pardo's suggested 1/8 to 1/3, but went as low as 1/12 and as high as 1/2 just to be sure. For example IS=1 year, IS=2 years, IS=3 years giving IS1yr+OOS6mth, IS1yr+OOS3mth, IS1yr+OOS1mth IS2yr+OOS12mth, IS2yr+OOS6mth, IS2yr+OOS3mth IS3yr+OOS18mth, IS3yr+OOS12mth, IS3yr+OOS6mth IS2yr+OOS6mth produced the most consistent CAR, even though a weighted UPI was used as the fitness function for the actual walk forward. I do not have a strong opinion as to whether or not there really is a relationship between IS and OOS sizes. I found that Pardo's rule of thumb was as good a starting place as any. I was happy that my values (25%) coincided with what he advised. But, had my studies suggested a ratio outside of Pardo's range, I would have still gone with what my results suggested, despite Pardo's advice. Mike --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverd...@... wrote: Hi Mike, What I am saying is : 1. That according to David Aronson There is no theory that suggests what fraction of the data should be assigned to training ( IS ) and testing ( OOS ). and that Results can be very sensitive to these choices ... . I assume that he knows where he is talking about ... 2. That when I am doing WalkFoward tests following the advice of Howard Bandy, Robert Pardo AND Van Tharp, I am getting results that show a random patron when changing the OOS en IS periods. So my conclusion is that WalkFoward is a subjective test ... Therefore I have serious problems using WalkFoward tests. If you can help me to get things done in an objective way then I will be delighted to know how you want to do that. But for sure Van Tharp did not help me ... Please do a simple WF test with OOS=1year and IS=1month...12months. So creating WF results for OOS1y+IS1m, OOS1y+IS2m etc. And see what you are getting. This is purely random. The result says nothing to me ... Regards, Ton. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Monday, October 05, 2009 9:29 AM
Re: [amibroker] Re: Is the Walk forward study useful?
Thanks again Mike ... See also my previous answer. Just one more remark. Here you are suggesting to take 1 to 3 year for the OOS period. When using commodity time series, this is more or less what I am doing. Why ? Because a lot of commodities coming from the agricultural sector have these typical yearly cycles. But when using time series based upon stocks ( SP500 etc. ), I am using a 5 to 7 year OOS period. Simply because of the economic cycle. I am telling you this because it shows how I am thinking. Just taking a period because somebody gave me a rule of thumb is rather tricky in my eyes. For me there must be a good explanation for the length of that period ... Regards, Ton. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Monday, October 05, 2009 11:32 AM Subject: [amibroker] Re: Is the Walk forward study useful? Ton, You said If you can help me to get things done in an objective way then I will be delighted to know how you want to do that What I was suggesting was: 1. Identify what measure you will use to judge the IS/OOS period sizes (i.e. in my case I used consistency of CAR). 2. Run walk forward with IS ranging from 1 year to 3 years and OOS ranging from 1/8 to 1/3 of the IS period. 3. Calculate summary statistics for each IS/OOS combination for the measure that you decided upon in step 1 (i.e. in my case I calculated the average CAR and the standard deviation of CAR from the OOS samples). It may help to plot a distribution to visualize the data. 4. Observe whether one IS/OOS combination stands out as having the most normally distributed values. Naturally, there is a limit to how many IS/OOS combinations we can try before we have curve fit our results. This is where I find Pardo's ratios to be helpful. By keeping within the suggested range, we are leaving untested many alternative combinations. Mike --- In amibroker@yahoogroups.com, Mike sfclimb...@... wrote: Ton, 1. Pardo disagrees with Aronson (and Bandy). Pardo suggests that a OOS to IS ration of 25% - 35% is best, but that a good rule of thumb for empirical testing is 1/8 to 1/3. 2. Yes, I suspect that each strategy will have its own best values for IS/OOS and that other values will appear as useless. It is up to us to try and find the best values. With respect to your comment: I am getting results that show a random pattern, my question remains; What are you measuring? In other words, what values appear random - your fitness value? CAR? Something else? 3. I have done very much as you ask, except that I also varied my IS period. I mostly kept my ratios within Pardo's suggested 1/8 to 1/3, but went as low as 1/12 and as high as 1/2 just to be sure. For example IS=1 year, IS=2 years, IS=3 years giving IS1yr+OOS6mth, IS1yr+OOS3mth, IS1yr+OOS1mth IS2yr+OOS12mth, IS2yr+OOS6mth, IS2yr+OOS3mth IS3yr+OOS18mth, IS3yr+OOS12mth, IS3yr+OOS6mth IS2yr+OOS6mth produced the most consistent CAR, even though a weighted UPI was used as the fitness function for the actual walk forward. I do not have a strong opinion as to whether or not there really is a relationship between IS and OOS sizes. I found that Pardo's rule of thumb was as good a starting place as any. I was happy that my values (25%) coincided with what he advised. But, had my studies suggested a ratio outside of Pardo's range, I would have still gone with what my results suggested, despite Pardo's advice. Mike --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverding@ wrote: Hi Mike, What I am saying is : 1. That according to David Aronson There is no theory that suggests what fraction of the data should be assigned to training ( IS ) and testing ( OOS ). and that Results can be very sensitive to these choices ... . I assume that he knows where he is talking about ... 2. That when I am doing WalkFoward tests following the advice of Howard Bandy, Robert Pardo AND Van Tharp, I am getting results that show a random patron when changing the OOS en IS periods. So my conclusion is that WalkFoward is a subjective test ... Therefore I have serious problems using WalkFoward tests. If you can help me to get things done in an objective way then I will be delighted to know how you want to do that. But for sure Van Tharp did not help me ... Please do a simple WF test with OOS=1year and IS=1month...12months. So creating WF results for OOS1y+IS1m, OOS1y+IS2m etc. And see what you are getting. This is purely random. The result says nothing to me ... Regards, Ton. - Original Message - From: Mike To: amibroker@yahoogroups.com Sent: Monday, October 05, 2009 9:29 AM Subject: [amibroker] Re: Is the Walk forward study useful? Ton, Are you saying that you have not found an IS/OOS pair
Re: [amibroker] Re: Auto Folder backup
Herman. My problem with Acronis is the restore of a full drive image. Not
seeing the drive etc. Just a question. Does Han-Soft provide a full drive image
Backup ? If so, did you ever test this feature ? Result ?
Regards, Ton.
- Original Message -
From: Herman
To: amibroker@yahoogroups.com
Sent: Saturday, October 03, 2009 1:17 PM
Subject: Re: [amibroker] Re: Auto Folder backup
fyi, Tomasz pointed out that losing formulas files is probably due to
opening more than 512 files. During development I forget a fclose() now and
then :-( so that is probably it.
Thanks, yes, a Folder-watch program is another solution. Hadn't thought of
that.
I have Acronis and know that XP can perform some backup tasks too, but they
to time consuming to set up and use for short term backups.
I tried out: http://www.han-soft.com/index.php?Lang=English and found it
extremely simple to use and work smoothly. Actually I like it a lot; took only
5 minutes to setup, and takes only two clicks to open and perform a task. It
allows me to set up multiple scheduled backup tasks that also can then be
performed manually. I created folders like this:
FormulaBackup// routine full backups of my Formula folder each 30 minutes
FormulaRestore // when restoring selected formulas they end up here
FormulaCritical // This is where I back up code at significant stages
I will also use it to back up the auto exported TWS execution files. Good to
have that too... and there are probably other uses.
Like the Remote backup you mention... especially when traveling :-)
No more losing afl for me :-)
best regards,
herman
Rob wrote:
Herman,
http://www.beanland.net.au/AutoVer/
--- In amibroker@yahoogroups.com, Herman psy...@... wrote:
Hello,
For whatever reason I every now and then lose a formula I am working on.
Usually the formula ends up as an empty file. When that happens I can
lose a whole day of work and spend even longer trying to recreate what I
had programmed before. If this ever happened to you before when you
start a new day then you will sympathize with the problem.
I am looking for a program that will automatically backup a selected
folder (my current afl project) to another location at periodic
intervals. I prefer that this code runs outside of AmiBroker. This would
make it virtually impossible to lose code.
Anyone using this method or know of a product that does this?
I will search the web but wanted to see what everybody else is doing.
Your help will be much appreciated!
herman
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Re: Auto Folder backup
OK. Thanks ...
Ton.
- Original Message -
From: Herman
To: amibroker@yahoogroups.com
Sent: Saturday, October 03, 2009 7:44 PM
Subject: Re: [amibroker] Re: Auto Folder backup
I only use Acronis for major backups. Seems to work fine for a full backup
backup however for most backups I prefer to just copy it to another internal
drive. I never had to restore a complete image.
Han-Soft - I really don't know the product very well; I just wanted a simple
auto backup of unaltered files and didn't spend a lot of time searching for the
best product.. I just let it backup important stuff every 30 minutes to a new
file and I'll be fine. With 1TByte drives we don't have to worry about storage
anymore ;-)
Nowadays one can spend days evaluating different products and search for the
best buy. In the end, for private use, most of them work fine.
herman
Ton Sieverding wrote:
Herman. My problem with Acronis is the restore of a full drive image. Not
seeing the drive etc. Just a question. Does Han-Soft provide a full drive image
Backup ? If so, did you ever test this feature ? Result ?
Regards, Ton.
- Original Message -
From: Herman
To: amibroker@yahoogroups.com
Sent: Saturday, October 03, 2009 1:17 PM
Subject: Re: [amibroker] Re: Auto Folder backup
fyi, Tomasz pointed out that losing formulas files is probably due to
opening more than 512 files. During development I forget a fclose() now and
then :-( so that is probably it.
Thanks, yes, a Folder-watch program is another solution. Hadn't thought
of that.
I have Acronis and know that XP can perform some backup tasks too, but
they to time consuming to set up and use for short term backups.
I tried out: http://www.han-soft.com/index.php?Lang=English and found
it extremely simple to use and work smoothly. Actually I like it a lot; took
only 5 minutes to setup, and takes only two clicks to open and perform a task.
It allows me to set up multiple scheduled backup tasks that also can then be
performed manually. I created folders like this:
FormulaBackup// routine full backups of my Formula folder each 30
minutes
FormulaRestore // when restoring selected formulas they end up here
FormulaCritical // This is where I back up code at significant stages
I will also use it to back up the auto exported TWS execution files. Good
to have that too... and there are probably other uses.
Like the Remote backup you mention... especially when traveling :-)
No more losing afl for me :-)
best regards,
herman
Rob wrote:
Herman,
http://www.beanland.net.au/AutoVer/
--- In amibroker@yahoogroups.com, Herman psy...@... wrote:
Hello,
For whatever reason I every now and then lose a formula I am working on.
Usually the formula ends up as an empty file. When that happens I can
lose a whole day of work and spend even longer trying to recreate what I
had programmed before. If this ever happened to you before when you
start a new day then you will sympathize with the problem.
I am looking for a program that will automatically backup a selected
folder (my current afl project) to another location at periodic
intervals. I prefer that this code runs outside of AmiBroker. This would
make it virtually impossible to lose code.
Anyone using this method or know of a product that does this?
I will search the web but wanted to see what everybody else is doing.
Your help will be much appreciated!
herman
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] HELP: Trend Reversal Index
dp = Divergence(TRI, C, 0.75)==1; Something new to me. Is Divergence an AFL function ? And if so, why can't I find it in the AFL reference ? Ton. - Original Message - From: Mubashar Virk To: amibroker@yahoogroups.com Sent: Sunday, September 27, 2009 9:27 PM Subject: [amibroker] HELP: Trend Reversal Index I am trying to capture divergences on the TRI. I am sure I am missing something. Can someone please review the code. pds = Param(Periods, 13, 3, 30, 1); Pds1 = round(pds * 0.231); TRI = RSI(pds) + MA(RSI(pds1),pds); Plot( TRI, TRI(+pds+,+pds1+), ParamColor( Color, colorCycle ), ParamStyle(Style) ); dp = Divergence(TRI, C, 0.75)==1; // positive --- dn = Divergence(C, tri, 0.75)==-1; //negative --- shape = dp * shapeSmallCircle + dn * shapeSmallCircle ; PlotShapes( shape, IIf( dp, colorGreen, colorRed ),0,TRI,0 ); __ Information from ESET Smart Security, version of virus signature database 4460 (20090926) __ The message was checked by ESET Smart Security. http://www.eset.com
Re: [amibroker] Re: Portfolio Manager ...
Yes it does. Open Financial Exchange ( OFX ). Import Wizard FundManager does support OFX ... That's the easy part -) Regards, Ton. - Original Message - From: J Paul Buffon To: amibroker@yahoogroups.com Sent: Friday, September 18, 2009 2:29 PM Subject: RE: [amibroker] Re: Portfolio Manager ... Hi, Same issue, looking for a portfolio manager to complement AB. PB the software below seems great but does not seem to integrate with Interactive Brokers. Thanks JP From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of Ton Sieverding Sent: 08/04/2009 4:26 AM To: amibroker@yahoogroups.com Subject: Re: [amibroker] Re: Portfolio Manager ... Yes I have seen that in the mean time, Mark. Most important for me is that I can import transactions coming from a generic file. Charting is only important for portfolio part. Not for the symbols. As Amibroker still is the TA platform for me. What's your opinion about the Advanced Statistics part ? Is it worth the difference in price between personal and professional ? Regards, Ton. - Original Message - From: MarkK To: amibroker@yahoogroups.com Sent: Tuesday, August 04, 2009 2:05 AM Subject: RE: [amibroker] Re: Portfolio Manager ... Ton, You can import your portfolio and prices from your broker too into Fund Manager if you like It also has charting too, the charting is not as in depth as AB though MarkK From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of Ton Sieverding Sent: Monday, August 03, 2009 3:30 PM To: amibroker@yahoogroups.com Cc: i...@zwanziger.nl; leo van den Akker; Ruud Vos; Clemens de Leeuw; Franz Maurer Subject: Re: [amibroker] Re: Portfolio Manager ... Thanks Mark. Multi currency capability. Sounds good. I prefer to have prices synchronized. But after what I have found that's not a big deal. Exporting prices from Broker and importing them in Fund Manager. Yes I will try Fund Manager and let you know the result ... Regards, Ton. - Original Message - From: MarkK To: amibroker@yahoogroups.com Sent: Monday, August 03, 2009 6:39 PM Subject: RE: [amibroker] Re: Portfolio Manager ... You have the capability from what I can see for multi currency I do not import or export from AB to Fund Manager Fund Manager ( professional) uses Google real time and historical data I have it set up to pull prices every 5 min Also will send me alerts to my e-mail when a price is triggered They have a very nice free trial and from what I remember there are no restrictions during the trial MarkK From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of Ton Sieverding Sent: Monday, August 03, 2009 12:27 PM To: amibroker@yahoogroups.com Subject: Re: [amibroker] Re: Portfolio Manager ... Thanks a lot Mark. Yes 'Portfolio Manager' for me is the dark site of Amibroker. And yes lot's of reactions do underline this thesis. Frankly I never found a good solution that could be fully integrated in Amibroker. Before starting with the next trail, please let me know if underneath text from Fund Manager is correct : Importing prices refers to the process of importing prices from a file into Fund Manager investments. There are many sources of files that Fund Manager can import from, and they are listed below. Generally, importing is a two step process, obtaining the file of prices from the source, and then performing the price update (import). Below are links to detailed instructions on how to accomplish each step for all supported sources. So is exporting/importing the Amibroker database to Fund Manager doable ? Also, does Fund Manager give you multi currency support ? Regards, Ton. - Original Message - From: MarkK To: amibroker@yahoogroups.com Sent: Monday, August 03, 2009 6:04 PM Subject: RE: [amibroker] Re: Portfolio Manager ... I had posted questions about the Portfolio manager and the limitations some months ago Never saw a response Though I did get numerous responses offline from members All were disappointed with AB's portfolio manager and thought it was useless- I then tried numerous other portfolio manager software And personally went with this one http://www.fundmanagersoftware.com/index.html There were others that were more expensive and others that were less expensive To me this was what I needed MarkK From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of bobko947 Sent: Saturday, July 11, 2009 10:56 AM To: amibroker
Re: [amibroker] Status of Norgate Premium Data for Amibroker
Thanks Howard, Your patiently waiting reader ... - Original Message - From: Howard B To: amibroker@yahoogroups.com Sent: Thursday, September 10, 2009 8:34 PM Subject: Re: [amibroker] Status of Norgate Premium Data for Amibroker Hi Ton -- Thanks for asking about Advanced AmiBroker. I am deep in preparation for my speeches at the Australian Technical Analysts Association meeting in Melbourne in October. That will be followed by five days of workshops I'll be presenting, also in Melbourne. To avoid any unnecessary stress on myself, as well as having customers disappointed that I missed a deadline, I have not committed to a deadline. But, if things stay reasonably on schedule, the book will go to the printer sometime around the first of the year and be available two or three months after that. More information about the ATAA Conference can be found at this site: http://www.ataa.com.au/2009-annual-ataa-conference.html And more information about my workshops at this site: http://www.howardinaustralia.com.au/ And more information about Advanced AmiBroker at this site: http://www.advancedamibroker.com/index.html Thanks, Howard On Thu, Sep 10, 2009 at 7:00 AM, Ton Sieverding ton.sieverd...@scarlet.be wrote: BTW Howard, what's the status of your next book ? Regards, Ton. - Original Message - From: Howard B To: amibroker@yahoogroups.com Sent: Thursday, September 10, 2009 2:47 PM Subject: Re: [amibroker] Status of Norgate Premium Data for Amibroker Greetings -- The chapter of my book, Introduction to AmiBroker, that describes installation of databases includes a section on installing Norgate Premium Data. That chapter is a free download at the book's website: http://www.introductiontoamibroker.com/book.html Scroll down a little and click the installation link. You will be getting a 1.7MB pdf file. I use Norgate Premium Data for End of Day data, and like it. I have written a paper, Use of Fundamental Data in Active Investing that has a section about the GICS codes. You can download that paper, free, from this web page: http://www.introductiontoamibroker.com/activities.html It is the second entry in the Writing section. Thanks, Howard On Wed, Sep 9, 2009 at 10:23 PM, Graham kavemanpe...@gmail.com wrote: I have used Norgate Premiumdata for a number of years and it is very good. Certainly no complaints from me. They have full explanations of what to do on their website for using the data with AB. If you do not understand the instructions then their support would be able to help you No idea what the issue is! -- Cheers Graham Kav AFL Writing Service http://www.aflwriting.com 2009/9/10 kevin...@aol.com I'm about ready to plunge whole hog... since my SuperComposite 1500 contains 1579 stocks and so onyou know the issue. In a message dated 9/9/2009 11:40:26 P.M. Central Daylight Time, bphill0...@yahoo.com.au writes: Kevin When they do, it will be even better than what they currently offer, which is already superb. Brenton kevin...@aol.com wrote: This is what Tomasz said in the release notes for 5.28: As far as I know PremiumData http://www.premiumdata.net/ is planning to release AmiBroker-compatible database with GICS support. What does that mean? Kevin Campbell Obviously I'm very interested Norgate data. but been disappointed before by others In a message dated 9/9/2009 11:03:21 P.M. Central Daylight Time, kevin...@aol.com writes: So you guys are saying you just initiate a download, and the data is stored in the Amibroker database no other conversion is needed? Is that what you are saying? In a message dated 9/9/2009 10:57:57 P.M. Central Daylight Time, gos...@xtra.co.nz writes: Hi Kevin, Norgate is very much around and runnig. I have been using their data for about four years and find the quality and reliability excellent. You get a little utility to click on from your desktop to do the updates which is a one click affair - very easy. I get the Australian market data of about 2,000 equities and this takes about 2 minutes to download each night. They supply USA data including futures and currencies and some other International bourses data. The updates, splits, new listings are all done automatically, normally during the weekend. Norgate data is imported natively into AmiBroker using the Metastock plug-in. Even better, Norgate automatically creates and maintains your GICS databases for US
Re: [amibroker] Status of Norgate Premium Data for Amibroker
BTW Howard, what's the status of your next book ? Regards, Ton. - Original Message - From: Howard B To: amibroker@yahoogroups.com Sent: Thursday, September 10, 2009 2:47 PM Subject: Re: [amibroker] Status of Norgate Premium Data for Amibroker Greetings -- The chapter of my book, Introduction to AmiBroker, that describes installation of databases includes a section on installing Norgate Premium Data. That chapter is a free download at the book's website: http://www.introductiontoamibroker.com/book.html Scroll down a little and click the installation link. You will be getting a 1.7MB pdf file. I use Norgate Premium Data for End of Day data, and like it. I have written a paper, Use of Fundamental Data in Active Investing that has a section about the GICS codes. You can download that paper, free, from this web page: http://www.introductiontoamibroker.com/activities.html It is the second entry in the Writing section. Thanks, Howard On Wed, Sep 9, 2009 at 10:23 PM, Graham kavemanpe...@gmail.com wrote: I have used Norgate Premiumdata for a number of years and it is very good. Certainly no complaints from me. They have full explanations of what to do on their website for using the data with AB. If you do not understand the instructions then their support would be able to help you No idea what the issue is! -- Cheers Graham Kav AFL Writing Service http://www.aflwriting.com 2009/9/10 kevin...@aol.com I'm about ready to plunge whole hog... since my SuperComposite 1500 contains 1579 stocks and so onyou know the issue. In a message dated 9/9/2009 11:40:26 P.M. Central Daylight Time, bphill0...@yahoo.com.au writes: Kevin When they do, it will be even better than what they currently offer, which is already superb. Brenton kevin...@aol.com wrote: This is what Tomasz said in the release notes for 5.28: As far as I know PremiumData http://www.premiumdata.net/ is planning to release AmiBroker-compatible database with GICS support. What does that mean? Kevin Campbell Obviously I'm very interested Norgate data. but been disappointed before by others In a message dated 9/9/2009 11:03:21 P.M. Central Daylight Time, kevin...@aol.com writes: So you guys are saying you just initiate a download, and the data is stored in the Amibroker database no other conversion is needed? Is that what you are saying? In a message dated 9/9/2009 10:57:57 P.M. Central Daylight Time, gos...@xtra.co.nz writes: Hi Kevin, Norgate is very much around and runnig. I have been using their data for about four years and find the quality and reliability excellent. You get a little utility to click on from your desktop to do the updates which is a one click affair - very easy. I get the Australian market data of about 2,000 equities and this takes about 2 minutes to download each night. They supply USA data including futures and currencies and some other International bourses data. The updates, splits, new listings are all done automatically, normally during the weekend. Norgate data is imported natively into AmiBroker using the Metastock plug-in. Even better, Norgate automatically creates and maintains your GICS databases for US and Australian stocks and this goes down to sub-industry group levels with the release of AmiBroker 5.8.xx beta. As Richard Dale of Norgate once stated: we have to maintain the absolute best quality data as this is the only business we are in. I have no connection or pecuniary interests with Norgate - just a very satisfied customer. Cheers, Gordon Sutherland -Original Message- From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of kevin...@aol.com Sent: Thursday, 10 September 2009 3:29 p.m. To: amibroker@yahoogroups.com Subject: [amibroker] Status of Norgate Premium Data for Amibroker What's the status on this is this developed, up and running? Anybody using? How long does a download take, and what do you download What is the procedure for downloading daily data? How does the database, such as splits, new listings, etc. happen? Kevin Campbell -- __ Information from ESET NOD32 Antivirus, version of virus signature database 4412 (20090909) __
Re: [amibroker] Currency code ...
Anybody there who can help me ? - Original Message - From: amsiev To: amibroker@yahoogroups.com Sent: Tuesday, August 25, 2009 9:45 PM Subject: [amibroker] Currency code ... How do I download the currency codes for ETF's from Yahoo in Amibroker ? I have the feeling Yahoo ( Fundamental ) is not giving me the currency codes for ETF's. Correct ? If correct, how can I import the request data ? Let's say from a CSV file into Amibroker ... Regards, Ton.
Re: [amibroker] Re: Portfolio Manager ...
Yes I have seen that in the mean time, Mark. Most important for me is that I can import transactions coming from a generic file. Charting is only important for portfolio part. Not for the symbols. As Amibroker still is the TA platform for me. What's your opinion about the Advanced Statistics part ? Is it worth the difference in price between personal and professional ? Regards, Ton. - Original Message - From: MarkK To: amibroker@yahoogroups.com Sent: Tuesday, August 04, 2009 2:05 AM Subject: RE: [amibroker] Re: Portfolio Manager ... Ton, You can import your portfolio and prices from your broker too into Fund Manager if you like It also has charting too, the charting is not as in depth as AB though MarkK From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of Ton Sieverding Sent: Monday, August 03, 2009 3:30 PM To: amibroker@yahoogroups.com Cc: i...@zwanziger.nl; leo van den Akker; Ruud Vos; Clemens de Leeuw; Franz Maurer Subject: Re: [amibroker] Re: Portfolio Manager ... Thanks Mark. Multi currency capability. Sounds good. I prefer to have prices synchronized. But after what I have found that's not a big deal. Exporting prices from Broker and importing them in Fund Manager. Yes I will try Fund Manager and let you know the result ... Regards, Ton. - Original Message - From: MarkK To: amibroker@yahoogroups.com Sent: Monday, August 03, 2009 6:39 PM Subject: RE: [amibroker] Re: Portfolio Manager ... You have the capability from what I can see for multi currency I do not import or export from AB to Fund Manager Fund Manager ( professional) uses Google real time and historical data I have it set up to pull prices every 5 min Also will send me alerts to my e-mail when a price is triggered They have a very nice free trial and from what I remember there are no restrictions during the trial MarkK From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of Ton Sieverding Sent: Monday, August 03, 2009 12:27 PM To: amibroker@yahoogroups.com Subject: Re: [amibroker] Re: Portfolio Manager ... Thanks a lot Mark. Yes 'Portfolio Manager' for me is the dark site of Amibroker. And yes lot's of reactions do underline this thesis. Frankly I never found a good solution that could be fully integrated in Amibroker. Before starting with the next trail, please let me know if underneath text from Fund Manager is correct : Importing prices refers to the process of importing prices from a file into Fund Manager investments. There are many sources of files that Fund Manager can import from, and they are listed below. Generally, importing is a two step process, obtaining the file of prices from the source, and then performing the price update (import). Below are links to detailed instructions on how to accomplish each step for all supported sources. So is exporting/importing the Amibroker database to Fund Manager doable ? Also, does Fund Manager give you multi currency support ? Regards, Ton. - Original Message - From: MarkK To: amibroker@yahoogroups.com Sent: Monday, August 03, 2009 6:04 PM Subject: RE: [amibroker] Re: Portfolio Manager ... I had posted questions about the Portfolio manager and the limitations some months ago Never saw a response Though I did get numerous responses offline from members All were disappointed with AB's portfolio manager and thought it was useless- I then tried numerous other portfolio manager software And personally went with this one http://www.fundmanagersoftware.com/index.html There were others that were more expensive and others that were less expensive To me this was what I needed MarkK From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of bobko947 Sent: Saturday, July 11, 2009 10:56 AM To: amibroker@yahoogroups.com Subject: [amibroker] Re: Portfolio Manager ... --- In amibroker@yahoogroups.com, amsiev ton.sieverd...@... wrote: As we all know, Account Manager is Amibroker's weak point. For me it's not usable and ... Question. Any suggestions for a good Portfolio Manager ? Regards, Ton. Ton, you may try: 1) http://www.fundmanagersoftware.com, very good, reasonably priced, free to use 60 times before trial period expires, very easy to use. 2) http://www.stator-afm.com - reasonably priced, 30 days trial period. Good luck, Bob.
Re: [amibroker] Re: Portfolio Manager ...
Thanks a lot Mark. Yes 'Portfolio Manager' for me is the dark site of Amibroker. And yes lot's of reactions do underline this thesis. Frankly I never found a good solution that could be fully integrated in Amibroker. Before starting with the next trail, please let me know if underneath text from Fund Manager is correct : Importing prices refers to the process of importing prices from a file into Fund Manager investments. There are many sources of files that Fund Manager can import from, and they are listed below. Generally, importing is a two step process, obtaining the file of prices from the source, and then performing the price update (import). Below are links to detailed instructions on how to accomplish each step for all supported sources. So is exporting/importing the Amibroker database to Fund Manager doable ? Also, does Fund Manager give you multi currency support ? Regards, Ton. - Original Message - From: MarkK To: amibroker@yahoogroups.com Sent: Monday, August 03, 2009 6:04 PM Subject: RE: [amibroker] Re: Portfolio Manager ... I had posted questions about the Portfolio manager and the limitations some months ago Never saw a response Though I did get numerous responses offline from members All were disappointed with AB's portfolio manager and thought it was useless- I then tried numerous other portfolio manager software And personally went with this one http://www.fundmanagersoftware.com/index.html There were others that were more expensive and others that were less expensive To me this was what I needed MarkK From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of bobko947 Sent: Saturday, July 11, 2009 10:56 AM To: amibroker@yahoogroups.com Subject: [amibroker] Re: Portfolio Manager ... --- In amibroker@yahoogroups.com, amsiev ton.sieverd...@... wrote: As we all know, Account Manager is Amibroker's weak point. For me it's not usable and ... Question. Any suggestions for a good Portfolio Manager ? Regards, Ton. Ton, you may try: 1) http://www.fundmanagersoftware.com, very good, reasonably priced, free to use 60 times before trial period expires, very easy to use. 2) http://www.stator-afm.com - reasonably priced, 30 days trial period. Good luck, Bob.
Re: [amibroker] Re: Portfolio Manager ...
Thanks Mark. Multi currency capability. Sounds good. I prefer to have prices synchronized. But after what I have found that's not a big deal. Exporting prices from Broker and importing them in Fund Manager. Yes I will try Fund Manager and let you know the result ... Regards, Ton. - Original Message - From: MarkK To: amibroker@yahoogroups.com Sent: Monday, August 03, 2009 6:39 PM Subject: RE: [amibroker] Re: Portfolio Manager ... You have the capability from what I can see for multi currency I do not import or export from AB to Fund Manager Fund Manager ( professional) uses Google real time and historical data I have it set up to pull prices every 5 min Also will send me alerts to my e-mail when a price is triggered They have a very nice free trial and from what I remember there are no restrictions during the trial MarkK From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of Ton Sieverding Sent: Monday, August 03, 2009 12:27 PM To: amibroker@yahoogroups.com Subject: Re: [amibroker] Re: Portfolio Manager ... Thanks a lot Mark. Yes 'Portfolio Manager' for me is the dark site of Amibroker. And yes lot's of reactions do underline this thesis. Frankly I never found a good solution that could be fully integrated in Amibroker. Before starting with the next trail, please let me know if underneath text from Fund Manager is correct : Importing prices refers to the process of importing prices from a file into Fund Manager investments. There are many sources of files that Fund Manager can import from, and they are listed below. Generally, importing is a two step process, obtaining the file of prices from the source, and then performing the price update (import). Below are links to detailed instructions on how to accomplish each step for all supported sources. So is exporting/importing the Amibroker database to Fund Manager doable ? Also, does Fund Manager give you multi currency support ? Regards, Ton. - Original Message - From: MarkK To: amibroker@yahoogroups.com Sent: Monday, August 03, 2009 6:04 PM Subject: RE: [amibroker] Re: Portfolio Manager ... I had posted questions about the Portfolio manager and the limitations some months ago Never saw a response Though I did get numerous responses offline from members All were disappointed with AB's portfolio manager and thought it was useless- I then tried numerous other portfolio manager software And personally went with this one http://www.fundmanagersoftware.com/index.html There were others that were more expensive and others that were less expensive To me this was what I needed MarkK From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf Of bobko947 Sent: Saturday, July 11, 2009 10:56 AM To: amibroker@yahoogroups.com Subject: [amibroker] Re: Portfolio Manager ... --- In amibroker@yahoogroups.com, amsiev ton.sieverd...@... wrote: As we all know, Account Manager is Amibroker's weak point. For me it's not usable and ... Question. Any suggestions for a good Portfolio Manager ? Regards, Ton. Ton, you may try: 1) http://www.fundmanagersoftware.com, very good, reasonably priced, free to use 60 times before trial period expires, very easy to use. 2) http://www.stator-afm.com - reasonably priced, 30 days trial period. Good luck, Bob.
Re: [amibroker] Re: NAAIM Presentation -- How to Build an Effective Trading System
I agree. Brian is highly respected on this Forum. Personal attacks should be forbidden. Tomasz I know you have a lot to do but in this case please ... This is not the way we talk to each other. People like that should be removed from this Forum ... Regards, Ton. - Original Message - From: Mubashar Virk To: amibroker@yahoogroups.com Sent: Wednesday, July 22, 2009 12:19 PM Subject: Re: [amibroker] Re: NAAIM Presentation -- How to Build an Effective Trading System This is unfortunate. Very unfortunate. I think Brain is an outstanding member of this group. His contributions are always stimulating and productive. Everyone is entitled to express his or her opinions, but personal attacks are stupid. brian_z111 wrote: Pay2hel etc Please take it off line and continue to dump on me there. I will read it all. There will be no need for any further discussion, in this forum, regarding my merits and demerits. You are quite right though .. I do regard a good dump as encouragement! --- In amibroker@yahoogroups.com, fjh payh...@... wrote: An excellent example of the Aussie shit we were talking about. This guy is the most lame son-of-a-bitch. This forum is mostly for writing trading code but this Aussie bastard (brian) hijacks many threads and even when dumped on, continues his shit until people just give up. Even when writing they love to hear their own voices. - Original Message - From: brian_z111 brian_z...@... To: amibroker@yahoogroups.com Sent: Tuesday, July 21, 2009 6:18 PM Subject: [amibroker] Re: NAAIM Presentation -- How to Build an Effective Trading System Howard, You must be aware of the approximations used by cartograhers and also 'northern hemisphere bias'. Usually we (those of us who know how the world really works) do not give out this information (we don't want 'DownUnder' to be discovered and invaded), but since you are a friend: - Auckland is not in NewZealand ... it is a decoy to attract tourists away from the real NZ. Christchurch is the capital of NZ it is suprizingly cosmopolitan for a provincial city. - you could fire a cannon across NZ (the real one) and not hit anyone rugby boots and jumper are the national attire but hiking boots and a backback are an acceptable alternative (as in the Milford Track). - if you want to purchase an accurate map of the world, as it really is, this can only be done in the Christchurch Square (it is printed by The Wizard and has NZ at the top ... he is difficult to find these days ... if he comes out at all it will be on a nice Sunday). - Similarly, Melbourne is not in Australia ... it is actually in Mexico i.e. south of the border. - You have not been to Australia unless you walk along the Sunshine Coast beaches in a pair of thongs, board shorts and a brightly coloured TShirt with colored zinc cream on your nose (surfing or swimming is recommended but not mandatory ... looking the part is good enough. - BTW never wear socks and sandals on an Australian beach (we will think you are a POMMIE and avoid you) ... perfectly acceptable in NZ though. - When in NZ always dress in black. - When in Australia preferably wear bright yellow but any bright color will substitute if you are caught between washes. - Don't be fooled by false advertising ... do not, under any circumstances, wear 'budgie smugglers' to an Aussie beach or pool ... unless you like being an object of ridicule. BTW If you don't understand the lingo just pop into any pub and ask for an interpretation (always shout a round first!) --- In amibroker@yahoogroups.com, Howard B howardbandy@ wrote: Greetings -- All of the blue owl press websites have been refreshed. All of the links to PowerPoint presentations and pdf files have been moved to the /Activities page of each website. For example: http://www.blueowlpress.com/activities.html http://www.introductiontoamibroker.com/activities.html There are also some new links -- One describing the ATAA Australian Technical Analysts Association, and their annual Convention to be held in Melbourne in October 2009, where I will be speaking. http://ataa.com.au/ Another describing a series of workshops I will be giving in Melbourne the week immediately following the ATAA conference. http://www.howardinaustralia.com.au/ The ATAA Conference looks to be outstanding -- a great program and great speakers. The workshops will be similar in style and activity to the workshop I
Re: [amibroker] AFL numbers in AWL files
No news is bad news ? Regards, Ton. - Original Message - From: amsiev To: amibroker@yahoogroups.com Sent: Tuesday, July 14, 2009 4:27 PM Subject: [amibroker] AFL numbers in AWL files Is there a way to get the AFL numbers used in the AWL's ? Just to give an example : MyAFL 1 3646 99 I mean the number 3646 for MyAFL.afl ... Regards, Ton.
Re: [amibroker] Re: Backtester and ~~~EQUITY
Mike just another question. Look to the underneath code :
// Create whatever EQUITY and plot the array ...
GetEquity = Foreign(~~~EQUITY,C);
Plot(GetEquity,,colorBlue,styleLine|styleOwnScale);
// Use the same array to create ~MyIndex
AddToComposite(GetEquity,~MyIndex,C,3);
Buy=0;
Result=Foreign(~MyIndex,C);
// Why is Result not giving me the same graph as
// GetEquity ?
Plot(Result,Result Comp,colorRed,styleLine);
Any idea ?
Ton.
- Original Message -
From: Mike
To: amibroker@yahoogroups.com
Sent: Tuesday, June 30, 2009 8:48 PM
Subject: [amibroker] Re: Backtester and ~~~EQUITY
Try AddToComposite from custom backtester code. Add ~~~Equity to whatever
symbol name you want.
SetCustomBacktestProc();
if (Status(action) == ActionPortfolio) {
bo = GetBacktesterObject();
bo.Backtest();
AddToComposite(Foreign(~~~Equity, C), ~Equity123, X, atcFlagDefaults
| atcFlagEnableInPortfolio);
}
Mike
--- In amibroker@yahoogroups.com, amsiev ton.sieverd...@... wrote:
I want the Backtester to write the equity curve to a different file name.
Let's say ~~~EQUITY0023. I know there is code in AFL to do that but cannot find
it anymore. Can anybody help me please ?
Regards, Ton.
Re: [amibroker] Re: AmiBroker default values for standard indicators
Thanks, no thanks. That's of course not what ik meant. In your method I should walk trough all indicators and get the Param values from the Param screen. If there is no other possibility I will do that of course. But I am looking for a kind of file or document showing all default values used within the AmiBroker indicators. I know it exists but cannot find it anymore ... Regards, Ton. - Original Message - From: gmorlosky To: amibroker@yahoogroups.com Sent: Wednesday, July 01, 2009 3:44 PM Subject: [amibroker] Re: AmiBroker default values for standard indicators Plot the basic indicators (example: RSI(), MACD(), etc.) and then right click Parameters and there are all the defaults. --- In amibroker@yahoogroups.com, amsiev ton.sieverd...@... wrote: RSI() should have 14 etc. I know they are somewhere but ... Can anybody help me ? Regards, Ton.
Re: [amibroker] Re: Backtester and ~~~EQUITY
Sorry Mike. You should of course run this code from within the AA and do a Scan
before getting the composite. In the meantime I have found that both arrays are
similar but that plotting them with a StyleOwnScale creates the problem. The
Flag (1+2) is fine for the underneath mentioned example. Overwriting and 253.
So it was a plotting problem ... Thanks again for the solution. BTW it would be
nice if we could change the name of ~~~EQUITY in the AA. If was looking for
something like AA.Equity(~myEQ) but that does not exist ...
Ton.
- Original Message -
From: Mike
To: amibroker@yahoogroups.com
Sent: Wednesday, July 01, 2009 6:19 PM
Subject: [amibroker] Re: Backtester and ~~~EQUITY
Ton,
By default, AddToComposite is only evaluated during a scan. If you want to
have it executed during an exploration, backtest, portfolio backtest or within
an indicator, you must pass the appropriate flag value.
If you want your composite to reflect ~~~Equity, then the example I gave
earlier is the way to do it (i.e. calculate your composite at the same time
that AmiBroker calculates ~~~Equity during portfolio backtest).
Mike
--- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverd...@... wrote:
Mike just another question. Look to the underneath code :
// Create whatever EQUITY and plot the array ...
GetEquity = Foreign(~~~EQUITY,C);
Plot(GetEquity,,colorBlue,styleLine|styleOwnScale);
// Use the same array to create ~MyIndex
AddToComposite(GetEquity,~MyIndex,C,3);
Buy=0;
Result=Foreign(~MyIndex,C);
// Why is Result not giving me the same graph as
// GetEquity ?
Plot(Result,Result Comp,colorRed,styleLine);
Any idea ?
Ton.
- Original Message -
From: Mike
To: amibroker@yahoogroups.com
Sent: Tuesday, June 30, 2009 8:48 PM
Subject: [amibroker] Re: Backtester and ~~~EQUITY
Try AddToComposite from custom backtester code. Add ~~~Equity to whatever
symbol name you want.
SetCustomBacktestProc();
if (Status(action) == ActionPortfolio) {
bo = GetBacktesterObject();
bo.Backtest();
AddToComposite(Foreign(~~~Equity, C), ~Equity123, X,
atcFlagDefaults | atcFlagEnableInPortfolio);
}
Mike
--- In amibroker@yahoogroups.com, amsiev ton.sieverding@ wrote:
I want the Backtester to write the equity curve to a different file name.
Let's say ~~~EQUITY0023. I know there is code in AFL to do that but cannot find
it anymore. Can anybody help me please ?
Regards, Ton.
Re: [amibroker] Re: Backtester and ~~~EQUITY
Yes thanks Mike. That's it. I was fiddling around with fOpen etc. Of course
AddToComposite should do the trick ...
Ton.
- Original Message -
From: Mike
To: amibroker@yahoogroups.com
Sent: Tuesday, June 30, 2009 8:48 PM
Subject: [amibroker] Re: Backtester and ~~~EQUITY
Try AddToComposite from custom backtester code. Add ~~~Equity to whatever
symbol name you want.
SetCustomBacktestProc();
if (Status(action) == ActionPortfolio) {
bo = GetBacktesterObject();
bo.Backtest();
AddToComposite(Foreign(~~~Equity, C), ~Equity123, X, atcFlagDefaults
| atcFlagEnableInPortfolio);
}
Mike
--- In amibroker@yahoogroups.com, amsiev ton.sieverd...@... wrote:
I want the Backtester to write the equity curve to a different file name.
Let's say ~~~EQUITY0023. I know there is code in AFL to do that but cannot find
it anymore. Can anybody help me please ?
Regards, Ton.
Re: [amibroker] How to get the name of a formula in AFL ?
Thanks, no thanks Dingo. I meant just the other way around. Let's say I want to
Backtest an AFL and have jScript with following code to do that :
AB = new ActiveXObject(Broker.Application); // Create AB object
AA= AB.Analysis; // Get AA object from AB
AA.ApplyTo = 1;// Current Symbol
AA.RangeMode = 3;// Use from date for Backtest
AA.RangeFromDate = SelDate; // Run Backtest from this date
AA.LoadFormula(ActAFL);
AA.Backtest(0);
How do I get the variable 'ActAFL' ? This should be the actual AFL ... The
problem is that accessing AA does not mean that you have the active AFL in AA
...
Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Wednesday, June 24, 2009 5:45 PM
Subject: Re: [amibroker] How to get the name of a formula in AFL ?
Formula_Name = Your formula name goes here;
d
On Wed, Jun 24, 2009 at 10:30 AM, amsiev ton.sieverd...@scarlet.be wrote:
Of course there should be some where some how a function that gives me the
name of the active formula in AFL. I cannot find it. Any idea ?
Thanks, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] How to get the name of a formula in AFL ?
Yes Sir. Great and thanks. BTW Herman is there nothing around like FormulaName
or something like that ? Should be a standard AFL instruction. Don't you think
so ...
Tomasz
Ton.
- Original Message -
From: Herman
To: amsiev
Sent: Wednesday, June 24, 2009 6:03 PM
Subject: Re: [amibroker] How to get the name of a formula in AFL ?
Put this very top of code:
Filename = StrLeft(_DEFAULT_NAME(),StrLen(_DEFAULT_NAME())-2);
herman
Wednesday, June 24, 2009, 10:30:24 AM, you wrote:
Of course there should be some where some how a function that gives me the
name of the active formula in AFL. I cannot find it. Any idea ?
Thanks, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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Re: [amibroker] How to get the name of a formula in AFL ?
No, no, no ... BTW I got the correct answer from Herman already ...
Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Wednesday, June 24, 2009 6:34 PM
Subject: Re: [amibroker] How to get the name of a formula in AFL ?
that makes no sense to me - which is why I gave you a non-sensical reply.
Do you mean you want to run a backtest but don't know what the formula is? Or?
d
On Wed, Jun 24, 2009 at 12:10 PM, Ton Sieverding ton.sieverd...@scarlet.be
wrote:
Thanks, no thanks Dingo. I meant just the other way around. Let's say I
want to Backtest an AFL and have jScript with following code to do that :
AB = new ActiveXObject(Broker.Application); // Create AB object
AA= AB.Analysis; // Get AA object from AB
AA.ApplyTo = 1;// Current Symbol
AA.RangeMode = 3;// Use from date for Backtest
AA.RangeFromDate = SelDate; // Run Backtest from this date
AA.LoadFormula(ActAFL);
AA.Backtest(0);
How do I get the variable 'ActAFL' ? This should be the actual AFL ... The
problem is that accessing AA does not mean that you have the active AFL in AA
...
Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Wednesday, June 24, 2009 5:45 PM
Subject: Re: [amibroker] How to get the name of a formula in AFL ?
Formula_Name = Your formula name goes here;
d
On Wed, Jun 24, 2009 at 10:30 AM, amsiev ton.sieverd...@scarlet.be
wrote:
Of course there should be some where some how a function that gives me
the name of the active formula in AFL. I cannot find it. Any idea ?
Thanks, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Re: Benchmarking
That's correct Brian. MandelbrotCie indeed argue that prices have a memory.
Therefore you should not use a simple Random function but a functions that
randomly looks back. Something like the telegraph function ...
Regards, Ton.
- Original Message -
From: brian_z111
To: amibroker@yahoogroups.com
Sent: Thursday, June 18, 2009 9:13 AM
Subject: [amibroker] Re: Benchmarking
In terms of RNG data, Mandelbrot argues that prices have a memory
and I don't believe that most RNG synthetic series take this into account.
Yes, that is where I got up to in my thinking, except I was doing it at a
more abstract level.
I looked up Random, on Wikipedia, and something in that article triggered my
thinking at the Universal level (I argued to myself) 'memory' is a
fundamental principle and it is shaping absolute randomness (chaos) a
truly random event would not produce any patterns at all that could be modelled
i.e. probability would not exist and no event would follow any other event in
any predictable way. absolute randomness only 'exists' before existence
(over to Physics and Cosmologists!)
the existence of probability == approximate or conditioned absolute
randomness;
I couldn't decide if the mathematicians called it PseudoRandomness because
the maths algorithms only approximated what they were trying to do OR if they
were smart enough back then to realize that their randomness was only pseudo
absolute randomness.
--- In amibroker@yahoogroups.com, i cs ics4...@... wrote:
Hi,
Mandelbot is a light read! Purposely written as such.
There is already some M. inspired code in the AB libraries/user base,
in particular what mandelbrot calls H, and what others call the
Hurst Exponent. I haven't seen any code for synthetic price series
though.
In terms of RNG data, Mandelbrot argues that prices have a memory
and I don't believe that most RNG synthetic series take this into account.
Is randomness real? I don't think so. I think it's just stuff that we don't
understand the flow of.
Z
From: brian_z111 brian_z...@...
To: amibroker@yahoogroups.com
Sent: Thursday, 18 June, 2009 4:25:47 PM
Subject: [amibroker] Re: Benchmarking
Very interesting topic.
Mandelbrot is on my short list of fun reading obviously at some point I
might have a look at the real code used by others to produce random data etc,
including Mandelbrot's, and bring it into AB if it has not already been done
(at the moment it is more of a trading hobby than a pursuit of applications)
... Howard is busy on his third book (advanced stuff) and other things so he
might publish something interesting to stimulate us further on this subject ...
perhaps some tools will appear (I am always confident that the AB community can
surpass what is already out there, at least for non-academics) .
I also got fascinated by the idea of absolute randomness and started to
question if it really exists or is it just a useful model?
--- In amibro...@yahoogrou ps.com, i cs ics4mer@ wrote:
Hi Brian,
Interesting topic.
Mandelbrot (seen one fractal, seen em all) has some excellent discussion
on synthetic data in his book The (Mis)Behaviour of markets. He uses
a multifractal approach to producing simulated markets. The price
behaviour produced by his approach looks identical to real price data and
is not psuedo random in the ordinary sense.
I think you'd like the book, it's very approachable, and all the maths
is hidden away in the back.
Z
_ _ __
From: brian_z111 brian_z111@ ...
To: amibro...@yahoogrou ps.com
Sent: Thursday, 18 June, 2009 3:46:20 PM
Subject: [amibroker] Re: Benchmarking
Fixup
/*P_RandomPriceSeri es*/
//Use as a Scan to create PseudoRandomPriceSe ries
//Select Current symbol and All quotations in AA, select basetimeframe in
AA Settings
//It will also create the series if used as an indicator (add the
appropriate flag to ATC)
// but this is NOT recommended as it will recalculate them on every
refresh.
//Indicator mode is good for viewing recalculated curves (click in
whitespace)
//Do not have the indicator code uncommented while running the scan
//CommentOut the Scan code before using the indicator code.
N = 100;//manually input desired Number - used in Scan AND Indicator mode
///SCAN/ / / / / / /
Buy=Sell=0;
for( i = 1; i N; i++ )
{
VarSet( D+i, 100 * exp( Cum(log(1 + (Random() - 0.5)/100)) ) );
AddToComposite( VarGet( D+i ),~Random + i,X,1|2|128) ;
//Plot( VarGet( D+i ), D+i, 1,1 );
//PlotForeign(
Re: [amibroker] Re: Managing many layouts-formulas
Hi Dingo. That's interesting. What does not work that works ?
Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Wednesday, June 10, 2009 7:57 PM
Subject: Re: [amibroker] Re: Managing many layouts-formulas
Nope! Won't work - not even if you crib an example.
d
On Wed, Jun 10, 2009 at 12:55 PM, Ton Sieverding ton.sieverd...@scarlet.be
wrote:
Really not ? ModifyTABName(Sheet 60,Last Sheet);
Regards, Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Wednesday, June 10, 2009 6:26 PM
Subject: Re: [amibroker] Re: Managing many layouts-formulas
It is NOT possible using either AFL or COM .
d
On Wed, Jun 10, 2009 at 11:55 AM, Ton Sieverding
ton.sieverd...@scarlet.be wrote:
Sure it's possible, Herman. Open an AWL in the Layout directory and
modify the TAB names with the available low level AFL commands :
2454 100
Brian Weekly SP
1
3087 100
ETFRotation
1
1883 100
Being Exploration
1
1291 100
DonchianChannel
1
2100 100
Sheet 28
1
0 50
Sheet 29
But that's not what I was asking for. I hoped some where some how there
is an instruction called ModifyTabName(OldName, NewName). Or something like
that. If not available it's my job to get that instruction programmed. Grey
hairs and a lot of Java coffee... The idea is simple. AmiBroker handles the
combination of an AFL and Symbol. Call it the AFLSymbol object. But AmiBroker
does not provide me the facility to select this kind of objects. The user is
opening an AFL. After that he/she selects the Symbol. I want to select the
combination. You remember Partity Plus ( 1987 ) ?
Kind regards, Ton.
- Original Message -
From: Herman
To: amsiev
Sent: Wednesday, June 10, 2009 1:53 PM
Subject: Re: [amibroker] Re: Managing many layouts-formulas
Hi Ton,
I don't think that is possible.
Didn't get any bright ideas yet on how to solve this problem ...
best regards,
herman
Wednesday, June 10, 2009, 6:19:04 AM, you wrote:
Hi Herman. Welcome to the club. I have the same problem. Perhaps
you can tell
me how I can modify the TAB names in AFL or Script ...
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
http://groups.yahoo.com/group/amibroker/
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SHEET.JPG
Re: [amibroker] Re: Managing many layouts-formulas
Sure it's possible, Herman. Open an AWL in the Layout directory and modify the
TAB names with the available low level AFL commands :
2454 100
Brian Weekly SP
1
3087 100
ETFRotation
1
1883 100
Being Exploration
1
1291 100
DonchianChannel
1
2100 100
Sheet 28
1
0 50
Sheet 29
But that's not what I was asking for. I hoped some where some how there is an
instruction called ModifyTabName(OldName, NewName). Or something like that. If
not available it's my job to get that instruction programmed. Grey hairs and a
lot of Java coffee... The idea is simple. AmiBroker handles the combination of
an AFL and Symbol. Call it the AFLSymbol object. But AmiBroker does not provide
me the facility to select this kind of objects. The user is opening an AFL.
After that he/she selects the Symbol. I want to select the combination. You
remember Partity Plus ( 1987 ) ?
Kind regards, Ton.
- Original Message -
From: Herman
To: amsiev
Sent: Wednesday, June 10, 2009 1:53 PM
Subject: Re: [amibroker] Re: Managing many layouts-formulas
Hi Ton,
I don't think that is possible.
Didn't get any bright ideas yet on how to solve this problem ...
best regards,
herman
Wednesday, June 10, 2009, 6:19:04 AM, you wrote:
Hi Herman. Welcome to the club. I have the same problem. Perhaps you can
tell
me how I can modify the TAB names in AFL or Script ...
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
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Re: [amibroker] Re: Managing many layouts-formulas
Really not ? ModifyTABName(Sheet 60,Last Sheet);
Regards, Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Wednesday, June 10, 2009 6:26 PM
Subject: Re: [amibroker] Re: Managing many layouts-formulas
It is NOT possible using either AFL or COM .
d
On Wed, Jun 10, 2009 at 11:55 AM, Ton Sieverding ton.sieverd...@scarlet.be
wrote:
Sure it's possible, Herman. Open an AWL in the Layout directory and modify
the TAB names with the available low level AFL commands :
2454 100
Brian Weekly SP
1
3087 100
ETFRotation
1
1883 100
Being Exploration
1
1291 100
DonchianChannel
1
2100 100
Sheet 28
1
0 50
Sheet 29
But that's not what I was asking for. I hoped some where some how there is
an instruction called ModifyTabName(OldName, NewName). Or something like that.
If not available it's my job to get that instruction programmed. Grey hairs and
a lot of Java coffee... The idea is simple. AmiBroker handles the combination
of an AFL and Symbol. Call it the AFLSymbol object. But AmiBroker does not
provide me the facility to select this kind of objects. The user is opening an
AFL. After that he/she selects the Symbol. I want to select the combination.
You remember Partity Plus ( 1987 ) ?
Kind regards, Ton.
- Original Message -
From: Herman
To: amsiev
Sent: Wednesday, June 10, 2009 1:53 PM
Subject: Re: [amibroker] Re: Managing many layouts-formulas
Hi Ton,
I don't think that is possible.
Didn't get any bright ideas yet on how to solve this problem ...
best regards,
herman
Wednesday, June 10, 2009, 6:19:04 AM, you wrote:
Hi Herman. Welcome to the club. I have the same problem. Perhaps you
can tell
me how I can modify the TAB names in AFL or Script ...
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
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http://www.amibroker.com/devlog/
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SHEET.JPG
Re: [amibroker] SETBARSREQUIRED
mmm ... Seems to be impossible. Regards, Ton. - Original Message - From: amsiev To: amibroker@yahoogroups.com Sent: Monday, June 08, 2009 3:45 PM Subject: [amibroker] SETBARSREQUIRED Standard syntax of SETBARSREQUIRED says : RETURNS nothing ... So when trying to run an AFL with the SETBARSREQUIRED instruction and using a Symbol that does not have enough Quotes, all I am getting back is a message on the screen. Is there a way to know in AFL or JavaScript that the Symbol does not have enough data ? Please do not give me a solution on the data side. I know that. What I want is an answer for the AFL/Script ... Kind of SETBARSREQUIRED that gives me a return message after failing because of not enough data available. Regards, Ton.
Re: [amibroker] SETBARSREQUIRED
Thanks Dennis,
So when trying to run an AFL with the SETBARSREQUIRED instruction
and using a Symbol that does not have enough Quotes, all I am
getting back is a message on the screen. Is there a way to know in
AFL or JavaScript that the Symbol does not have enough data ? Please
do not give me a solution on the data side. I know that. What I want
is an answer for the AFL/Script ... Kind of SETBARSREQUIRED that
gives me a return message after failing because of not enough data
available.
Regards, Ton.
- Original Message -
From: Dennis Brown
To: amibroker@yahoogroups.com
Sent: Monday, June 08, 2009 4:52 PM
Subject: Re: [amibroker] SETBARSREQUIRED
Why not simply check the barCount in AFL before running the formula
that needs some minimum number of bars.
BR,
Dennis
On Jun 8, 2009, at 9:45 AM, amsiev wrote:
Standard syntax of SETBARSREQUIRED says :
RETURNS nothing ...
So when trying to run an AFL with the SETBARSREQUIRED instruction
and using a Symbol that does not have enough Quotes, all I am
getting back is a message on the screen. Is there a way to know in
AFL or JavaScript that the Symbol does not have enough data ? Please
do not give me a solution on the data side. I know that. What I want
is an answer for the AFL/Script ... Kind of SETBARSREQUIRED that
gives me a return message after failing because of not enough data
available.
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Re: AmiQuote 2.11 - Yahoo Fundamental - Extra
Frankly I do not see why there should be a bug in AmiQuote when WTI gives me the correct answer. What about Yahoo Finance and a messed up database ? It's not the first time that I see this. We have left Yahoo as our data provider because of errors ... Regards, Ton. - Original Message - From: tipequity To: amibroker@yahoogroups.com Sent: Tuesday, June 02, 2009 10:01 PM Subject: [amibroker] Re: AmiQuote 2.11 - Yahoo Fundamental - Extra Thanks Ton. I tried WTI today and got the correct download. However, I still get wrong Shares Outstanding for SBS. The significant of this issue is to find out if there is bug in certain instances amiquote or not.I get Yahoo finance offers no key statistics for this symbol for CDB today. Would you please try to download SBS. TIA --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverd...@... wrote: Not what I see. Everything seems to be fine with me ... Here you've WTI ... Regards, Ton. - Original Message - From: tipequity To: amibroker@yahoogroups.com Sent: Tuesday, June 02, 2009 9:08 PM Subject: [amibroker] Re: AmiQuote 2.11 - Yahoo Fundamental - Extra Should I assume that nobody else has the same problem or is it that nobody uses amiquotes to download extra fundamental data from Yahoo? --- In amibroker@yahoogroups.com, tipequity l3456@ wrote: Tonight I downloaded Yahoo Fundamental - Extra using Amiquote for stock symbol CDB, SBS and WTI. I noticed that Shares Out. field shows the value of beta field rather than the actual Shares Outstanding. It seems like a bug to me. Would someelse please confirm this. TIA
Re: [amibroker] Re: Change Watchlist name in AFL ...
Thanks Richard. I know that I can modify the TLS's but still hoped to find instructions in the AmiBroker Object Model environment or even in plain AFL to do the job. Something like ModWLName(6,MyWatchList) ... I had the feeling that I was overlooking something but am getting the impression that it's just not there ... Regards, Ton. - Original Message - From: Richard Dale To: amibroker@yahoogroups.com Sent: Wednesday, May 13, 2009 11:56 AM Subject: Re: [amibroker] Re: Change Watchlist name in AFL ... I don't think it's possible using the Object Model. However, you could rename the .tls file in the Watchlist folder of your Database/Workspace folder (ie C:\Program Files\AmiBroker\DBName\Watchlist) - you might also want to change the index.txt file too. Note that any changes that you make won't take effect until the next time the Workspace is opened, so be wary of doing this whilst it's in operation. Best regards, Richard Dale. Norgate Investor Services - Premium quality Stock, Futures and Foreign Exchange Data for markets in Australia, Asia, Canada, Europe, UK USA - www.premiumdata.net Original Message Subject: [amibroker] Re: Change Watchlist name in AFL ... From: amsiev ton.sieverd...@scarlet.be To: amibroker@yahoogroups.com Date: wed, 13 may 2009 09:10:47 - --- In amibroker@yahoogroups.com, amsiev ton.sieverd...@... wrote: I know how to change a Watchlist name. Say List01 - MyWL1 etc. manually. But how can I change a Watchlist name using the AmiBroker Object Model ? CAN ANYBODY GIVE ME AN ANSWER ON THE ABOVE ???
Re: [amibroker] Re: Change Watchlist name in AFL ...
Or even better, when you cannot find in the manual what should be in it and what you therefore are overlooking, consult the forum because Tomasz will tell you where to find it ... Thanks Tomasz ... Kind regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Wednesday, May 13, 2009 12:55 PM Subject: Re: [amibroker] Re: Change Watchlist name in AFL ... When everything fails, consult the manual. It is BUILTIN AFL function: CategorySetName() http://www.amibroker.com/guide/afl/afl_view.php?categorysetname And it works not only with watchlist but also with any other category Best regards, Tomasz Janeczko amibroker.com - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Wednesday, May 13, 2009 12:49 PM Subject: Re: [amibroker] Re: Change Watchlist name in AFL ... Thanks Richard. I know that I can modify the TLS's but still hoped to find instructions in the AmiBroker Object Model environment or even in plain AFL to do the job. Something like ModWLName(6,MyWatchList) ... I had the feeling that I was overlooking something but am getting the impression that it's just not there ... Regards, Ton. - Original Message - From: Richard Dale To: amibroker@yahoogroups.com Sent: Wednesday, May 13, 2009 11:56 AM Subject: Re: [amibroker] Re: Change Watchlist name in AFL ... I don't think it's possible using the Object Model. However, you could rename the .tls file in the Watchlist folder of your Database/Workspace folder (ie C:\Program Files\AmiBroker\DBName\Watchlist) - you might also want to change the index.txt file too. Note that any changes that you make won't take effect until the next time the Workspace is opened, so be wary of doing this whilst it's in operation. Best regards, Richard Dale. Norgate Investor Services - Premium quality Stock, Futures and Foreign Exchange Data for markets in Australia, Asia, Canada, Europe, UK USA - www.premiumdata.net Original Message Subject: [amibroker] Re: Change Watchlist name in AFL ... From: amsiev ton.sieverd...@scarlet.be To: amibroker@yahoogroups.com Date: wed, 13 may 2009 09:10:47 - --- In amibroker@yahoogroups.com, amsiev ton.sieverd...@... wrote: I know how to change a Watchlist name. Say List01 - MyWL1 etc. manually. But how can I change a Watchlist name using the AmiBroker Object Model ? CAN ANYBODY GIVE ME AN ANSWER ON THE ABOVE ???
Re: [amibroker] Erasing All List
Thanks Dingo. I still do not understand why this should not work in AFL :
GetSym = ParamTrigger(Get SP500 ,GET);
if (GetSym)
{
AB.createobject(Broker.Application);
AB.Documents.Open(^GSPC);
}
Regards, Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Friday, May 01, 2009 5:10 PM
Subject: Re: [amibroker] Erasing All List
oAB.Documents.Open(CStr(Ticker)) is the way to do it in vbscript. The Cstr
is needed in vb.
d
On Fri, May 1, 2009 at 3:25 AM, Ton Sieverding ton.sieverd...@scarlet.be
wrote:
Hi Dingo,
I know how to remove, add and even how to get a tickerlist using the Stocks
object in the AmiBroker object model ...
oStocks.Remove( Ticker );
oStocks.Add( Ticker );
But I do not know how to select a Ticker in the database. Should be
something like ...
oStocks.Select( Ticker );
... wrong. Method does not exist. Any idea ?
Regards, Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Thursday, April 30, 2009 5:44 PM
Subject: Re: [amibroker] Erasing All List
http://www.amibroker.org/userkb/2008/01/05/deleting-tickers-and-composites/
d
On Thu, Apr 30, 2009 at 11:33 AM, burlap58 ever...@netnitco.net wrote:
Is there a way to erase or delete symbols from the All list other than
one at a time. I erased the same symbols from the watchlist,but they are still
in the All list. Thanks for any help, Lloyd
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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Re: [amibroker] Erasing All List
Thanks, nothanks Tony. That is not what I want. You're opening a new Page. I
want to select in an existing Page a new Ticker. I will give you the code in
JScript that's called from AB. The underneath code does what I want to do. But
I want it in AFL. Without the JScript part. And of course a lot simpler than
all these lines of code ... I am sure it can be done in AFL. But how ?
Kind regards, Ton.
EnableScript(JScript);
%
function SelectTicker(Ticker)
{
AB = new ActiveXObject(Broker.Application);
AB.ActiveDocument.Name = Ticker;
return OK;
}
%
GetSym = ParamTrigger(Get SP500 ,GET);
if (GetSym)
{
script = GetScriptObject();
script.SelectTicker(^GSPC);
}
- Original Message -
From: Tony Grimes
To: amibroker@yahoogroups.com
Sent: Sunday, May 03, 2009 2:05 PM
Subject: Re: [amibroker] Erasing All List
This should get you started:
GetSym = WOR;
if (StrLen(GetSym))
{
AB = CreateObject(Broker.Application);
ABD = AB.Documents;
ABD.Open(GetSym );
}
On Sun, May 3, 2009 at 3:59 AM, Ton Sieverding ton.sieverd...@scarlet.be
wrote:
Thanks Dingo. I still do not understand why this should not work in AFL :
GetSym = ParamTrigger(Get SP500 ,GET);
if (GetSym)
{
AB.createobject(Broker.Application);
AB.Documents.Open(^GSPC);
}
Regards, Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Friday, May 01, 2009 5:10 PM
Subject: Re: [amibroker] Erasing All List
oAB.Documents.Open(CStr(Ticker)) is the way to do it in vbscript. The
Cstr is needed in vb.
d
On Fri, May 1, 2009 at 3:25 AM, Ton Sieverding
ton.sieverd...@scarlet.be wrote:
Hi Dingo,
I know how to remove, add and even how to get a tickerlist using the
Stocks object in the AmiBroker object model ...
oStocks.Remove( Ticker );
oStocks.Add( Ticker );
But I do not know how to select a Ticker in the database. Should be
something like ...
oStocks.Select( Ticker );
... wrong. Method does not exist. Any idea ?
Regards, Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Thursday, April 30, 2009 5:44 PM
Subject: Re: [amibroker] Erasing All List
http://www.amibroker.org/userkb/2008/01/05/deleting-tickers-and-composites/
d
On Thu, Apr 30, 2009 at 11:33 AM, burlap58 ever...@netnitco.net
wrote:
Is there a way to erase or delete symbols from the All list other
than one at a time. I erased the same symbols from the watchlist,but they are
still in the All list. Thanks for any help, Lloyd
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Erasing All List
Hi Dingo,
I know how to remove, add and even how to get a tickerlist using the Stocks
object in the AmiBroker object model ...
oStocks.Remove( Ticker );
oStocks.Add( Ticker );
But I do not know how to select a Ticker in the database. Should be something
like ...
oStocks.Select( Ticker );
... wrong. Method does not exist. Any idea ?
Regards, Ton.
- Original Message -
From: dingo
To: amibroker@yahoogroups.com
Sent: Thursday, April 30, 2009 5:44 PM
Subject: Re: [amibroker] Erasing All List
http://www.amibroker.org/userkb/2008/01/05/deleting-tickers-and-composites/
d
On Thu, Apr 30, 2009 at 11:33 AM, burlap58 ever...@netnitco.net wrote:
Is there a way to erase or delete symbols from the All list other than one
at a time. I erased the same symbols from the watchlist,but they are still in
the All list. Thanks for any help, Lloyd
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] MT3 Plugin
Thanks, Aron. Ton. - Original Message - From: Aron To: amibroker@yahoogroups.com Sent: Monday, April 06, 2009 9:01 PM Subject: Re: [amibroker] MT3 Plugin You can download the file form here
Re: [amibroker] MT3 Plugin
Oops ... Installing MT3.EXE gives me a Trojan Horse : TR/CryptZPACK.gen ... Something wrong with the RAR ... Regards, Ton. - Original Message - From: Aron To: amibroker@yahoogroups.com Sent: Monday, April 06, 2009 9:01 PM Subject: Re: [amibroker] MT3 Plugin You can download the file form here MT3.JPG
Re: [amibroker] MT3 Plugin
Yes. I am Aron. Where can I download mentioned Plugin ? Regards, Ton. - Original Message - From: Aron To: amibroker@yahoogroups.com Sent: Monday, April 06, 2009 12:54 PM Subject: Re: [amibroker] MT3 Plugin If anyone is interested in mt3plugin for AB, let me know. Connectivity to: IBFX FXDD Alpari any other still supporting MT3
Re: [amibroker] String problem or what am I doing wrong ?
Thanks Tomasz. Yes I understand that the 32bit standard has it's limitations.
But why am I getting correct answers for all other values ? Why is just '1'
giving me a problem ? Has this to do with precision and will I always get a
zero for '1' where other values give me the correct result ? Because that's
what I see but do not understand. If I should have a proper answer for that,
it's rather simple to modify the result accordingly with string manipulation ...
Problem with DateNum() for me is the difference in result before and after
2000. After 2000 gives me '1YY' etc. before 2000 'YY' ... So 2004 becomes
'104'. For 1950 I am getting '50' ... Of course there is a solution for that
also ...
Regards, Ton.
- Original Message -
From: Tomasz Janeczko
To: amibroker@yahoogroups.com
Sent: Thursday, April 02, 2009 2:58 PM
Subject: Re: [amibroker] String problem or what am I doing wrong ?
All numbers in AB are industry standard 32-bit FLOATING point
which gives you 7 significant digits.
See Range and Precision table here:
http://en.wikipedia.org/wiki/IEEE_754-1985
So you should use
YYYMMDD encoding instead (the same as DateNum() is using)
Best regards,
Tomasz Janeczko
amibroker.com
- Original Message -
From: amsiev ton.sieverd...@scarlet.be
To: amibroker@yahoogroups.com
Sent: Thursday, April 02, 2009 2:22 PM
Subject: [amibroker] String problem or what am I doing wrong ?
DatStr = 20040101;
_TRACE(Datum +DatStr);
DatNum = StrToNum(DatStr);
_TRACE(Datum +WriteVal(DatNum,0,False));
First Trace gives : 20040101 Day=01
But second gives : 20040100 Day=00
No do the same with following string :
DatStr = 20040102;
Both Traces give 20040102. Only when Day=01 I have the above
problem. Something wrong or what am I doing wrong ?
Please do not come with Date solutions. I know that ...
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] String problem or what am I doing wrong ?
Thanks, Yes that's correct. I was completely looking in the wrong direction.
Also your comment about using DateNum() is correct. I did solve the problem now
the other way around. In fact the solution is DateNum(). Thanks again ...
Regards, Ton.
- Original Message -
From: Tomasz Janeczko
To: amibroker@yahoogroups.com
Sent: Thursday, April 02, 2009 3:48 PM
Subject: Re: [amibroker] String problem or what am I doing wrong ?
No, you don't understand.
Did you read Range and Precision table
http://en.wikipedia.org/wiki/IEEE_754-1985
carefully enough?
32 bit floating point has 24 bit mantissa and 8 bit exponent
Now calculate 2^24 .
It is:
16777216
Any *INTEGER* larger than that is subject to rounding in IEEE standard.
Best regards,
Tomasz Janeczko
amibroker.com
- Original Message -
From: Ton Sieverding
To: amibroker@yahoogroups.com
Sent: Thursday, April 02, 2009 3:40 PM
Subject: Re: [amibroker] String problem or what am I doing wrong ?
Thanks Tomasz. Yes I understand that the 32bit standard has it's
limitations. But why am I getting correct answers for all other values ? Why is
just '1' giving me a problem ? Has this to do with precision and will I always
get a zero for '1' where other values give me the correct result ? Because
that's what I see but do not understand. If I should have a proper answer for
that, it's rather simple to modify the result accordingly with string
manipulation ...
Problem with DateNum() for me is the difference in result before and after
2000. After 2000 gives me '1YY' etc. before 2000 'YY' ... So 2004 becomes
'104'. For 1950 I am getting '50' ... Of course there is a solution for that
also ...
Regards, Ton.
- Original Message -
From: Tomasz Janeczko
To: amibroker@yahoogroups.com
Sent: Thursday, April 02, 2009 2:58 PM
Subject: Re: [amibroker] String problem or what am I doing wrong ?
All numbers in AB are industry standard 32-bit FLOATING point
which gives you 7 significant digits.
See Range and Precision table here:
http://en.wikipedia.org/wiki/IEEE_754-1985
So you should use
YYYMMDD encoding instead (the same as DateNum() is using)
Best regards,
Tomasz Janeczko
amibroker.com
- Original Message -
From: amsiev ton.sieverd...@scarlet.be
To: amibroker@yahoogroups.com
Sent: Thursday, April 02, 2009 2:22 PM
Subject: [amibroker] String problem or what am I doing wrong ?
DatStr = 20040101;
_TRACE(Datum +DatStr);
DatNum = StrToNum(DatStr);
_TRACE(Datum +WriteVal(DatNum,0,False));
First Trace gives : 20040101 Day=01
But second gives : 20040100 Day=00
No do the same with following string :
DatStr = 20040102;
Both Traces give 20040102. Only when Day=01 I have the above
problem. Something wrong or what am I doing wrong ?
Please do not come with Date solutions. I know that ...
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Re: STREXTRACT only works on comma separated lists??
Herman that exactly is my problem. Theoretically you're absolutely right that
we should first check the AFL Library that is available. But how do I find the
function that I have in mind in a pool of 1000 AFLs ? That's my problem. In
general it takes me more time to find what I need than to reinvent the function
... And here I am talking only about what is available in AFL. If you are
adding TradeStation, MetaStock, Wealthlab code etc. etc. I am really don't know
how to get what I want. So theoretically you're right but practically ...
Perhaps we should develop a kind of expert base with all available functions
that can find the requested function in a couple of seconds in stead of hours.
Problem is that I have no idea how to get the thing doing what I want it to do
...
Regards, Ton.
- Original Message -
From: Herman
To: Conrad Joach
Cc: amibroker@yahoogroups.com
Sent: Monday, March 30, 2009 9:35 PM
Subject: Re: [amibroker] Re: STREXTRACT only works on comma separated lists??
Conrad,
congratulations with your decision. To get the biggest bang for your buck you
should read through the entire afl function list once a day for two weeks. i am
not kidding! Not only will you get the best value for your money you will also
save yourself untold hours of programming functions that already exist. Why
reinvent the wheel?
Str = StrReplace( Str, |,,);
You can repeat this substitution as many times as you like to give you the
format you want.
herman
Monday, March 30, 2009, 3:22:04 PM, you wrote:
We have a paid license, I'll post it on the feedback page. Not guessing that
will be a high priority for a while though, what's the usual time to get
things like that improved?
For now I'll have to write my own logic to get the sub-strings out of there.
It'll be a bit of a pain but should still be doable. Not sure how slow it
will
get for large strings. It would be better if a plugin could return an array
of strings to AB, is that even possible?
--- In amibroker@yahoogroups.com, sidhartha70 sidharth...@... wrote:
I think that's one for the feedback page Conrad... which I guess you can
only post on when you have a paid license of AB... but for when you do,
http://www.amibroker.com/feedback/index.php
--- In amibroker@yahoogroups.com, Conrad Joach consolejoker@ wrote:
I have strings that are delimited by multiple char types. For instance I
have arrays within arrays like so:
field1,field2,field3,field4|field1,field2,field3,field4
It would be nice if STREXTRACT would work like most modern versions of
this type of string manipulation function and accept as an argument any
arbitrary character.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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Re: [amibroker] SETFOREIGN does not give me the correct answer ...
Thanks Bill. That's precisely my problem. I have the feeling that the AB is
using the same array structure for all three Symbols. And that it's the
selected Symbol being the one used. Of course I am doing something wrong but
don't know what ...
Regards, Ton.
- Original Message -
From: wavemechanic
To: amibroker@yahoogroups.com
Sent: Tuesday, March 24, 2009 6:39 PM
Subject: Re: [amibroker] SETFOREIGN does not give me the correct answer ...
When I run the code it recognizes the foreign symbols. However, it gives
empty for first close and the start dates are the same which is not correct.
Bill
- Original Message -
From: amsiev
To: amibroker@yahoogroups.com
Sent: March 24, 2009 12:08 PM
Subject: [amibroker] SETFOREIGN does not give me the correct answer ...
Let's take 3 ETF's : AAXJ,BWV and EWN. I want to get the start date, first
close etc. of each time series by using SetForeign. What's wrong with the
following code ? It looks as if AB is using the selected symbol and not the
symbol from the SETFOREIGN ... Must be something very simple but ...
SetBarsRequired(sbrAll,sbrAll);
SetForeign(AAXJ);
printf(Symbol +Name()+\n);
printf(First Close +WriteVal(Close[0])+\n);
printf(Last Close +WriteVal(Close[BarCount-1])+\n);
printf(Total Bars +WriteVal(BarCount-1)+\n);
printf(Start Date +WriteVal( BeginValue( DateTime() ), formatDateTime
)+\n);
SetForeign(BWV);
printf(Symbol +Name()+\n);
printf(First Close +WriteVal(Close[0])+\n);
printf(Last Close +WriteVal(Close[BarCount-1])+\n);
printf(Total Bars +WriteVal(BarCount-1)+\n);
printf(Start Date +WriteVal( BeginValue( DateTime() ), formatDateTime
)+\n);
SetForeign(EWN);
printf(Symbol +Name()+\n);
printf(First Close +WriteVal(Close[0])+\n);
printf(Last Close +WriteVal(Close[BarCount-1])+\n);
printf(Total Bars +WriteVal(BarCount-1)+\n);
printf(Start Date +WriteVal( BeginValue( DateTime() ), formatDateTime
)+\n);
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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Re: Re[2]: [amibroker] SETFOREIGN does not give me the correct answer ...
Tomasz/Herman thanks for the answer. The fact that SetForeign and Foreign should be in sync with the underlying array does not mean to me that these foreign arrays cannot be loaded for the full 100%. I really don't see why you could not have the following arrays in AB : Original Array |SS| Foreign A |---| Foreign B |--| Where S is the Screen. Both Foreign A and Foreign B can be in sync with the Original array. I see no reason why not. But that's not how it's programmed in AB of course. When I am trying to get the first Close in Foreign A with Close[0] the result is Empty. Because Foreign A only starts where the original array starts. If for what ever reason I want the beginning values of Foreign A, it's impossible to get these values ... Other than first loading an Original Array that's longer than both Foreign A or B. This is what I am doing now. But that's not how I would like it to be. I thought I did something wrong. But it seems that's not the case ... Regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Wednesday, March 25, 2009 1:06 AM Subject: Re: Re[2]: [amibroker] SETFOREIGN does not give me the correct answer ... Precisely. SetForeign and Foreign is intended to bring other symbol data in timestamp synchronized manner and it work is actuall described in the guide: http://www.amibroker.com/f?foreign Best regards, Tomasz Janeczko amibroker.com - Original Message - From: Herman To: Ton Sieverding Sent: Tuesday, March 24, 2009 9:51 PM Subject: Re[2]: [amibroker] SETFOREIGN does not give me the correct answer ... afaik, Since Foreign is intended to plot on the current ticker's chart its elements are padded to conform to the current chart. If you want the foreign ticker to set the number of bars displayed you should make that one the current ticker and call the other tickers with foreign. It make sense that the current ticker does not change (is the reference) when you display foreign tickers, if it did the underlying symbol would be changing its number of bars all the time, i.e. sometimes it would be padded, at other times bars would be removed. herman Tuesday, March 24, 2009, 2:45:32 PM, you wrote: Yep. That's what I did also. There is always another way to Rome. But that's not how I want it to work. SetForeign has the Symbol characteristics and therefore knows the number of elements and therefore should be able to resize the array ... Same for Foreign ... I am missing something ... Regards, Ton. - Original Message - From: Steve Dugas To: amibroker@yahoogroups.com Sent: Tuesday, March 24, 2009 6:49 PM Subject: Re: [amibroker] SETFOREIGN does not give me the correct answer ... Hi - I don't believe SetForeign resizes the arrays, I think it just overwrites the contents. I ran into that in the past, I think what I did was to set the current ticker to an index or something with a very long history and then search for the first non-null value. Might want to do a quick plot of the foreign values though just to be sure... Steve - Original Message - From: amsiev ton.sieverd...@scarlet.be To: amibroker@yahoogroups.com Sent: Tuesday, March 24, 2009 12:08 PM Subject: [amibroker] SETFOREIGN does not give me the correct answer ... Let's take 3 ETF's : AAXJ,BWV and EWN. I want to get the start date, first close etc. of each time series by using SetForeign. What's wrong with the following code ? It looks as if AB is using the selected symbol and not the symbol from the SETFOREIGN ... Must be something very simple but ... SetBarsRequired(sbrAll,sbrAll); SetForeign(AAXJ); printf(Symbol +Name()+\n); printf(First Close +WriteVal(Close[0])+\n); printf(Last Close +WriteVal(Close[BarCount-1])+\n); printf(Total Bars +WriteVal(BarCount-1)+\n); printf(Start Date +WriteVal( BeginValue( DateTime() ), formatDateTime )+\n); SetForeign(BWV); printf(Symbol +Name()+\n); printf(First Close +WriteVal(Close[0])+\n); printf(Last Close +WriteVal(Close[BarCount-1])+\n); printf(Total Bars +WriteVal(BarCount-1)+\n); printf(Start Date +WriteVal( BeginValue( DateTime
Re: Re[2]: [amibroker] SETFOREIGN does not give me the correct answer ...
I agree ... Regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Wednesday, March 25, 2009 10:59 AM Subject: Re: Re[2]: [amibroker] SETFOREIGN does not give me the correct answer ... I see no reason why not Speed. Speed is the reason. Implementing what you wrote would mean resizing ALL variables already defined /assigned value to at the time of SetForeign call instead of just 6 (OHLCVI) and this is very costly (memory re-allocation and possible fragmentation) in computing terms. Also since those values are already calculated they would be padded with NULLS. So what would be gained from such operation ? Nothing. Just more memory consumption, slower execution time and some more Nulls at the beginning of all arrays previously calculated. Best regards, Tomasz Janeczko amibroker.com - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Wednesday, March 25, 2009 9:47 AM Subject: Re: Re[2]: [amibroker] SETFOREIGN does not give me the correct answer ... Tomasz/Herman thanks for the answer. The fact that SetForeign and Foreign should be in sync with the underlying array does not mean to me that these foreign arrays cannot be loaded for the full 100%. I really don't see why you could not have the following arrays in AB : Original Array |SS| Foreign A |---| Foreign B |--| Where S is the Screen. Both Foreign A and Foreign B can be in sync with the Original array. I see no reason why not. But that's not how it's programmed in AB of course. When I am trying to get the first Close in Foreign A with Close[0] the result is Empty. Because Foreign A only starts where the original array starts. If for what ever reason I want the beginning values of Foreign A, it's impossible to get these values ... Other than first loading an Original Array that's longer than both Foreign A or B. This is what I am doing now. But that's not how I would like it to be. I thought I did something wrong. But it seems that's not the case ... Regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Wednesday, March 25, 2009 1:06 AM Subject: Re: Re[2]: [amibroker] SETFOREIGN does not give me the correct answer ... Precisely. SetForeign and Foreign is intended to bring other symbol data in timestamp synchronized manner and it work is actuall described in the guide: http://www.amibroker.com/f?foreign Best regards, Tomasz Janeczko amibroker.com - Original Message - From: Herman To: Ton Sieverding Sent: Tuesday, March 24, 2009 9:51 PM Subject: Re[2]: [amibroker] SETFOREIGN does not give me the correct answer ... afaik, Since Foreign is intended to plot on the current ticker's chart its elements are padded to conform to the current chart. If you want the foreign ticker to set the number of bars displayed you should make that one the current ticker and call the other tickers with foreign. It make sense that the current ticker does not change (is the reference) when you display foreign tickers, if it did the underlying symbol would be changing its number of bars all the time, i.e. sometimes it would be padded, at other times bars would be removed. herman Tuesday, March 24, 2009, 2:45:32 PM, you wrote: Yep. That's what I did also. There is always another way to Rome. But that's not how I want it to work. SetForeign has the Symbol characteristics and therefore knows the number of elements and therefore should be able to resize the array ... Same for Foreign ... I am missing something ... Regards, Ton. - Original Message - From: Steve Dugas To: amibroker@yahoogroups.com Sent: Tuesday, March 24, 2009 6:49 PM Subject: Re: [amibroker] SETFOREIGN does not give me the correct answer ... Hi - I don't believe SetForeign resizes the arrays, I think it just overwrites the contents. I ran into that in the past, I think what I did was to set the current ticker to an index or something with a very long history and then search for the first non-null value. Might want to do a quick plot of the foreign values though just to be sure... Steve - Original Message - From: amsiev ton.sieverd...@scarlet.be
Re: [amibroker] SETFOREIGN does not give me the correct answer ...
I like that one -)
Ton.
- Original Message -
From: Aron
To: amibroker@yahoogroups.com
Sent: Tuesday, March 24, 2009 5:52 PM
Subject: Re: [amibroker] SETFOREIGN does not give me the correct answer ...
You must use RestorePriceArrays(); at the end instead of Regards,Ton. :-D
amsiev wrote:
Let's take 3 ETF's : AAXJ,BWV and EWN. I want to get the start date, first
close etc. of each time series by using SetForeign. What's wrong with the
following code ? It looks as if AB is using the selected symbol and not the
symbol from the SETFOREIGN ... Must be something very simple but ...
SetBarsRequired(sbrAll,sbrAll);
SetForeign(AAXJ);
printf(Symbol +Name()+\n);
printf(First Close +WriteVal(Close[0])+\n);
printf(Last Close +WriteVal(Close[BarCount-1])+\n);
printf(Total Bars +WriteVal(BarCount-1)+\n);
printf(Start Date +WriteVal( BeginValue( DateTime() ), formatDateTime )+\n);
SetForeign(BWV);
printf(Symbol +Name()+\n);
printf(First Close +WriteVal(Close[0])+\n);
printf(Last Close +WriteVal(Close[BarCount-1])+\n);
printf(Total Bars +WriteVal(BarCount-1)+\n);
printf(Start Date +WriteVal( BeginValue( DateTime() ), formatDateTime )+\n);
SetForeign(EWN);
printf(Symbol +Name()+\n);
printf(First Close +WriteVal(Close[0])+\n);
printf(Last Close +WriteVal(Close[BarCount-1])+\n);
printf(Total Bars +WriteVal(BarCount-1)+\n);
printf(Start Date +WriteVal( BeginValue( DateTime() ), formatDateTime )+\n);
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] SETFOREIGN does not give me the correct answer ...
Yep. That's what I did also. There is always another way to Rome. But that's
not how I want it to work. SetForeign has the Symbol characteristics and
therefore knows the number of elements and therefore should be able to resize
the array ... Same for Foreign ... I am missing something ...
Regards, Ton.
- Original Message -
From: Steve Dugas
To: amibroker@yahoogroups.com
Sent: Tuesday, March 24, 2009 6:49 PM
Subject: Re: [amibroker] SETFOREIGN does not give me the correct answer ...
Hi - I don't believe SetForeign resizes the arrays, I think it just
overwrites the contents. I ran into that in the past, I think what I did
was to set the current ticker to an index or something with a very long
history and then search for the first non-null value. Might want to do a
quick plot of the foreign values though just to be sure...
Steve
- Original Message -
From: amsiev ton.sieverd...@scarlet.be
To: amibroker@yahoogroups.com
Sent: Tuesday, March 24, 2009 12:08 PM
Subject: [amibroker] SETFOREIGN does not give me the correct answer ...
Let's take 3 ETF's : AAXJ,BWV and EWN. I want to get the start date, first
close etc. of each time series by using SetForeign. What's wrong with the
following code ? It looks as if AB is using the selected symbol and not
the symbol from the SETFOREIGN ... Must be something very simple but ...
SetBarsRequired(sbrAll,sbrAll);
SetForeign(AAXJ);
printf(Symbol +Name()+\n);
printf(First Close +WriteVal(Close[0])+\n);
printf(Last Close +WriteVal(Close[BarCount-1])+\n);
printf(Total Bars +WriteVal(BarCount-1)+\n);
printf(Start Date +WriteVal( BeginValue( DateTime() ),
formatDateTime )+\n);
SetForeign(BWV);
printf(Symbol +Name()+\n);
printf(First Close +WriteVal(Close[0])+\n);
printf(Last Close +WriteVal(Close[BarCount-1])+\n);
printf(Total Bars +WriteVal(BarCount-1)+\n);
printf(Start Date +WriteVal( BeginValue( DateTime() ),
formatDateTime )+\n);
SetForeign(EWN);
printf(Symbol +Name()+\n);
printf(First Close +WriteVal(Close[0])+\n);
printf(Last Close +WriteVal(Close[BarCount-1])+\n);
printf(Total Bars +WriteVal(BarCount-1)+\n);
printf(Start Date +WriteVal( BeginValue( DateTime() ),
formatDateTime )+\n);
Regards, Ton.
IMPORTANT PLEASE READ
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
Re: [amibroker] Re: OT: RMath plug-in for Amibroker
Would be nice if someone with RMath experience could make an UKB doc about how to implement RMath in AmiBroker and give us some AFL examples -) Regards, Ton. - Original Message - From: vlanschot To: amibroker@yahoogroups.com Sent: Friday, February 27, 2009 11:27 AM Subject: [amibroker] Re: OT: RMath plug-in for Amibroker Hi, The RMath plug-in has a fairly efficient routine for marshalling AFL vector data to SafeArrays in COM. This happens both on the way in and back out of RMath and so is hidden from the end user, making the code required very compact and simple. Of course, it may be possible to write code in AFL to do this manually (as pointed out in the manual), and it may be that this can be improved further by having a play around with the VBArray function in AFL to assist with this (if you don't want to use the plug in). Re potential upgrade, again this has not been decided yet*, but basically yes that is the idea. PS * If only because our intitial goal (i.e. access to R WITHIN AB) has been achieved, and this step would complicate matters in some aspects, like require the user to know how to operate R in its native environment. --- In amibroker@yahoogroups.com, loveyourenemynow loveyourenemy...@... wrote: Hello, and thank you for your answer. I refer to the fact that in order to retrieve an array from R, this has to be done element by element using the com server, since AB is not accepting the R data type. I wrote some AFL functions to do this, but I was wondering if the plugin was somehow able to actually transfer data directly (which would be much faster). But if it using the com server I guess this is the only way. Regarding the new implementation,do u mean that some AFL variable is constantly update with its R sister, without the need to tranfer data back and forth? Thanks Ly --- In amibroker@yahoogroups.com, vlanschot vlanschot@ wrote: Hi Ly, First, which problems do you mean (or do you refer to endnote II in the RMath manual)? To answer your question: yes it does. And in terms of transferring data (e.g. vectors) to R via the plug-in, I have not encountered any limitation. In other words, I personally have no need for any work- around. However, the current plug-in does not (yet) allow full two-way communication between R and AB, i.e. putting something in R which immediately becomes available in AB. We are looking (early stage) at possibly integrating another tool which would allow you to move back and forth like that between R and AB which, for example, would bypass the need for the debugger as you would see your results immediately within R. Hope this answers your question, if not you'll need to be more specific I'm afraid. PS --- In amibroker@yahoogroups.com, loveyourenemynow loveyourenemynow@ wrote: Hello Patrick, I would like to ask you if your plugin uses the R com server to transfer data between R and AB. I was doing that and wrote some simple functions to transfer vectors, and I encountered the problems you mention in your documentation file, but with some workaround it was working. I wonder if you are able to directly transfer vectors or you use some similar workaround. Thanks Ly --- In amibroker@yahoogroups.com, vlanschot vlanschot@ wrote: Hello, This mail is to inform you that I have just uploaded the zip- file RPlugIn. It contains two files. The first is the file RMathAFL.dll, the RMath plug-in for AB. The second is the Word-document R_Plug- in_Amibroker.doc, the accompanying manual. The manual briefly describes the functionality of the RMath plug-in for Amibroker which I make freely available to all AB-users. Its purpose is to allow you, the AB-user, to efficiently interact with R, the open-source and freeware statistical/ mathematical package based on the S- language (i.e. S-Plus). For more details on R , please visit the official website: http://www.r-project.org/. Here you will also find manuals and other contributed papers on R. Specifically, see this web- page: http://www.stats.bris.ac.uk/R/. It is impossible to discuss the full scale of the R- functionality that the plug-in makes available to the AB-user. It simply is massive, and even I have only explored a tiny bit of it. Instead, the manual will describe a small subjective selection of the possibilities available, with the aim to get you going. I have no pretension that my examples are of any use to you. What I do
Re: [amibroker] Re: Monte Carlo analysis for trading systems
OK ... Regards, Ton. - Original Message - From: Howard B To: amibroker@yahoogroups.com Sent: Saturday, February 07, 2009 5:49 PM Subject: Re: [amibroker] Re: Monte Carlo analysis for trading systems Hi Ton -- I was saying that I Was able to read the entire article using the link that Ly posted. So often articles show the abstract, but reading the entire article requires a subscription to the service. In this case, no subscription was required. Thanks, Howard On Sat, Feb 7, 2009 at 9:40 AM, Ton Sieverding ton.sieverd...@scarlet.be wrote: Howard is this what you mean ? No subscription required ... Regards, Ton. - Original Message - From: Howard B To: amibroker@yahoogroups.com Sent: Saturday, February 07, 2009 5:08 PM Subject: Re: [amibroker] Re: Monte Carlo analysis for trading systems Hi Ly -- Thanks for the link to the article. It is nice to be able to read the complete article -- so many require a subscription to get past the abstract. One of the author's conclusions, if I may paraphrase the author, is that sophisticated markets are more efficient than unsophisticated markets. That agrees completely with my experience. Thanks, Howard ... [Message clipped]
Re: [amibroker] tax on stock transactions?
Please do not show this document in Europe, Ed. Particularly not in Belgium ... Thanks, Ton. - Original Message - From: Edward Pottasch To: amibroker@yahoogroups.com Sent: Friday, January 23, 2009 8:41 AM Subject: [amibroker] tax on stock transactions? better invest our time in developing a crystal ball instead of a trading system? http://www.rules.house.gov/111/AmndmentsSubmitted/hr384/61_111_hr384_welch.pdf
Re: [amibroker] Free Amibroker Plug-in for Yahoo Finance Intraday Data
TJ ? Any comments on this ? Regards, Ton. - Original Message - From: trade.idx trade.idx To: amibroker@yahoogroups.com Sent: Wednesday, January 07, 2009 2:19 PM Subject: [amibroker] Free Amibroker Plug-in for Yahoo Finance Intraday Data Free Amibroker Plug-in for Yahoo Finance Intraday Data Dear Guys, On Indonesian Stock Trader Discussing Forum, there is a Free Amibroker Plug-in for Yahoo Finance Intraday Data By using this plug-in, we can get import Yahoo Finance Intraday Data and make it to graph as same as Yahoo Finance Intraday (5 days) Graph This Amibroker Plug-in called BullQuote YF for Ami Intraday (BullQuote Yahoo Finance for Amibroker Intraday) We can download this program on http://forum.detik.com/showthread.php?t=73644 During on using this Plug-in, we must use ticket from IRC chat server DALNET on room #bullbeary If there is problem on using this Plug-in, you can discuss it on IRC chat server DALNET on room #bullbeary This Free Amibroker Plug-in for Yahoo Finance Intraday Data developed by Arelo (IRC chat server DALNET room #bullbeary)
Re: [amibroker] Free Amibroker Plug-in for Yahoo Finance Intraday Data
Thanks a lot for confirming what I already knew ... Regards, Ton. - Original Message - From: Tomasz Janeczko To: amibroker@yahoogroups.com Sent: Monday, January 12, 2009 12:36 PM Subject: Re: [amibroker] Free Amibroker Plug-in for Yahoo Finance Intraday Data Yahoo does NOT provide intraday data. Period. It was discussed zillions of times. What they provide is DAILY quote (single number) updated during the day. This is daily snapshot data. That is what AmiQuote provides using Yahoo Current mode. http://www.amibroker.com/kb/2007/08/04/amiquote-and-free-data-from-yahoo/ People claiming intraday data from Yahoo are providing incorrect, misguiding info based on misunderstanding (or rather lack of understanding) what intraday means. Beware. Best regards, Tomasz Janeczko amibroker.com - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Monday, January 12, 2009 9:23 AM Subject: Re: [amibroker] Free Amibroker Plug-in for Yahoo Finance Intraday Data TJ ? Any comments on this ? Regards, Ton. - Original Message - From: trade.idx trade.idx To: amibroker@yahoogroups.com Sent: Wednesday, January 07, 2009 2:19 PM Subject: [amibroker] Free Amibroker Plug-in for Yahoo Finance Intraday Data Free Amibroker Plug-in for Yahoo Finance Intraday Data Dear Guys, On Indonesian Stock Trader Discussing Forum, there is a Free Amibroker Plug-in for Yahoo Finance Intraday Data By using this plug-in, we can get import Yahoo Finance Intraday Data and make it to graph as same as Yahoo Finance Intraday (5 days) Graph This Amibroker Plug-in called BullQuote YF for Ami Intraday (BullQuote Yahoo Finance for Amibroker Intraday) We can download this program on http://forum.detik.com/showthread.php?t=73644 During on using this Plug-in, we must use ticket from IRC chat server DALNET on room #bullbeary If there is problem on using this Plug-in, you can discuss it on IRC chat server DALNET on room #bullbeary This Free Amibroker Plug-in for Yahoo Finance Intraday Data developed by Arelo (IRC chat server DALNET room #bullbeary)
Re: [amibroker] Re: Graphing beyond the data
Please check Bill's answer. This is one way of doing it. Or check the code I sent to Anthony. Here I am using two arrays. The historical data and the simulated data being shifted in the future after the historical data. I hope you understand that what can be done with a time series like the SP500 can be done with a simple line too ... Regards, Ton. - Original Message - From: wooziwog To: amibroker@yahoogroups.com Sent: Tuesday, January 06, 2009 6:10 PM Subject: [amibroker] Re: Graphing beyond the data Hello, It seems you are well versed with future arrays. Could you provide an example of how to code a line array to simply plot into the future without changing x0,y0,x1, and y1 of the array for current bars? I have tried using the slope of the line, negative offsets for the current line that equal the shift into the future etc. but none of it works for me. The problem I am having is a simple one - I do not want any of the historical graph changed (no shifting of graphed data that already exists). My objective is to simply continue the line array into the future at the same slope as currently exists for existing data. Thanks, David K. --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverd...@... wrote: But that's not what I am doing, Anthony. I am calculating something in an 'actual' array as if it is in the future. Then because I want to see it in the future I am shifting the array. Let's take a simple example. I want to simulate the SP500 in the future. Therefore I mirror the SP500 let's say over the last 20 days in a new array. Now I want to see the SP500 in the future. So therefore I am shifting the mirrored time series and get something like underneath graph : The Ichimoku example Tomasz gave is exactly the same story. He calculated a future value in an 'actual' array and then shifted the array in the future because there you want to see the result. The fact he is doing a calculation in an 'actual' array does not mean that he is not doing future calculations ... Regards, Ton. PS : Please no remarks about the enclosed code. It's just an example I was using for a group that's working with AmiBroker here in Belgium. It does what it should do but ... - Original Message - From: Anthony Faragasso To: amibroker@yahoogroups.com Sent: Tuesday, January 06, 2009 12:38 PM Subject: Re: [amibroker] Graphing beyond the data Ton, I commented on Tomasz's exampleI do not see where the example is calculating a future value, Do you ? If so, Please point it out to me. Thanks Anthony PS. If you are calculating all sorts of future valuesmaybe you would be so kind as to post an example. - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Tuesday, January 06, 2009 4:06 AM Subject: Re: [amibroker] Graphing beyond the data Frankly I do not see the difference Anthony. I am calculating all kinds of values in an array that are based upon the future. After having done so, I am shifting the array in the future for visual purpose. But that's just to show me the values in the graph on the right place. When making future calculations in the array for me there is no difference between shifting and extending. So I just do not get your problem ... Regards, Ton. - Original Message - From: Anthony Faragasso To: amibroker@yahoogroups.com Sent: Monday, January 05, 2009 10:40 PM Subject: Re: [amibroker] Graphing beyond the data Bill, I agree with youeven from the example that Tomasz provided...I see it as just shifting the current plot to the right not actually calculating some future values and then plotting them to the right of the last value In the example...if you remove the 25 from the plot statement Plot( me52,S1, IIf( Avg26_9 me52,colorOrange,colorBlueGrey),styleCloud,Null,Null,25); It will move / shift the plot back to the left... Anthony - Original Message - From: wavemechanic To: amibroker@yahoogroups.com Sent: Monday, January 05, 2009 4:23 PM Subject: Re: [amibroker] Graphing beyond the data TJ, I don't think we are talking about the same thing perhaps because of our understanding of the words shift and extend. To me shift means to move to the right into the blank space and extend means to calculate new values in the blank space. The problem as I see it is shown in the screen shot below (bars are included for counting purposes). Two charts of a sine curve in which one is shifted with Plot() by 10 bars into the blank space. By the definitions above, if the curve is simply shifted the last value will remain
Re: [amibroker] Re: Graphing beyond the data
Sure. I also encluded the slightly modified version Tomasz sent. Because my code shows a lot of extra's that have nothing to do with the actual problem. I just took something that used future simulation ... You will understand immed how it works. Just clicking in the future gives you a random idea of the trend ... Regards, Ton. - Original Message - From: Anthony Faragasso To: amibroker@yahoogroups.com Sent: Wednesday, January 07, 2009 12:56 PM Subject: Re: [amibroker] Re: Graphing beyond the data Ton, Could you please repost the code... Thanks Anthony - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Wednesday, January 07, 2009 3:12 AM Subject: Re: [amibroker] Re: Graphing beyond the data Please check Bill's answer. This is one way of doing it. Or check the code I sent to Anthony. Here I am using two arrays. The historical data and the simulated data being shifted in the future after the historical data. I hope you understand that what can be done with a time series like the SP500 can be done with a simple line too ... Regards, Ton. - Original Message - From: wooziwog To: amibroker@yahoogroups.com Sent: Tuesday, January 06, 2009 6:10 PM Subject: [amibroker] Re: Graphing beyond the data Hello, It seems you are well versed with future arrays. Could you provide an example of how to code a line array to simply plot into the future without changing x0,y0,x1, and y1 of the array for current bars? I have tried using the slope of the line, negative offsets for the current line that equal the shift into the future etc. but none of it works for me. The problem I am having is a simple one - I do not want any of the historical graph changed (no shifting of graphed data that already exists). My objective is to simply continue the line array into the future at the same slope as currently exists for existing data. Thanks, David K. --- In amibroker@yahoogroups.com, Ton Sieverding ton.sieverd...@... wrote: But that's not what I am doing, Anthony. I am calculating something in an 'actual' array as if it is in the future. Then because I want to see it in the future I am shifting the array. Let's take a simple example. I want to simulate the SP500 in the future. Therefore I mirror the SP500 let's say over the last 20 days in a new array. Now I want to see the SP500 in the future. So therefore I am shifting the mirrored time series and get something like underneath graph : The Ichimoku example Tomasz gave is exactly the same story. He calculated a future value in an 'actual' array and then shifted the array in the future because there you want to see the result. The fact he is doing a calculation in an 'actual' array does not mean that he is not doing future calculations ... Regards, Ton. PS : Please no remarks about the enclosed code. It's just an example I was using for a group that's working with AmiBroker here in Belgium. It does what it should do but ... - Original Message - From: Anthony Faragasso To: amibroker@yahoogroups.com Sent: Tuesday, January 06, 2009 12:38 PM Subject: Re: [amibroker] Graphing beyond the data Ton, I commented on Tomasz's exampleI do not see where the example is calculating a future value, Do you ? If so, Please point it out to me. Thanks Anthony PS. If you are calculating all sorts of future valuesmaybe you would be so kind as to post an example. - Original Message - From: Ton Sieverding To: amibroker@yahoogroups.com Sent: Tuesday, January 06, 2009 4:06 AM Subject: Re: [amibroker] Graphing beyond the data Frankly I do not see the difference Anthony. I am calculating all kinds of values in an array that are based upon the future. After having done so, I am shifting the array in the future for visual purpose. But that's just to show me the values in the graph on the right place. When making future calculations in the array for me there is no difference between shifting and extending. So I just do not get your problem ... Regards, Ton. - Original Message - From: Anthony Faragasso To: amibroker@yahoogroups.com Sent: Monday, January 05, 2009 10:40 PM Subject: Re: [amibroker] Graphing beyond the data Bill, I agree with youeven from the example that Tomasz
