I've been using the function below for years. It uses round() rather than
modulus and an if statement.
function Round2TickSize(aValue)
{
TickInv = 1 / TickSize;
return (round(aValue * TickInv) / TickInv);
}
Regards,
David
--- In amibroker@yahoogroups.com, David Weir
This depends on what is meant by viable and intraday trading platform.
AmiBroker is an excellent charting, quote, back-testing, and scanning platform
and a usable automation platform for Interactive Brokers with a good bit of
programming. It works well with a real-time datafeed. However many
For custom analysis charts, I copy and paste the back-tester trades into Excel.
It only takes a minute to create a scatter plot using the chart wizard. You
can use Data Analysis-Histogram in Excel to automatically bucket and count the
returns for a distribution histogram which you can then
last days with n = 1
- Scan
All duplicate symbols were generated, all with seemingly identical data.
Mike
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
Excellent Mike! Great suggestions. However the results of your
modifications is similar to the results I
];
oQuote.Close = C[i];
oQuote.Volume = V[i];
oQuote.OpenInt = OI[i];
}
}
AB.RefreshAll();
AB.SaveDatabase();
}
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
Using OLE objects in AFL, what is the Date parameter
( oDate.getVarDate() );
oQuote.Close = jsClose[i];} }
AB.RefreshAll(); AB.SaveDatabase(); }%
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw...@... wrote:
Excellent Mike! Great suggestions. However the results of your
modifications is similar to the results I
the javascript code.
Regards,
David
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw...@... wrote:
I've been unsuccessful in filling a duplicate symbol with quotes from a
source symbol. I could not make it work in AFL, so I reluctantly
switched to javascript and I still cannot get quote data
];
}
AB.RefreshAll();
AB.SaveDatabase();
RestorePriceArrays();
}
}
}
Thanks,
David
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw...@... wrote:
I've got a system that consists of 12 models
] + - + qDay[i];
oQuote = oQuotations.Add( qDate );
oQuote.Close = C[i];
}
Thanks,
David
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw...@... wrote:
I've attempted to code functionality to duplicate symbols using the AmiBroker
OLE interface. In my test code below, 2
nightmare that you are describing would disappear. And, it would be easier to
extend the system (i.e. adding new symbols to a given watchlist without any
change of code).
Mike
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
I've attempted to code functionality to duplicate
. Multiple points of failure (x symbols times y models)
3. Constantly update duplicate symbol histories (error prone)
Mike
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
I'm already using a uniquely named watchlist for each model (in fact, I
think I got
I think what you are after is a 2-dimensional array where each array contains a
slope of a specific look-back period (i.e. 40,41,42,etc.) for each bar in your
dataset. Unfortunately, AFL does not support multi-dimensional arrays (at
least as far as I know...). Maybe using a function would
For range charts, make sure you have Tick size set properly for your symbol.
Display the Symbol information window (Symbol-Information...), scroll down to
Contract Specification and make sure Tick Size is set to 0.5 for the FTSE.
The time displayed for a bar can be configured in
Rolf,
You have to include your custom indicator code in your strategy code. This can
be done a number of ways:
- copy the custom indicator code into your strategy code.
- #include your custom indicator AFL at the top of your strategy code.
If you have a need to call your indicator over and
There was a long discussion on this back in July. Search Multiple Strategy
System in this yahoo group. The solution entails:
1. Duplicating the instrument data for each strategy with different names (e.g.
ZZZ_1, ZZZ_2, ZZZ_3 where ZZZ is the instrument ticker symbol). I do this by
I'm not familiar with ivolatility.com, but I would guess they are calculating
an implied volatility based on closing SP option prices using an option pricing
model like Black-Scholes.
Regards,
David
--- In amibroker@yahoogroups.com, Potato Soup potatoso...@... wrote:
I'm trying to plot
Have you used the AFL Code Profiler (AFL Editor: Tools-Code Check Profile)?
You can determine which functions are consuming the most time and sometimes
find faster ways of implementing them. For example, I found WMA (weighted
moving average) to be much slower than EMA (exponential moving
The fib lines look to me like Donchian Channels with fib lines dividing the
upper and lower channel:
_SECTION_BEGIN(DonchianFibs);
pds=Param(DFibLookback,55,1,200,1);
DonchianUpper =HHV(H,pds);
DonchianLower = LLV(L,pds);
DonchianRange = DonchianUpper-DonchianLower;
Donchian236 = 0.236 *
I see in IB's Oct. 20 newsletter that they have expanded their historical data:
http://www.interactivebrokers.com/en/general/communiques/2008/10-17-08.php?ib_entity=llc
Charts and ChartTrader have seen many enhancements including ... more
historical data to allow time periods of 2 and 3
plugin the one-year backfill has been removed because of
instability.
I think the website plugin revision history tells me what I wanted to know...
Thanks,
David
--- In amibroker@yahoogroups.com, mark.a.brand mark.a.br...@... wrote:
Unfortunately is was October 2008.
2009/11/4 dbwyatt_1999
Herman,
The best stock scanning service I've used is Trade Ideas
(www.trade-ideas.com http://www.trade-ideas.com ). All of their scans
are pre-defined, so they are not nearly as flexible as AmiBroker.
However they recognize some difficult to program chart patterns like
consolidation areas,
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
Herman,
The best stock scanning service I've used is Trade Ideas
(www.trade-ideas.com http://www.trade-ideas.com ). All of their
scans
are pre-defined, so they are not nearly as flexible as AmiBroker.
However they recognize some
from IE and Firefox
(I believe).
Mike
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
Hmmm, I tried Yahoo's beta Rich-Text Editor...
Assuming your default timeframe is 1 minute bars, something like this
should work:
Condition1 = Cross( EMA( Close, 5 ), EMA
--- In amibroker@yahoogroups.com, markedme9 marked...@... wrote:
Hello,
What would be the right approach to get indiactor from multiple time
frames?
Example
Condition of
Condition1 = Cross( EMA( Close, 5 ), EMA( Close, 12 ) );
should meet on daily chart. This is the first
@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
--- In amibroker@yahoogroups.com, markedme9 markedme9@ wrote:
Hello,
What would be the right approach to get indiactor from multiple time
frames?
Example
Condition of
Condition1 = Cross( EMA( Close, 5 ), EMA
# symbols).
Duh..., I've wasted more hours than I care to admit trying to figure out why my
combined systems produced output significantly different than what I would
expect based on the individual systems.
Regards,
David
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw...@... wrote:
Brian
symbol only.
--- In amibroker@yahoogroups.com, ang_60 ima_cons@ wrote:
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
ang_60,
Duplicating the symbol data for each model is actually a very interesting
idea. In my case that would be 12 x 27 = 324 symbols and 12
://finance.groups.yahoo.com/group/amibroker/message/138075
KEYWORDS
OPTIMAL PORTFOLIO CONSTRUCTION MODELING
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
Soham,
I faced the same issue except I have 12 models that use a portfolio of 27
futures instruments. The issues involved
and Tomasz .. thanks. I will study your suggestions.
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
Hi Brian,
Below are responses to your post:
I assume you mean 12 systems?
Yes, 12 systems; I use the terms system and model interchangeably.
So you are running
ang_60,
Duplicating the symbol data for each model is actually a very interesting idea.
In my case that would be 12 x 27 = 324 symbols and 12 watchlists. Is there an
easy way to duplicate a symbol? If I export, copy file, rename file, import,
manually type in the symbol information (tick
: Short-only Equity
All values refer to the CLOSING value of equity (at the end of the bar).
Brenton
dbwyatt_1999 wrote:
I'm also looking for the definitions of the ~~~EQUITY field values. I
think Brenton has the Close and Low fields correct. It's easy to see
that the Volume
I'm also looking for the definitions of the ~~~EQUITY field values. I think
Brenton has the Close and Low fields correct. It's easy to see that the Volume
field is 1 for a trade on that bar and 0 for no trade. I have not been able to
figure out the Open and High field values. My guess is
If the concern over the large trades is liquidity (i.e. there's not enough
volume to accomodate without large slippage), you can accomplish a similar
position size restriction by setting the Limit trade size as % of entry bar
volume under the Portfolio tab of Settings Set it to a small
I would like to evaluate the performance effect of various hedge fund fees in
portfolio system back-tests. There are usually two fees involved; a management
fee and a performance fee. The management fee is a percentage of current
equity (e.g. 2%) charged annually. The performance fee is a
I know setting PositionSize based on Equity and Trade Risk has been the topic
of numerous threads and writeups, but I'm missing some understanding. I'm
backtesting a portfolio of futures contracts and would like to set the Position
size of each trade based on each trade's risk (i.e.
a PLowPrice
and not taking the trade if the MaxLoss exceeds a certain level. From this
point you could calculate the MaxLoss as a % of equity. Does this help?
James
From: dbwyatt_1999 dbw...@...
To: amibroker@yahoogroups.com
Sent: Saturday, May 30
It's not perfect, but maybe a starting point. You could use TimeFrame
functions with the PlotOHLC function using styleCloud:
tfSec = in5Minute;
TimeFrameSet(tfSec);
dopen = O;
dhigh = H;
dlow = L;
dclose = C;
TimeFrameRestore();
dopen2 = TimeFrameExpand(dopen,tfSec, expandFirst);
dhigh2 =
because
it counts duplicate events as separate ticks. Timestamps would NOT
change that.
For true tick charts you need to use tick-by-tick feed which is
eSignal or IQFeed.
Best regards,
Tomasz Janeczko
amibroker.com
- Original Message -
From: dbwyatt_1999 [EMAIL PROTECTED
regards,
Tomasz Janeczko
amibroker.com
- Original Message -
From: dbwyatt_1999 [EMAIL PROTECTED]
To: amibroker@yahoogroups.com
Sent: Wednesday, December 26, 2007 4:34 PM
Subject: [amibroker] Re: AB tick bar analysis
I do not know whether IRT's chart is wrong is a fact
.
See the documentation of ASCII importer - it has very detailed docs
in the User's Guide.
Best regards,
Tomasz Janeczko
amibroker.com
- Original Message -
From: dbwyatt_1999 [EMAIL PROTECTED]
To: amibroker@yahoogroups.com
Sent: Monday, December 24, 2007 10:44 PM
Subject
.
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
Thanks Tomasz. I am not using the ASCII importer. I'm using the
IB
plugin to receive data from IB TWS in realtime. For my analysis,
I'm
running three programs on the same computer: IB TWS, AmiBroker
Pro
Thanks Barry, you do have a point that IB data does not have a
timestamp which would make comparing different captures difficult.
The Scottrade DJI tick data looks like it's 2 second snapshots.
I'm not so much concerned about having exact timestamps, but the
number of tick bars for a time
Variables are arrays in AB, so Ref(Close,-x) probably would not
work. If you have a predefined set of values for x, you could use
iif statements:
myValue = iif(x==5, Ref(C,-5), iif(x==10, Ref(C,-10), iif(x==15, Ref
(C,-15),Null)));
However the best way to access variable array index offsets
If this code is Avery Horton's (a.k.a The Rumpled One) Dynamic
Support and Resistance lines, I already wrote an AmiBroker version
last summer and posted it to the Kreslik forum where Avery posts all
his code. I did not port his code but rather just wrote the same or
similar functionality.
] wrote:
My TWS is working as usual as well.
Clement
From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED]
On Behalf
Of dbwyatt_1999
Sent: Thursday, August 02, 2007 10:44 AM
To: amibroker@yahoogroups.com
Subject: [amibroker] Re: IB TWS 875
Thanks Bryan, I
I upgraded TWS to the version 875 (July 26) last night and this morning
I could not get any of my AB charts to work. I get the error message
no chart to display. I then reinstalled the previous TWS version 873
and AB charting works great again. Anyone else having problems with the
latest TWS
Thanks Bryan, I guess I'll have to try again.
Regards,
David
--- In amibroker@yahoogroups.com, Bryan [EMAIL PROTECTED] wrote:
All is well over here with AB and TWS 875.1
--- In amibroker@yahoogroups.com, dbwyatt_1999 dbw451@ wrote:
I upgraded TWS to the version 875 (July 26) last
Fred,
IB is not really in the historical quote business and only keeps
about 30 days of historical data online, so the data for older
contracts disappear. For older contracts, you'll need to import data
from another source like SCMagic
(http://www.scmagic.org/English/Index.htm).
Regards,
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