[amibroker] IB
Hi, hope someone can help me. When Amibroker is backfilling e.g. a Stock like AMGN (from Interactive Brokers)... I get also data over night, every minute, altough there is no volume. Volume = 0. As I know Amibroker has a maximum of 500.000 bars for backfilling. So I would rather not save the 0 volume data... Does this work? Is there a filter in Amibroker or in TWS? Another question, if the base time interval in Amibroker is set to EOD I still receive 1min bar data from IB... Is there a possibility just to receive EOD data from IB? Many thanks, dubi
[amibroker] Re: backfill data of IB and realtime data of IB are different ?!?!
Hi Herman, many thanks for your reply. As I want to work with 1min or 3min data... and I see that you have a lot of knowlege about this problem, is there a workaround, if I want to check the last bars? Ref(-1) to Ref (-3)? So that the bar behind (last bar) it already a backfill data from IB? Would this work with reconnecting to the IB source data and backfilling every 30 sec or every 1min, backfilling the last 1-10 bars? Greetings, dubi
[amibroker] Re: Backfilling with IB problems
Hi guys, had the same issue... 30 days is no problem. With 180 days I got throttled by IB. dubi --- In amibroker@yahoogroups.com, ozzyapeman zoopf...@... wrote: I am running the same versions you are, and only a couple of times in 3 months of testing was I ever able to get a 180 backfill from IB. Once in a while I can get 30 days (though even those often get throttled). I have resorted to just buying some historical data from a vendor, and then relying on IB to keep the symbols up to date with new data every day - only have to backfill a day or two, which is no problem. --- In amibroker@yahoogroups.com, Keith McCombs kmccombs@ wrote: 30 day backfill seems to work Ok. Has anybody tried a 180day backfill for 1 minute data? Success? or Not? Thank you. -- Keith Keith McCombs wrote: This is probably a cockpit problem, and its driving me bonkers. I just started using IB TWS (893.9) intraday data with AB5.20 and IB plugin 1.8.2. I only have 8 equities in the data base. First, tried to backfill all at once, with 180 days of data. Soon gave up on that and decided to concentrate on only SPY. I know that I can't get the full 180days at once because TWS will throttle back and so AB waits for 2 minutes and then tries to get the rest. Well the first run at, AB gets data from 8/5/08 to 11/21/08, then waits 2 minutes and try again. I'm expecting that it will then start at 11/22/08 and begin filling forward. NOPE, now I have only 9/18/08 to 4/21/08 with most days ending at 2:59 instead of 3:59. Two minutes later, start again, and now we have only 11/13/08 to 4/21/08, but with a gap from 11/21/08 to 1/5/09. The longer it runs the worse it gets. Oops -- just checked and Number of bars was 32000. But I distinctly remember setting it to 13 for 270 days worth. So I try again, after setting Number of bars back to 13, and double checking it. Now I have SPY with data from 9/26/08 9:30am to 1/6/09 4:00pm and AB gives message saying it is done with SPY. I then try AAPL it eventually finished with data from 8/28/08 9:30am to 3/6/09 3:59pm; and then from 3/9/09 to 3/20/09 all data starts at 9:30am and stops at 2:59pm (that's right someone stole the last hour of trading for 10 trading days (bet that has something to do with DST starting on 3/8/09). No more data after 3/20/09. Besides the above major problems I have some other concerns, namely: 1. When and why should I use Save Database? 2. Colored status box for CONN, etc. is sometimes blue and sometimes green, meaning what? 3. When I hover my cursor over that status boxes it sometimes displays a message and sometimes not, and when it does it's usually for less time than it takes me to read the message. 4. With number bars set for 270 days, I'm hoping that I can get 180 days back now and that with time, I can have a maximum of 270 days of data. Can I then increase Number of days to say 360 and keep adding to the data base, or does data base get erased every time I change the Number of Bars value? I hope there is some one who is not as overwhelmed by all this as I am. -- Keith
[amibroker] backfill data of IB and realtime data of IB are different ?!?!
can someone explain me why? If I am connected to IB and receive the data on 1 min basis I get different data compared to the backfill data. So if I tell Amibroker to backfill the data, the backfill data I receive is different to what Amibroker has in cache. I saw that if the the time of Amibroker is different to the TWS time (already if the time difference is less than 1 sec) the cache data is different to the backfill data. So candlesticks change their pattern and a Buy Signal could be no one . Is this a problem of Amibroker, of IB? Does anyone know how to solve that problem? I recognized that if I reconnect to TWS the data gets backfilled every time? Is this a possible solution? On 1 min basis can I reconnect every 30 sec to receive proper backfill data? Is this problem also existing, if I receive data from esignal? Thanks, dubi
[amibroker] Re: backfill data of IB and realtime data of IB are different ?!?!
ok. I will try to test my on my own and if I find any solution or recognitions I will post it here. Thanks, dubi
[amibroker] Import Information
Hi guys, does someone know if there is any possibility to import information like round lot size or margin deposit etc. out of a .csv or .xls file into Amibroker through e.g. AFL? Thanks, dubi
[amibroker] automation : asked already in AT forum - but maybe someone here knows an answer
Hi guys, how do you solve this problem?: I would like to use different indicators for opening/closing a position. I would like the orders to be executed automatically. I don't want the positions (let's say the mini SP) of the different indicators to interfere each other? I am working with ibc.GetPositionSize... but here I cannot get any information of the indicator which placed the positions. Example: indicator 1 gives me a signal to buy 10 ES contracts. 10 ES are filled 5 min later indicator 2 gives me a signal to buy 10 ES contracts. But just 5 ES are filled. So I am long 15 contracts... If indicator 2 gives me an exit signal e.g. 1hour later, how should the the AT system know that it should sell just 5 contracts as just 5 were filled? ibc.GetPositionSize can't solve this problem... Does someone know a solution for this problem? Many thanks, dubi
[amibroker] Re: automation : asked already in AT forum - but maybe someone here knows an ans
They do... but this would not be a nice and reliable solution... As the exported trade history is delayed ... if the two indicators would produce signals at the same time, I could not find out which was filled ... does someone else have a solution or ever thought about that problem? --- In amibroker@yahoogroups.com, Mike sfclimb...@... wrote: Hi, Does IB offer access to the trade history? Using BarsSince from AmiBroker you can determine the order in which your signals fired. If IB offers the API, you can iterate through the trade history of the symbol and match the trades to the signals. Mike --- In amibroker@yahoogroups.com, dubi1974 gonzales74@ wrote: Hi guys, how do you solve this problem?: I would like to use different indicators for opening/closing a position. I would like the orders to be executed automatically. I don't want the positions (let's say the mini SP) of the different indicators to interfere each other? I am working with ibc.GetPositionSize... but here I cannot get any information of the indicator which placed the positions. Example: indicator 1 gives me a signal to buy 10 ES contracts. 10 ES are filled 5 min later indicator 2 gives me a signal to buy 10 ES contracts. But just 5 ES are filled. So I am long 15 contracts... If indicator 2 gives me an exit signal e.g. 1hour later, how should the the AT system know that it should sell just 5 contracts as just 5 were filled? ibc.GetPositionSize can't solve this problem... Does someone know a solution for this problem? Many thanks, dubi
[amibroker] problems with ibc = GetTradingInterface(IB);
I have installed Windows 7... had before XP when I start ibc = GetTradingInterface(IB) I get some error: Error forumla execution halted because of an error - no chart display ... I used the same formula on XP, and there I had never problems. Someone I know, has similar issues with Vista. Did someone had similiar issues? Is this a bug or does someone know how to solve that? Thanks, dubi
[amibroker] Re: problems with ibc = GetTradingInterface(IB);
Found a bypass solution: I am running BrokerIB in compatibility mode WIndows XP --- In amibroker@yahoogroups.com, dubi1974 gonzale...@... wrote: Hi, unfortunately not... Had just one pane open and still the problem. The screen starts to blink (sometimes I see the chart, sometime Error formula.) if I use ibc = GetTradingInterface(IB). So it has 100% to do to with the IB controller... I use the same formula on a dual core machine with windows XP pro 32bit. This new machine is a i7 920 with win 7201... My friend had the same issues with Win Vista... Regards, dubi --- In amibroker@yahoogroups.com, dubi1974 gonzales74@ wrote: I have installed Windows 7... had before XP when I start ibc = GetTradingInterface(IB) I get some error: Error forumla execution halted because of an error - no chart display ... I used the same formula on XP, and there I had never problems. Someone I know, has similar issues with Vista. Did someone had similiar issues? Is this a bug or does someone know how to solve that? Thanks, dubi
[amibroker] Re: problems with ibc = GetTradingInterface(IB);
Again the same question and problem... Found out, that this problem occurs when the Interpretation Window is open or when orders are sent through the controller. Is this a bug in Amibroker? Do not have this problem on my Windows XP machine, just with Vista or Win7. --- In amibroker@yahoogroups.com, dubi1974 gonzale...@... wrote: Found a bypass solution: I am running BrokerIB in compatibility mode WIndows XP --- In amibroker@yahoogroups.com, dubi1974 gonzales74@ wrote: Hi, unfortunately not... Had just one pane open and still the problem. The screen starts to blink (sometimes I see the chart, sometime Error formula.) if I use ibc = GetTradingInterface(IB). So it has 100% to do to with the IB controller... I use the same formula on a dual core machine with windows XP pro 32bit. This new machine is a i7 920 with win 7201... My friend had the same issues with Win Vista... Regards, dubi --- In amibroker@yahoogroups.com, dubi1974 gonzales74@ wrote: I have installed Windows 7... had before XP when I start ibc = GetTradingInterface(IB) I get some error: Error forumla execution halted because of an error - no chart display ... I used the same formula on XP, and there I had never problems. Someone I know, has similar issues with Vista. Did someone had similiar issues? Is this a bug or does someone know how to solve that? Thanks, dubi
[amibroker] error 326
Has someone ever seen this error 326? unable to connect as the clientid is already in use? Retry with a unique client id... It comes from the IB controller. The problem is, there is no menu where I could change the UserID Thanks, dubi
[amibroker] EnableScript(vbscript
Hi, as I know you can pass parameter from AFL to e.g. VBScript.. through AFL(). Is there a possibility to pass parameter from VBScript back to AFL? Like VBSCRIPT() or something else? Many thanks, dubi sStr = this is a test; EnableScript(vbscript); % vbStr = AFL(sStr) Set Excel = CreateObject(Excel.Application) Excel.WorkBooks.Add Set Sheet = Excel.WorkBooks(1).WorkSheets(1) Sheet.Cells(1,1).Value = vbStr Excel.Visible = 1 Sheet.Cells(1,2).Value = That is another test afltest = Sheet.Cells(1,2).Value % strAFLTest = VBSCRIPT(afltest); ? printf(strAFLTest);
[amibroker] Re: EnableScript(vbscript
Many thanks, dubi --- In amibroker@yahoogroups.com, Tony Grimes tonez.em...@... wrote: Try This: http://www.amibroker.com/docs/ab400.html On Sat, Jul 25, 2009 at 12:34 PM, dubi1974 gonzale...@... wrote: Hi, as I know you can pass parameter from AFL to e.g. VBScript.. through AFL(). Is there a possibility to pass parameter from VBScript back to AFL? Like VBSCRIPT() or something else? Many thanks, dubi sStr = this is a test; EnableScript(vbscript); % vbStr = AFL(sStr) Set Excel = CreateObject(Excel.Application) Excel.WorkBooks.Add Set Sheet = Excel.WorkBooks(1).WorkSheets(1) Sheet.Cells(1,1).Value = vbStr Excel.Visible = 1 Sheet.Cells(1,2).Value = That is another test afltest = Sheet.Cells(1,2).Value % strAFLTest = VBSCRIPT(afltest); ? printf(strAFLTest);
[amibroker] AFL and ADODB
Hi, is it possible to use Microsoft ActiveX Data Objects 2.6 Library in VBScript in AFL? I am having some problems to solve this error: (error S0. Arguments are of the wrong type..) at .CursorLocation = adUseClient and does someone know if I can call an VBScript as a function? I am not sure if I am on the right path or if it is better to write this as a .dll and use it as a plugin in Amibroker in afterwards? Many thanks for your help, dubi Exp: blnBuy = True; sIBName = ESU9; EnableScript(vbscript); % const cFile_VB = D:\Amibroker\Trade Reports\MS Access.mdb conStrAmibroker_VB = Provider=Microsoft.Jet.OLEDB.4.0;Data Source= cFile_VB sIBName_VB = AFL(sIBName) blnBuy_VB = AFL(blnBuy) if blnBuy_VB then sAction_VB = Buy Set conn_VB = CreateObject(ADODB.Connection) conn_VB.Open conStr_VB Set rs_VB = CreateObject(ADODB.Recordset) sSql_VB = SELECT * FROM [tblName] With rs_VB .Source = sSql_VB .ActiveConnection = conn_VB .CursorLocation = adUseClient .CursorType = adOpenStatic .LockType = adLockOptimistic .Open iRows_VB = .RecordCount .AddNew '.MoveLast ![Contract] = sIBName_VB ![Action] = sAction_VB .Update End With Set rs_VB = Nothing Set conn_VB = Nothing AFL (errorMessage) = err.Description %
[amibroker] different digits as IB
Hi, In IB I have an asset with following price: 120.015625. Through the API Amibroker saves me the price as 120.016. I tried to see what happens in e.g. Excel. With the Excel API I see the right price of 120.015625. Is there a possibility to have the data saved in Amibroker as it comes from IB? Is there a reason why it cuts the last digits? Many thanks, dubi?
[amibroker] Re: different digits as IB
Hi Tomasz. I wrote you an email on your amibroker support address with a
picture of this issue.
Many thanks, dubi
--- In amibroker@yahoogroups.com, Tomasz Janeczko gro...@... wrote:
The number is the same (i.e. internal representation in computer's memory),
you are just displaying 6 digits.
Thats exactly the same as with 2/3 fraction, you can display it as 0.67 or
0.67 or 0.6667
Best regards,
Tomasz Janeczko
amibroker.com
- Original Message -
From: dubi1974 gonzale...@...
To: amibroker@yahoogroups.com
Sent: Monday, August 24, 2009 11:53 AM
Subject: [amibroker] different digits as IB
Hi,
In IB I have an asset with following price: 120.015625. Through the API
Amibroker saves me the price as 120.016. I tried to see
what happens in e.g. Excel. With the Excel API I see the right price of
120.015625. Is there a possibility to have the data saved
in Amibroker as it comes from IB? Is there a reason why it cuts the last
digits?
Many thanks, dubi?
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[amibroker] OPTIMIZERSETENGINE
Hi! Does anyone else use Windows 7 x64 and Amibroker 5.28.1? I have a bug message whenever I try to optimize and use the engines: spso or trib with cmae I do not have any issues? I do have also problems with the IB connection, as sometimes the whole Amibroker application crashes and the application closes. I am not sure if this are Windows or Amibroker beta issues. Thanks regards, dubi
[amibroker] Re: Alertif problem
Do you use the Explore .. or Scan in AA? Just if you explore through all stocks you will get an alert. Regards, dubi --- In amibroker@yahoogroups.com, Vinay Gakkhar. vgakk...@... wrote: Dear learned senior members, I have an Alertif condition in my formula. When I auto-update the quotes using Amibroker after every 1 minute, it alerts me when my condition is met. But instead of alerting me for all stocks for which this condition is met during this 1 minute, it alerts me only for the currently selected one stock. How to set it to alert if for all stocks where condition is met? Can someone please help me in solving it? My sincere thanks for helping me. Vinay Gakkhar
[amibroker] Re: futures symbol issue
ESU9-GLOBEX-FUT NQU9-GLOBEX-FUT YM SEP 09-ECBOT-FUT this are all SEPTEMBER futures. Use December ESZ9-GLOBEX-FUT. The September contracts expired already. And do not forget to leave a gap of 3 space between YM and DEC Regards, dubi
[amibroker] Time shift winter - summer time
Hi to all, Does someone know the answer or has an answer to following question: (and yes, I read already the documentation on http://www.amibroker.com/kb/2006/03/19/how-does-the-daily-time-compression-work/) If you receive real time data from IB in Europe CET then the US market opens at 15:30 and closes at 22:00 the European markets open at 9:00 and closes 17:30. If you compress this data to daily candles, you would receive the daily open, high, low, close etc. But on October, 25 European clocks change to wintertime but the US 1 week later on November, 1. So there will be 1 week were clocks will have a different time shift and from November, 1 they will be same again. So between October, 25 and November, 1 the US market opens at 14:30 and closes at 21:00 the European markets open at 9:00 and closes 17:30. This is how the data is provided by IB TWS. So the data saved in the Amibroker database for the US market will be shifted by 1 hour but just for this 1 week. My question now: How can you properly compress the data to get daily candles? The problem is, if I would shift the US data 1 hour, I would shift also the history and the daily candles would be wrong. Especially for the US Futures Market, where there is a day and night session. How are you solving this issue? Best regards, dubi
[amibroker] get filtering status
Hi guys, didn't found any command, but is it possible in AFL to get the current status of the filtering e.g. Show day session only or Show 24 hours trading? Thanks and regards, dubi
[amibroker] Re: AmiBroker 5.29.0 BETA2 released - fixed opt plugins
Tribes and SPSO had a problem. Regards, dubi --- In amibroker@yahoogroups.com, Bisto bistoma...@... wrote: I just update to this beta2 but the about amibroker pop up still says that I am using 5.29.0 build date Oct 2 2009, is it correct? I don't see any differnce as confirmation of the update CMAE is correctly running but it was ok also in 5.29.0 (I tested it before the update)... I am confused... --- In amibroker@yahoogroups.com, Tomasz Janeczko groups@ wrote: Hello, A quick fix to 5.29.0beta2 was added: http://www.amibroker.com/devlog/2009/10/02/amibroker-5-29-0-beta-released/ 5.29.0 had broken non-exhaustive optimization plugins (tribes, spso, cmae) that caused exception immediatelly after starting. 5.29.0beta2 has those plugins fixed. Please accept applogies for this inconvenience Best regards, Tomasz Janeczko amibroker.com
[amibroker] Walk Forward Test - How would you...
Hi! Is it possible to optimize a system (for e.g. best net performance %) with SPSO but then use the highest Ulcer Performance Index or CAR/MDD and use then this parameters for the out of sample test for the next period in the Walk Forward Test of Amibroker? I know I could do this in separate steps, but I would like to automize that. Or does someone know an other solution for this? Many thanks and kind regards, dubi
[amibroker] SetOption( field, value ) - Periodicity
Hi, With SetOption( field, value ) I can set a lot of options in the AA window. Does anyone know if I can also set in the Periodicity (in the GENERAL TAB/General setting) through AFL? Thanks and kind regards, dubi
[amibroker] digital Stochastic
Hi,
tried to translate this code from TradeSignal to Amibroker (but I think I did
something wrong):
TradeSignal Code:
Meta:
Synopsis( Digitale Stochastic - (c)2008 kah...@quanttrader.at -
Info: Trader`s 08/2008 ),
SubChart( True ),
WebLink( http://www.quanttrader.at; );
Inputs:
PeriodStoch( 5, 1 ),
PeriodSmoothing1( 3, 1 ),
PeriodSmoothing2( 3, 1 ),
OverBought( 80, 0, 100 ),
OverSold( 20, 0, 100 );
Variables:
fast_k( 0 ),
slow_k( 0 ),
slow_d( 0 ),
summ;
{ Berechnung fast_k, slow_k }
StochasticNormal( High, Low, Close, PeriodStoch, PeriodSmoothing1,
PeriodSmoothing2, fast_k, slow_k, slow_d );
{ Digitalisierung }
if (22*slow_k+8*fast_k)/30 50 then summ=1;
if (22*slow_k+8*fast_k)/30 50 then summ=-1;
{ Darstellung }
DrawLine(xaverage(summ,periodStoch), digitale Stochastic );
AFL:
KAdjusted = StochK(5,3);
DAdjusted = StochD(5,3,3);
// Digitalisierung
summ = 0;
for( i = 5; i BarCount; i++ )
{
if ((22*KAdjusted[i]+8*DAdjusted[i])/30 50) summ[i]=1;
if ((22*KAdjusted[i]+8*DAdjusted[i])/30 50) summ[i]=-1;
}
xAverage = EMA(Summ,5);
Plot (xAverage, Stoch. Dig., colorBlack);
Is my code right?
Thanks and regards, dubi
[amibroker] Re: Database
Hi Levi, you do not have to change database. If you go to Categories and Groups you can identify different groups with their own intraday settings: Look here: http://amibroker.net/guide/w_dbsettings.html So you can use one for Eurex, one for CME, one for Forex etc. This works quite fine for me. I would like to change the filtering through AFL. Unfortunately there is no command for that. Hope I could help. Regards, dubi --- In amibroker@yahoogroups.com, levibreidenbach lev...@... wrote: I saw this in a past post (April 16,2007) and was looking for further info. Please correct me if I am wrong. As 'Intraday Settings' is a database scope setting you have to store futures traded 9:30-1600 (ER2) in one database and ones traded 24 hours (ZG) in another database as otherwise you can not look on ER2 day session and ZG 24 hours session within the same database. Is this true? For those who trade with futures and also with equities, is it always two different databases because of the market hours issue? Does everyone typically have a different database for each type of issue? FOREX, futures, stocks, etc. Any opinions appreciated. Levi
[amibroker] Re: database intra day settings
Hi Levi, you do not have to change database. If you go to Categories and Groups you can identify different groups with their own intraday settings: Look here: http://amibroker.net/guide/w_dbsettings.html So you can use one for Eurex, one for CME, one for Forex etc. This works quite fine for me. I would like to change the filtering through AFL. Unfortunately there is no command for that. Hope I could help. Regards, dubi --- In amibroker@yahoogroups.com, levibreidenbach lev...@... wrote: I guess I need to be more specific with subject line. This was attached to an unrelated post 'database' I saw this in a past post (April 16,2007) and was looking for further info. Please correct me if I am wrong. As 'Intraday Settings' is a database scope setting you have to store futures traded 9:30-1600 (ER2) in one database and ones traded 24 hours (ZG) in another database as otherwise you can not look on ER2 day session and ZG 24 hours session within the same database. Is this true? For those who trade with futures and also with equities, is it always two different databases because of the market hours issue? Does everyone typically have a different database for each type of issue? FOREX, futures, stocks, etc. Any opinions appreciated. Levi
[amibroker] Re: digital Stochastic
Yes, you are right. I can rewrite it...
But 50 is not defined. But after searching in the WEB I think I translated it
quite correctly.
Thanks, dubi
--- In amibroker@yahoogroups.com, Rajiv Arya rajivary...@... wrote:
Can rewrite this
summ = 0;
for( i = 5; i BarCount; i++ )
{
if ((22*KAdjusted[i]+8*DAdjusted[i])/30 50) summ[i]=1;
if ((22*KAdjusted[i]+8*DAdjusted[i])/30 50) summ[i]=-1;
}
xAverage = EMA(Summ,5);
to
summ=iif(((22*Kadjust+8*Dadjust)/30)=50,1,-1);
xaverage = ema(summ,5);
To: amibroker@yahoogroups.com
From: gonzale...@...
Date: Thu, 12 Nov 2009 22:47:51 +
Subject: [amibroker] digital Stochastic
Hi,
tried to translate this code from TradeSignal to Amibroker (but I think I did
something wrong):
TradeSignal Code:
Meta:
Synopsis( Digitale Stochastic - (c)2008 kah...@... -
Info: Trader`s 08/2008 ),
SubChart( True ),
WebLink( http://www.quanttrader.at; );
Inputs:
PeriodStoch( 5, 1 ),
PeriodSmoothing1( 3, 1 ),
PeriodSmoothing2( 3, 1 ),
OverBought( 80, 0, 100 ),
OverSold( 20, 0, 100 );
Variables:
fast_k( 0 ),
slow_k( 0 ),
slow_d( 0 ),
summ;
{ Berechnung fast_k, slow_k }
StochasticNormal( High, Low, Close, PeriodStoch, PeriodSmoothing1,
PeriodSmoothing2, fast_k, slow_k, slow_d );
{ Digitalisierung }
if (22*slow_k+8*fast_k)/30 50 then summ=1;
if (22*slow_k+8*fast_k)/30 50 then summ=-1;
{ Darstellung }
DrawLine(xaverage(summ,periodStoch), digitale Stochastic );
AFL:
KAdjusted = StochK(5,3);
DAdjusted = StochD(5,3,3);
// Digitalisierung
summ = 0;
for( i = 5; i BarCount; i++ )
{
if ((22*KAdjusted[i]+8*DAdjusted[i])/30 50) summ[i]=1;
if ((22*KAdjusted[i]+8*DAdjusted[i])/30 50) summ[i]=-1;
}
xAverage = EMA(Summ,5);
Plot (xAverage, Stoch. Dig., colorBlack);
Is my code right?
Thanks and regards, dubi
_
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[amibroker] Re: Walk Forward Test - How would you...
Hi Howard and all, yes SPSO is the inbuild particle optimizer When I optimize for Ulcer Index I do not take everytime the best choice, as I do not do it when I optimize for %Net Perf or CAR/MDD. Eaxmple: If I have let's say 3 parameters 100x100x100 I would get 1mn options. If I optimize for %Net Perf with SPSO the list would be about 5000-7000 results. But as I do not want to choose the best %Net Perf but the highest %Net Perf with a high UPI, a high CAR/MDD, high RRR, low StDev I would decide to use the parameters for maybe the 2nd or 3rd etc. rated result. But this is not possible if I directly use the inbuild WalkForward Test of Amibroker, as the system uses always the first choice and not the best choice. If I would optimize directly for RRR, I got sometimes as first choice just 1-2 trades as the StDev was the lowest there, but I would never use this parameters. That is why I was searching for an alternative. Many thanks and kind regards, dubi --- In amibroker@yahoogroups.com, Howard B howardba...@... wrote: Hi Bisto -- Thanks. From the original posting, I was thinking that SPSO was a metric. Dubi -- The choice of optimization method (exhaustive, cmae, ...) and metric (Ulcer Index, CAR/MDD, k-ratio, ...) are independent. The optimization portion of the walk forward will be carried out using the optimization method you request in you afl code with the OptimizerSetEngine statement. The selection of which of the alternatives tested to use for the out-of-sample run will be determined by the metric you set in the Optimization Target box on the Walk Forward tab of the AA Settings. Or did I misinterpret your question? Thanks, Howard On Fri, Nov 13, 2009 at 3:39 AM, Bisto bistoma...@... wrote: I suppose: Standard Particle Swarm Optimization Bisto --- In amibroker@yahoogroups.com amibroker%40yahoogroups.com, Howard B howardbandy@ wrote: Hi Dubi -- What is SPSO? Thanks, Howard On Wed, Nov 11, 2009 at 9:07 AM, dubi1974 gonzales74@ wrote: Hi! Is it possible to optimize a system (for e.g. best net performance %) with SPSO but then use the highest Ulcer Performance Index or CAR/MDD and use then this parameters for the out of sample test for the next period in the Walk Forward Test of Amibroker? I know I could do this in separate steps, but I would like to automize that. Or does someone know an other solution for this? Many thanks and kind regards, dubi
[amibroker] Re: SetOption( field, value ) - Periodicity
Hi, Maybe I was not clear. With SetOption( field, value ) I can set a lot of options in the AA window. Also in the Toolbar I can change the filtering from 24hours to just day session etc. But sometimes I would like to change this for one and the same contract (as one indicator/system uses 24h hours and on other just the day session). I would like to change this settings through AFL (so that the system can decide from the code, which time filtering to use for e.g. an moving average). Is this possible? Kind regards, dubi
[amibroker] Re: Walk Forward Test - How would you...
Hi Keith, this is exactly the direction I was searching for. As I understood ranking of the result is not possible, but I could create a new ratio (as you explained) and use this factor for my tests. Many thanks and kind regards, dubi --- In amibroker@yahoogroups.com, Keith McCombs kmcco...@... wrote: Dubi -- You can make up your own metric. See addcustommetric() and custom back test, CBT, in the users guide and on amibroker.com. http://www.amibroker.com/docs/ab401.html For example, say you want maximum UPI, but you also feel that you would prefer number of trades to be near 5. OptTrades = 5; MultFactor = 2 * OptTrades; Ntrades = (available via GetValue(string MetricName) MyMetric = UPI * (MultFactor * Ntrades - Ntrades^2); // just one way of many -- Keith dubi1974 wrote: Hi Howard and all, yes SPSO is the inbuild particle optimizer When I optimize for Ulcer Index I do not take everytime the best choice, as I do not do it when I optimize for %Net Perf or CAR/MDD. Eaxmple: If I have let's say 3 parameters 100x100x100 I would get 1mn options. If I optimize for %Net Perf with SPSO the list would be about 5000-7000 results. But as I do not want to choose the best %Net Perf but the highest %Net Perf with a high UPI, a high CAR/MDD, high RRR, low StDev I would decide to use the parameters for maybe the 2nd or 3rd etc. rated result. But this is not possible if I directly use the inbuild WalkForward Test of Amibroker, as the system uses always the first choice and not the best choice. If I would optimize directly for RRR, I got sometimes as first choice just 1-2 trades as the StDev was the lowest there, but I would never use this parameters. That is why I was searching for an alternative. Many thanks and kind regards, dubi --- In amibroker@yahoogroups.com mailto:amibroker%40yahoogroups.com, Howard B howardbandy@ wrote: Hi Bisto -- Thanks. From the original posting, I was thinking that SPSO was a metric. Dubi -- The choice of optimization method (exhaustive, cmae, ...) and metric (Ulcer Index, CAR/MDD, k-ratio, ...) are independent. The optimization portion of the walk forward will be carried out using the optimization method you request in you afl code with the OptimizerSetEngine statement. The selection of which of the alternatives tested to use for the out-of-sample run will be determined by the metric you set in the Optimization Target box on the Walk Forward tab of the AA Settings. Or did I misinterpret your question? Thanks, Howard On Fri, Nov 13, 2009 at 3:39 AM, Bisto bistoman73@ wrote: I suppose: Standard Particle Swarm Optimization Bisto --- In amibroker@yahoogroups.com mailto:amibroker%40yahoogroups.com amibroker%40yahoogroups.com, Howard B howardbandy@ wrote: Hi Dubi -- What is SPSO? Thanks, Howard On Wed, Nov 11, 2009 at 9:07 AM, dubi1974 gonzales74@ wrote: Hi! Is it possible to optimize a system (for e.g. best net performance %) with SPSO but then use the highest Ulcer Performance Index or CAR/MDD and use then this parameters for the out of sample test for the next period in the Walk Forward Test of Amibroker? I know I could do this in separate steps, but I would like to automize that. Or does someone know an other solution for this? Many thanks and kind regards, dubi
[amibroker] Re: SetOption( field, value ) - Periodicity
Hi Mike, I know this settings. But this are not the settings I am searching for. If I want to plot intraday 5min candles e.g. SP Mini 9:30-16:15 or 24hours I can just change this in the FILTER tab. Regards, dubi --- In amibroker@yahoogroups.com, Mike sfclimb...@... wrote: Read about time frame support and see if that helps you: http://amibroker.com/guide/h_timeframe.html Mike --- In amibroker@yahoogroups.com, dubi1974 gonzales74@ wrote: Hi, Maybe I was not clear. With SetOption( field, value ) I can set a lot of options in the AA window. Also in the Toolbar I can change the filtering from 24hours to just day session etc. But sometimes I would like to change this for one and the same contract (as one indicator/system uses 24h hours and on other just the day session). I would like to change this settings through AFL (so that the system can decide from the code, which time filtering to use for e.g. an moving average). Is this possible? Kind regards, dubi
[amibroker] Interesting Trick found with IB TWS
Hi, As you maybe know and heard IB/TWS has included a history of 2 years. This is also true for Futures contracts. If you try (as of today, Nov 2009) to download/backfill the data for e.g YM (DJIA) March contract into Amibroker, you will get an error message (something like: contract not found). But I found a trick how to receive the data and let Amibroker backfill. If you try to backfill the March contract change the clock of your system from today (24 November 2009) to the third Friday/Saturday of March (e.g. 20 or 21 March 2009) and start Amibroker. Change to 180 days backfill and Amibroker will backfill the contract. This worked for me until Dec 2007. Maybe this trick can be somehow incorporated into a next version of Amibroker. Hope I could help someone with this finding. Kind regards, dubi
[amibroker] Re: How do I use ticksize in futures?
Hi, you can buy SP Mini Futures just for 1153.25 or 1153.50, 1153.37 is not possible. I use a trick with indicators. e.g. EMA. I divide through the TickSize (0.25) then I round the outcome and multiply it back with the TickSize. example: iEMA = EMA (C,20); iEMA = Round (iEMA/TickSize) * TickSize; blnBuy = C iEMA; Regards, dubi --- In amibroker@yahoogroups.com, Gonzaga gonzag...@... wrote: Hi I'm trying to backtest a system in futures, in mini SP500, and have no experience. I see that I must use the ticksize in order to tell Amibroker the smaller movement of the ticker, in this case 0.25 points. I see that the constant 'tickersize' can obly be used with pre-defined stops or Applystop, not with a user-programmed stop.. Ok. But when I try a backtest, with the code: PositionSize = -2; // use 2% of equity MarginDeposit = 2250; // mini sp RoundLotSize = 1; // this you can set also in the Settings page PointValue = 50; //multiply punto SP TickSize=0.25; //least variation the system buys SP500 at e.g. 1153.37 I thought that Ami should buy at 1153.25 or 1153.50, isn't it??? Is possible to buy the future miniSP at 1153.37??? Thanks in advance..
[amibroker] Z score - Runs Test
Hi! Does someone know how to calculate the z score through the custom backtester? I could not find any hint in the past posts. I have just the problem that I do not know how to caculate R as the total number of runs. The Z-Score (sometimes called the standard score) is a statistical calculation. Z-Score = (N*(R-.5)-X)/((X*(X-N))/(N-1))^(1/2) where N = the total number of trades (for the formula to work effectively, the Z Score must be calculated for a minimum of 30 trades), R = the total number of runs (a new run begins each time a profitable trade is followed by an unprofitable one, or vice versa), X = 2 × W × L, W = the total number of winning trades, L = the total number of losing trades. Many thanks and kind regards, dubi
[amibroker] Re: Z score - Runs Test
I think I made it (is this right?):
SetOption(UseCustomBacktestProc, True );
SetCustomBacktestProc(,True);
if( Status(action) == actionPortfolio ) // point to correct iteration of
backtest engine
{
//initialize custom backtest engine
//bo is backtestobject
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
st = bo.GetPerformanceStats(0); // get stats for all trades
totalLossTrades = totalWinTrades = totalRuns = 0;
for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade())
{ // Loop through all closed trades
if (trade.GetProfit() 0) // If this was a winning trade
{
if (totalWinTrades == 0) totalRuns++;
totalWinTrades++;
totalLossTrades = 0;
}
if (trade.GetProfit() 0) // If this was a winning trade
{
if (totalLossTrades == 0) totalRuns++;
totalLossTrades++;
totalWinTrades = 0;
}
} // End of for loop over all trades
N = st.GetValue(AllQty);
R = totalRuns;
WIN = st.GetValue(WinnersQty);
LOSS = st.GetValue(LosersQty);
X = 2 * WIN * LOSS;
Z_Score = (N*(R-0.5)-X)/SQRT((X*(X-N))/(N-1));
bo.AddCustomMetric( Z-Score,Z_Score );
bo.AddCustomMetric( totalRuns,totalRuns );
}
[amibroker] Intraday Chart
Hi, if I use SetChartOptions(0, chartShowDates) in Intraday 5min, I will see just hours on the x-axis. Like 17h, 18h but I would like to see 17:30, 18h, 18:30... How and where can I change this? Thanks and regards, dubi
[amibroker] Re: Intraday Chart
Nobody knows? --- In amibroker@yahoogroups.com, dubi1974 gonzale...@... wrote: Hi, if I use SetChartOptions(0, chartShowDates) in Intraday 5min, I will see just hours on the x-axis. Like 17h, 18h but I would like to see 17:30, 18h, 18:30... How and where can I change this? Thanks and regards, dubi
[amibroker] Intraday Chart VIEW
Hi, if I use SetChartOptions(0, chartShowDates) in Intraday 5min, I will see just hours on the x-axis. Like 17h, 18h but I would like to view 17:30, 18h, 18:30... How and where can I change this? Thanks and regards, dubi
[amibroker] Re: Backtest ES
Did you set your backfill length to 180 days?
Regards, dubi
--- In amibroker@yahoogroups.com, tradersu trade...@... wrote:
Hmm.. I can get all the data if I pick 1 minute as base-period.
But if I pick 5m or 15m as base-period, I have same issue. Weird but I can
live with this.
Thanks a lot JG.
- SU
--- In amibroker@yahoogroups.com, Jerry Gress pleasenospamplease@ wrote:
Hello,
On a laptop I just downloaded IB 1 min data to 12-23-09 with no problem. Try
it again, should work.
Regards,
JG
-Original Message-
From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf
Of tradersu
Sent: Thursday, February 04, 2010 4:46 PM
To: amibroker@yahoogroups.com
Subject: [amibroker] Backtest ES
I'm trying to backfill ESH0-GLOBEX-FUT using IB's RT plugin but I only get
chart since 8:30 AM 03-Feb (now 7:00 PM 04-Feb); I tried 5m and 15m period
but same result. I'm not getting chart any older than that...
My 'database setting' reads 2000 bars which should get 20 days worth of 5m
data.
I only need 1 symbol (ES) and will be happy with 60 days of intraday data
for my backtest. Anyone knows how to fill the data from IB?
Thanks in advance.
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
[amibroker] How do I make AD Line and Trin in Amibroker?
Hi, I tried to follow this docs: http://www.amibroker.com/newsletter/04-2000.html But the ADLine just shows empty. Does Symbol/Calculate composites... work in Amibroker? Regards, dubi
[amibroker] High Frequency Automated Trading with more than 1 Future Contract possible?
Hi, was anyone in this forum ever successful in HF trading more than 1 Futures contract at the same time with Amibroker, Interactive Brokers and let's say eSignal or made any thoughts about it? I am not asking about the problem of time stamp (which I know), but would like to know, if anyone thought about a solution having just one or more instances of Amibroker open, using one ore more databases, one or more data supplier (as eSignal) and one ore more IB Sessions open. With one future contract there should be a solution, but how would it be if I would like to trade 10 different Future contracts at the same time? If you use AA for scan (let's say every 5sec) this could be a kind of solution but not an ideal one. And my next question would be also to have more than one system running parallel. So more than one Amibroker session running parallel. Hope I could made my thoughts clear and can start a discussion about this topic. Regards, dubi
[amibroker] Re: High Frequency Automated Trading with more than 1 Future Contract possible?
Hi,
this is an alternative. You are right. But this would be a solution for one
system (one kind of rule). Let's say you have one system which works with swing
entry rules, the other system is a scalping method and so on. And one is
working on tick basis, the other on 5min basis... So I want to trade different
ideas on different futures at the same time. So I would need more than 1
instances of Amibroker open. Maybe also more desktops (if one CPU is already
averloaded) which implies different databases. But one problem would be IB TWS
and IB Controller which would be limiting because of ClientID = 0 and a next
problem would be different databases (as Amibroker first just uses the cache).
I was wondering if anyone made already some thoughts about a bigger scheme or
has ever tried such a step. Maybe Amibroker is the wrong approach for such
ideas. But I think it should be somehow possible.
Regards, dubi
--- In amibroker@yahoogroups.com, Aron aron.gro...@... wrote:
You can experiment with smth like this:
|ticker1 = 6AH0-GLOBEX-FUT-USD;
ticker2 = 6EH0-GLOBEX-FUT-USD;
ticker3 = ESH0-GLOBEX-FUT-USD;
*for* ( n = 1; n 4; n ++ )
{
symbol = VarGet(ticker + n);
SetForeign(symbol);
{
//Your entry rules here
*Buy* = ..;
*Short* = ..;
ibc = GetTradingInterface(IB);
*if*( ibc.isConnected())
{
||// your autotrading sequence here|
| }
}
RestorePriceArrays();
} |
On 2/26/2010 2:59 PM, dubi1974 wrote:
Hi,
was anyone in this forum ever successful in HF trading more than 1 Futures
contract at the same time with Amibroker, Interactive Brokers and let's say
eSignal or made any thoughts about it? I am not asking about the problem of
time stamp (which I know), but would like to know, if anyone thought about
a solution having just one or more instances of Amibroker open, using one
ore more databases, one or more data supplier (as eSignal) and one ore more
IB Sessions open. With one future contract there should be a solution, but
how would it be if I would like to trade 10 different Future contracts at
the same time? If you use AA for scan (let's say every 5sec) this could be
a kind of solution but not an ideal one. And my next question would be also
to have more than one system running parallel. So more than one Amibroker
session running parallel.
Hope I could made my thoughts clear and can start a discussion about this
topic.
Regards, dubi
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
[amibroker] Re: High Frequency Automated Trading with more than 1 Future Contract possible?
Hi Aron,
again you are right. Could be a kind of solution. But if you want to filter
24hours or show just trading hours time, you will come to a limit. Have you
ever created some systems with the logic you adviced? And if yes, are you
comfortable with the speed performance?
Thanks and regards, dubi
--- In amibroker@yahoogroups.com, Aron aron.gro...@... wrote:
On 2/28/2010 1:57 PM, dubi1974 wrote:
And one is working on tick basis, the other on 5min basis... So I want to
trade different ideas on different futures at the same time. So I would
need more than 1 instances of Amibroker open.
Not necessarily, only your code will be more complex. Just an example of
using different entry strategies for different intervals:
|
tmf1 = *inDaily* ;
tmf2 = *inHourly*;
tmf3 = *in5Minute*;
*for* ( n = 1; n 4; n ++ )
{
TimeFrameSet( VarGet( tmf + n ));
{
*switch* ( n)
{
*case* 1:
// buy rule1
*break*;
*case* 2:
// buy rule 2
*break*;
*case* 3:
// buy rule 3
*break*;
*default*:
//Buy= 0;
*break*;
}
}
TimeFrameRestore();
}
|
[amibroker] Re: Can a macro or visual basic program be used to change AFL parameters?
I tried this too, but was not successful. I think it does not work. But would be a great feature which Tomasz could maybe implement in the future. Regards, dubi --- In amibroker@yahoogroups.com, Barry razzba...@... wrote: Can a key stroke macro be used to issue a change in an ALF parameter? I think I tried years ago and could not get it to work. But then Ami has changed a lot in that time. If that won't work is it possible to write a script or visual basic program that will allow me to use a function key to cause a change in an AFL parameter value? Thanks, Barry
[amibroker] Re: AmiBroker as an intraday trading platform
definitively YES! --- In amibroker@yahoogroups.com, victorio91306 vabb...@... wrote: Is the AmiBroker software a viable platform to day trade The ESMINI.
[amibroker] Re: Day Session or 24 Hour from AFL...?
As I know, there is no way right now to know via AFL! I asked this question a longer time ago in this forum and nobody had an answer. I asked AmiBroker Feedback Center SUGGESTION to imply this feature in future versions of Amibroker. Don't know if they will. Regards, dubi --- In amibroker@yahoogroups.com, Rob sidharth...@... wrote: I'm wondering if there is a sure fire way to know via AFL if the chart in question is set to view the 24 hour session or the day session only? Clearly where there is enough data on the chart you can look for times outside the day session to tell you, but it's very possible, and is the case in this instance, that not enough data is visible in the current array to know what the filtering mode is... the only way to know would be scroll backwards... but I want to know via AFL if possible. I need to know because I'm constructing DateTime values back a certain number of bars (outside of the current arrays) and clearly 24 hour session or day session makes a big difference... TIA
[amibroker] Any new release?
Do you know, is there any release date planed for AmiBroker 5.30? Regards, dubi
[amibroker] Re: Any new release?
Thanks for the update!
Regards, dubi
--- In amibroker@yahoogroups.com, Tomasz Janeczko gro...@... wrote:
Hello,
5.30 release candidate version will be made available this week.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-03-22 14:22, dubi1974 wrote:
Do you know, is there any release date planed for AmiBroker 5.30?
Regards, dubi
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
[amibroker] Amibroker 5.30 and IB Controller 1.3.1 BETA
First: Congratulation to and thank you for the new release. Tomasz, I am just not sure if the new IB Controller is the same as the IB Controller 1.3.1 beta you were once sending me http://www.amibroker.com/at/1310/. I had the problem with trading of US Treasury Notes, Bonds etc. because of the digits. That's why you created the IB Controller 1.3.1. Is the new release the same? Thanks for developing a great application and your support. Regards, dubi
[amibroker] Re: Adjusting intraday data for summer time changes
I bring this topic up again, as I do have this issues with Europe and US right
now. At the moment I use the TWS IB data. Normaly the time shift between CET
und NY Time is 6 hours. Right now it is 5 hours. So this confuses the database.
The US markets opens at 14:30 and closes at 21:15. And if I want to filter for
day session only I see my US data between 15:30 and 22:15. Is there no better
way to handle this time problem in Amibroker when US and Europe are changing to
summer/winter time on different weekends? Any solutions?
Kind regards, dubi
--- In amibroker@yahoogroups.com, Graham gkavan...@... wrote:
I have created a small routine to make the appropriate changes for the
upcoming summer time changes in US and Australian eastern states (no time
changes where I live, but the ASX market is in east states). I believe the
US and Aust change on the same date again so the changes only need to be
done once. I use quotetracker for intraday data and this arrives as US EST
(ESST) so in my summer the time shift is +16 hours and in winter +14 hours.
Previously I used to export the data to excel and change the times there
which was laborious and boring. Now the improvements in AB make this simple
and easy.
Btw if you do not make the mods to the historical intraday data the times
will not be consistent throughout your data.
Here is the instructions and code, hope this helps someone
/*
CHANGING ALL DATA FOR SUMMER TIME CHANGES
Datafeed through QT is in US EST which changes with the seasons daylight
saving. About the same time (if lucky on same weekend) Australian eastern
states change summer time (in reverse). So we have in Aust summer time shift
+16 hours AND in winter +14 hours
To change the times for summer timezone changes US Australian for the
historical saved data in Amibroker I use the following:-
For Export:
Databse Settings - Intraday Settings -
In March - change the time shift to +2 hrs to adjust for winter time
In November - change the time shift to -2 hrs to adjust for summer time
(Nov)
Export intraday and EOD data to TXT files
One file for each stock
In the first line insert the directory you want to save them to, make sure
the directory exists
Select your charts to export with the Apply to filter in AA window
Select the timeframe period you want to save as using the AA Settings
Press Scan button
The data is now saved to txt files with US times adjusted for the next
timezone season.
To Create the new database for new season
Remove all data from the existing database (or create new one)
Make the time shift in Database Settings - Intraday Settings to 0 (zero)
Import the adjusted data with the import wizard.
Now ready to rock and roll
Oh sometimes the US and Aust do not change summer time on same weekend and
this needs to be done twice with 1 hour adjustment each time :(
by Graham Kavanagh 05 Mar 2004
*/
fh = fopen( c:\\SaveData\\+Name()+.txt, w);
if( fh )
{
fputs( Ticker,Date,Time,Open,High,Low,Close,Volume \n, fh );
y = Year();
m = Month();
d = Day();
r = Hour();
e = Minute();
n = Second();
for( i = 0; i BarCount; i++ )
{
fputs( Name() + , , fh );
ds = StrFormat(%02.0f-%02.0f-%02.0f,,
y[ i ], m[ i ], d[ i ] );
fputs( ds, fh );
ts = StrFormat(%02.0f:%02.0f:%02.0f,,
r[ i ],e[ i ],n[ i ] );
fputs( ts, fh );
qs = StrFormat(%.4f,%.4f,%.4f,%.4f,%.0f\n,
O[ i ],H[ i ],L[ i ],C[ i ],V[ i ] );
fputs( qs, fh );
}
fclose( fh );
}
Buy = 0;
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/
[amibroker] Re: Adjusting intraday data for summer time changes
Hi Keith,
thanks for the link. But if I have US, European and e.g. Australian Futures
data and I want to update them real time and at the same time, how should this
work with this tool?
Regards, dubi
--- In amibroker@yahoogroups.com, Keith McCombs kmcco...@... wrote:
dubi --
There is a free utility available at:
http://www.karenware.com/powertools/ptzone.asp
That ought to do the trick.
-- Keith
On 3/24/2010 18:48, dubi1974 wrote:
I bring this topic up again, as I do have this issues with Europe and
US right now. At the moment I use the TWS IB data. Normaly the time
shift between CET und NY Time is 6 hours. Right now it is 5 hours. So
this confuses the database. The US markets opens at 14:30 and closes
at 21:15. And if I want to filter for day session only I see my US
data between 15:30 and 22:15. Is there no better way to handle this
time problem in Amibroker when US and Europe are changing to
summer/winter time on different weekends? Any solutions?
Kind regards, dubi
--- In amibroker@yahoogroups.com mailto:amibroker%40yahoogroups.com,
Graham gkavanagh@ wrote:
I have created a small routine to make the appropriate changes for the
upcoming summer time changes in US and Australian eastern states (no
time
changes where I live, but the ASX market is in east states). I
believe the
US and Aust change on the same date again so the changes only need to be
done once. I use quotetracker for intraday data and this arrives as
US EST
(ESST) so in my summer the time shift is +16 hours and in winter +14
hours.
Previously I used to export the data to excel and change the times there
which was laborious and boring. Now the improvements in AB make this
simple
and easy.
Btw if you do not make the mods to the historical intraday data the
times
will not be consistent throughout your data.
Here is the instructions and code, hope this helps someone
/*
CHANGING ALL DATA FOR SUMMER TIME CHANGES
Datafeed through QT is in US EST which changes with the seasons daylight
saving. About the same time (if lucky on same weekend) Australian
eastern
states change summer time (in reverse). So we have in Aust summer
time shift
+16 hours AND in winter +14 hours
To change the times for summer timezone changes US Australian for the
historical saved data in Amibroker I use the following:-
For Export:
Databse Settings - Intraday Settings -
In March - change the time shift to +2 hrs to adjust for winter time
In November - change the time shift to -2 hrs to adjust for summer time
(Nov)
Export intraday and EOD data to TXT files
One file for each stock
In the first line insert the directory you want to save them to,
make sure
the directory exists
Select your charts to export with the Apply to filter in AA window
Select the timeframe period you want to save as using the AA Settings
Press Scan button
The data is now saved to txt files with US times adjusted for the next
timezone season.
To Create the new database for new season
Remove all data from the existing database (or create new one)
Make the time shift in Database Settings - Intraday Settings to 0 (zero)
Import the adjusted data with the import wizard.
Now ready to rock and roll
Oh sometimes the US and Aust do not change summer time on same
weekend and
this needs to be done twice with 1 hour adjustment each time :(
by Graham Kavanagh 05 Mar 2004
*/
fh = fopen( c:\\SaveData\\+Name()+.txt, w);
if( fh )
{
fputs( Ticker,Date,Time,Open,High,Low,Close,Volume \n, fh );
y = Year();
m = Month();
d = Day();
r = Hour();
e = Minute();
n = Second();
for( i = 0; i BarCount; i++ )
{
fputs( Name() + , , fh );
ds = StrFormat(%02.0f-%02.0f-%02.0f,,
y[ i ], m[ i ], d[ i ] );
fputs( ds, fh );
ts = StrFormat(%02.0f:%02.0f:%02.0f,,
r[ i ],e[ i ],n[ i ] );
fputs( ts, fh );
qs = StrFormat(%.4f,%.4f,%.4f,%.4f,%.0f\n,
O[ i ],H[ i ],L[ i ],C[ i ],V[ i ] );
fputs( qs, fh );
}
fclose( fh );
}
Buy = 0;
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/ http://e-wire.net.au/%7Eeb_kavan/
[amibroker] Re: ES or NQ symbol Futures one minute
ESQ0-GLOBEX-FUT
ESU0-GLOBEX-FUT
ESZ0-GLOBEX-FUT
ESM0-GLOBEX-FUT
--- In amibroker@yahoogroups.com, Jerry Gress pleasenospample...@... wrote:
Hello,
ESM0-GLOBEX_FUT
That a zero.
Regards,
JG
-Original Message-
From: amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] On Behalf
Of me_rayme
Sent: Wednesday, March 24, 2010 11:49 AM
To: amibroker@yahoogroups.com
Subject: [amibroker] ES or NQ symbol Futures one minute
Using W7 Ultimate on IB.
P R O F E S S I O N A LE D I T I O N
(Version 5.29.6, Build date: Dec 24 2009)
When I went to W7 from beta W7 lost the one minute symbol for one minute
using IB simulated for 2010.
Tried all of the following in Real Time.
ESQ10-GLOBEX-FUT
ESU10-GLOBEX-FUT
ESZ10-GLOBEX-FUT
ESM10-GLOBEX-FUT
Cant fiquire what is wrong.
YM works fine for June 2010 chart or Real Time Quote
Ray
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
[amibroker] Re: Intraday Settings different Instruments
Yes, it is possible. PER-GROUP intraday settings. http://www.amibroker.com/guide/w_dbsettings.html Regards, dubi --- In amibroker@yahoogroups.com, rise_t575 tare...@... wrote: Is it possible to define different intraday settings (e. g. trading hours) for say, stocks and futures with IB, within one single database? Thanks in advance!
[amibroker] Re: ATR./Turtle Script
Hi three_percent, looked at your code. The performance for stocks seems to be nice. Just do not understand, why you use e.g. for BuyThreshold a fixed value (like 0.3). If you test it on SP stocks like Google, which have always higher ATR than 0.3, they would never been traded. You could try to use percentage for example. Regards, dubi --- In amibroker@yahoogroups.com, three_percent se...@... wrote: It' a trend channel finder that computes a tight channel by way of ATR. The lower the ATR, the tighter the channel. It checks for a trend that keeps on going up. Notice the half the ATR period checks. Also, it gets out if the ATR gets too big or it makes 25% for the trade. I'm just trying to find ways to improve the performance percentage wise. Any help in that area will be greatly appreciated... --- In amibroker@yahoogroups.com, Mike sfclimbers@ wrote: You're still redundantly calculating arrays (e.g. Ref(Close,-1 * ATRPeriod / 2), Ref(Close,-1 * ATRPeriod). For the rest, it would help if you gave a non coded (e.g. english) description of your rules. As for performance, it's good practice run the backtest in full details mode (see AA settings for reporting) and go through every bar with a magnifying glass to be sure that you agree with every detail! Mike --- In amibroker@yahoogroups.com, three_percent senft@ wrote: // ATR/Turtle Script by Andrew Senft // Thank you very much for your notes. I took out the ExRem statements out and now get 100% annual returns on the SP500. A lot more than before. Not sure if that is right. Also, I'm not sure how to get the initial occurance of the buy trigger for the ValueWhen statement. - // Backtester Options SetOption(AllowSameBarExit, False); SetOption(MaxOpenPositions,1); PositionSize = -100; // Optimization numbers ATRPeriod = Optimize(ATRPeriod, 15, 10, 100, 5); // 15, .30, 1.08, .15, 25 BuyThreshold = Optimize(BuyThreshold, .3, .1, .50, .05); // 15, .30, 1.06, .25, 25 BuySlope = Optimize(BuySlope, 1.08, 1.05, 1.10, .01); SellThreshold = Optimize(SellThreshold, .15, .1, .50, .05); ProfitPercent = Optimize(ProfitPercent, 25, 25, 35, 5); // Buy/Sell signals and prices MyATR = ATR(ATRPeriod); PrevClose = Ref( Close,-1); Buy = Ref(MyATR,-1) BuyThreshold AND PrevClose Ref(Close,-1 * ATRPeriod / 2) AND Ref(Close,-1 * ATRPeriod / 2) Ref(Close,-1 * ATRPeriod) AND PrevClose / Ref(Close,-1 * ATRPeriod) BuySlope AND Ref(MA(Volume,20),-1) 3000 AND// 300,000 volume or more Ref(Close,-1) = 2; BuyPrice = Open; BeginATR = Ref(ValueWhen(Buy, MyATR,1), -1); Sell = Ref(MyATR,-1) BeginATR + SellThreshold; SellPrice = Open; PositionScore = 100 - Ref(MyATR,-1); ApplyStop( stopTypeProfit, stopModePercent, ProfitPercent ,True, 0 ); --- In amibroker@yahoogroups.com, Mike sfclimbers@ wrote: Hi, Without evaluating the actual logic of what you're trying to do, a couple of quick observations: 1. I suspect that you're missing AND after 3000, not semi colon. 2. You are redundantly recalculating several arrays, where single calculations stored in variables would result in faster charting. e.g. MyATR = ATR( ATRPeriod ); PrevClose = Ref( Close, -1 ); ... 3. Your usage of ValueWhen is probably not doing what you're hoping for. ValueWhen will pick up the most recent occurrence. Since your Buy can result in many redundant signals, your usage of ValueWhen will often pick up the redundant Buy, not the first one. 4. FilterBeginATR appears not to be used. Get rid of it. 5. Don't call ExRem on Buy and Sell, let the backtester do that for you. If you need unique values to plot shapes, store the results in a variable and PlotShapes using the variable instead. Mike --- In amibroker@yahoogroups.com, three_percent senft@ wrote: Missing a semicolon after 3000 --- In amibroker@yahoogroups.com, three_percent senft@ wrote: Here is my attempt at a turtle script based on the ATR command. I've been backtesting it against the SP500 since 1990. If you guys have any comments or improvements, let me know... - // ATR/Turtle Script by Andrew Senft // // Backtester Options SetOption(AllowSameBarExit, False); SetOption(MaxOpenPositions,1); PositionSize = -100; // Optimization numbers ATRPeriod = Optimize(ATRPeriod, 15, 10, 50, 5); BuyThreshold = Optimize(BuyThreshold,
[amibroker] Re: amibroker plugins and 64 bit
As I understood IB does not support 64 bit at the moment. Here also the Amibroker Comp Chart: http://www.amibroker.com/guide/compat.html I think if there is any update about compatibility Tomasz will tell us. Regards, dubi. --- In amibroker@yahoogroups.com, murthysuresh murthysur...@... wrote: somebody jacked my thread. I am putting it out again. does amibroker plugins for dtniq/ib support 64 bit? --- In amibroker@yahoogroups.com, murthysuresh murthysuresh@ wrote: i read on the Ninjatrader forum the list of data providers that support 64 bit. http://www.ninjatrader-support2.com/vb/showthread.php?t=22484 does that mean that the amibroker plugins like DTN, IB etc will support 64 bit.
[amibroker] Re: 64-bit IQFeed / Interactive Brokers plugins
Using Win7x64 edition here too. --- In amibroker@yahoogroups.com, Tomasz Janeczko gro...@... wrote: Hello, I would like to learn how many of you are already using Windows 64-bit edition and are interested in running native 64-bit IQFeed and Interactive Brokers plugins. Note that primary advantage of 64-bit Windows and apps is ability to address way more virtual memory than 32-bit system. Best regards, Tomasz Janeczko amibroker.com
[amibroker] Re: AmiBroker 5.30.1 64-bit edition (experimental)
Hi, I tested it and compared an normal optimization process between 32bit and 64 bit. On the same formula Amibroker 32-bit took more than 8 hours for the optimization process, and Amibroker 64-bit just 4h:50min. So my experience shows me, that it's much faster. My question is, could you Tomasz provide us the optimizer.dll in 64-bit? Like cmae or tribes? For testing purpose. Many thanks. Regards, dubi --- In amibroker@yahoogroups.com, Tomasz Janeczko gro...@... wrote: Hello, AmiBroker 5.30.1 64-bit edition (experimental) is now available for download from: http://www.amibroker.com/x64/ This is experimental version *only* for people running 64-bit Windows and wanting to utilise *more* than 4GB of memory. 64-bit version does NOT offer anything more, just ability to access more memory. It can (and should) be installed into *separate* folder, so it does not overwrite 32-bit edition (if installed). This version includes only 2 plugins: CMAE and IB (interactive brokers) plugin. 64-bit version of IQFeed plugin is in the works and it will arrive later. Note that regular users, even running 64-bit Windows should rather run regular, 32-bit version of AmiBroker as it offers more compatibility and was tested on way more installations. Please note that 64-bit version has BETA/experimental status and in case of problems you should use 32-bit version instead. Best regards, Tomasz Janeczko amibroker.com
[amibroker] Re: AmiBroker 5.30.1 64-bit edition (experimental)
Hi Mike, Same machine, same optimization. I am using Windows 7x64bit. CPU is Intel i7 920. 6GB DDRAM3. And I compared the same optimization of a formula on Amibroker 32bit and Amibroker 64bit. Regarding exhaustive optimizer. There is not exhaustive optimizer for 64bit. That's why I did neither use it for the 32bit and the 64bit. That's why I asked Tomasz if a exhaustive optimizer 64bit plugin is planed. Regards, dubi --- In amibroker@yahoogroups.com, Mike sfclimb...@... wrote: Did you perform your test using an exhaustive optimization on identical machines (or better yet, the same machine), differing only by 32 bit windows vs. 64 bit windows? If not, your test is comparing apples to oranges. 1. If using different machines, the hardware will play a very large role in the performance. My high end 64bit server takes 20 seconds to compute what my low end 32bit laptop does in 8 minutes. I can assure you it has very little to do with the operating system! 2. If using a non exhaustive optimizer, the built-in randomness of the optimizer can result in a different number of actual backtest operations. An optimization will take some period of time to converge. Immediately running the same optimization again on the same machine may converge sooner or take longer. The timing is not fixed, as it would be for an exhaustive optimization that will always perform exactly the same number of backtests. Mike --- In amibroker@yahoogroups.com, dubi1974 gonzales74@ wrote: Hi, I tested it and compared an normal optimization process between 32bit and 64 bit. On the same formula Amibroker 32-bit took more than 8 hours for the optimization process, and Amibroker 64-bit just 4h:50min. So my experience shows me, that it's much faster. My question is, could you Tomasz provide us the optimizer.dll in 64-bit? Like cmae or tribes? For testing purpose. Many thanks. Regards, dubi --- In amibroker@yahoogroups.com, Tomasz Janeczko groups@ wrote: Hello, AmiBroker 5.30.1 64-bit edition (experimental) is now available for download from: http://www.amibroker.com/x64/ This is experimental version *only* for people running 64-bit Windows and wanting to utilise *more* than 4GB of memory. 64-bit version does NOT offer anything more, just ability to access more memory. It can (and should) be installed into *separate* folder, so it does not overwrite 32-bit edition (if installed). This version includes only 2 plugins: CMAE and IB (interactive brokers) plugin. 64-bit version of IQFeed plugin is in the works and it will arrive later. Note that regular users, even running 64-bit Windows should rather run regular, 32-bit version of AmiBroker as it offers more compatibility and was tested on way more installations. Please note that 64-bit version has BETA/experimental status and in case of problems you should use 32-bit version instead. Best regards, Tomasz Janeczko amibroker.com
[amibroker] Re: AmiBroker 5.30.1 64-bit edition (experimental)
Sorry... you are right, in the hurry, I confused up.
I did use the exhaustive for the 32bit and the 64bit and not the
NON-exhaustive. So the results are comparable.
Regards, dubi
--- In amibroker@yahoogroups.com, Tomasz Janeczko gro...@... wrote:
Hello,
Exhaustive (i.e. full grid) optimization is the one that is default and
built-in in AmiBroker, does not require any plugin.
Only NON-exhaustive methods require any plugins.
Regarding non-exhaustive optimization, 64-bit version already has it - CMAE.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-07-08 20:04, dubi1974 wrote:
Hi Mike,
Same machine, same optimization.
I am using Windows 7x64bit. CPU is Intel i7 920. 6GB DDRAM3.
And I compared the same optimization of a formula on Amibroker 32bit and
Amibroker 64bit.
Regarding exhaustive optimizer. There is not exhaustive optimizer for
64bit. That's why I did neither use it for the 32bit and the 64bit. That's
why I asked Tomasz if a exhaustive optimizer 64bit plugin is planed.
Regards, dubi
--- In amibroker@yahoogroups.com, Mikesfclimbers@ wrote:
Did you perform your test using an exhaustive optimization on identical
machines (or better yet, the same machine), differing only by 32 bit
windows vs. 64 bit windows? If not, your test is comparing apples to
oranges.
1. If using different machines, the hardware will play a very large role
in the performance. My high end 64bit server takes 20 seconds to compute
what my low end 32bit laptop does in 8 minutes. I can assure you it has
very little to do with the operating system!
2. If using a non exhaustive optimizer, the built-in randomness of the
optimizer can result in a different number of actual backtest operations.
An optimization will take some period of time to converge. Immediately
running the same optimization again on the same machine may converge
sooner or take longer. The timing is not fixed, as it would be for an
exhaustive optimization that will always perform exactly the same number
of backtests.
Mike
--- In amibroker@yahoogroups.com, dubi1974gonzales74@ wrote:
Hi,
I tested it and compared an normal optimization process between 32bit and
64 bit. On the same formula Amibroker 32-bit took more than 8 hours for
the optimization process, and Amibroker 64-bit just 4h:50min.
So my experience shows me, that it's much faster. My question is, could
you Tomasz provide us the optimizer.dll in 64-bit? Like cmae or tribes?
For testing purpose.
Many thanks.
Regards, dubi
--- In amibroker@yahoogroups.com, Tomasz Janeczkogroups@ wrote:
Hello,
AmiBroker 5.30.1 64-bit edition (experimental) is now available for
download from:
http://www.amibroker.com/x64/
This is experimental version *only* for people running 64-bit Windows
and wanting to utilise *more* than 4GB of memory. 64-bit version does
NOT offer anything more, just ability to access more memory. It can
(and should) be installed into *separate* folder, so it does not
overwrite 32-bit edition (if installed). This version includes only 2
plugins: CMAE and IB (interactive brokers) plugin. 64-bit version of
IQFeed plugin is in the works
and it will arrive later.
Note that regular users, even running 64-bit Windows should rather run
regular, 32-bit version of AmiBroker as it offers more compatibility and
was tested on way more installations.
Please note that 64-bit version has BETA/experimental status and in case
of problems you should use 32-bit version instead.
Best regards,
Tomasz Janeczko
amibroker.com
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
[amibroker] Addressable memory space
Hi, how do I set the sddressable memory space for Amibroker 32bit or 64bit to 4GB? In In#8722;memory cache (max. MegaBytes) the maximum value seems to be 2048. Regards, dubi
[amibroker] Re: Addressable memory space
Hi Tomasz,
thanks for the answer. But if the available physical memory is 6135MB... then
why is 2047 In-memory cache in Amibroker the maximum?
in 32-bit and 64-bit version.
Kind regards, dubi
--- In amibroker@yahoogroups.com, Tomasz Janeczko gro...@... wrote:
Hello,
This setting is NOT maximum addressable space.
Maximum addressable space of 32-bit version running in x64 Windows is
*always* 4GB,
regardless of this setting.
In-memory cache is a setting that tells AmiBroker how much memory to use as
a cache
for *quotation database* ONLY. AmiBroker allows to set it to *half* of
available/addressable physical memory.
It must not be more than half because memory is needed for other things too.
AmiBroker can and will use more than that because memory is needed not only
for
quotation data, but also for AFL temporary variables, backtest signal storage
(can be very large
if running very large portfolio backtests/optimizations), and dozens of other
places.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-07-09 09:50, dubi1974 wrote:
Hi,
how do I set the sddressable memory space for Amibroker 32bit or 64bit to
4GB? In In#8722;memory cache (max. MegaBytes) the maximum value seems to
be 2048.
Regards, dubi
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
[amibroker] Re: Addressable memory space
Many thanks for the update. So I will wait for the development version of the
64-bit version.
Kind regards, dubi
--- In amibroker@yahoogroups.com, Tomasz Janeczko gro...@... wrote:
Hello,
See:
http://www.amibroker.com/guide/compat.html
Any 32-bit application can see only 4GB of virtual memory on 64-bit Windows
and only 2GB or 3GB on 32-bit Windows
no matter how much RAM you have.
Half of 4GB is 2GB.
With regards to native 64-bit version it can address even 1000GB virtual
memory.
The preferences dialog will not allow to enter that much at the moment, but
it is already changed in development version.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-07-10 09:32, dubi1974 wrote:
Hi Tomasz,
thanks for the answer. But if the available physical memory is 6135MB...
then why is 2047 In-memory cache in Amibroker the maximum?
in 32-bit and 64-bit version.
Kind regards, dubi
--- In amibroker@yahoogroups.com, Tomasz Janeczkogroups@ wrote:
Hello,
This setting is NOT maximum addressable space.
Maximum addressable space of 32-bit version running in x64 Windows is
*always* 4GB,
regardless of this setting.
In-memory cache is a setting that tells AmiBroker how much memory to use
as a cache
for *quotation database* ONLY. AmiBroker allows to set it to *half* of
available/addressable physical memory.
It must not be more than half because memory is needed for other things
too.
AmiBroker can and will use more than that because memory is needed not
only for
quotation data, but also for AFL temporary variables, backtest signal
storage (can be very large
if running very large portfolio backtests/optimizations), and dozens of
other places.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-07-09 09:50, dubi1974 wrote:
Hi,
how do I set the sddressable memory space for Amibroker 32bit or 64bit to
4GB? In In#8722;memory cache (max. MegaBytes) the maximum value seems to
be 2048.
Regards, dubi
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
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
[amibroker] Explanation of OHLC in ~~~EQUITY
Hi, maybe this question was already answered, but I couldn't find. 1. If I used plotting, calculating etc. of ~~~EQUITY, I always used the CLOSE (like PortEquity = Foreign(~~~EQUITY, C );). But which information/data is saved in Open, High, Low? I couldn't find out what this values are for. 2. The drawdown as I understood is calculated from one Equity Close Price to the other. But what is happening in EOD data during the day. The low could be lower than the close. So the drawdown could be even higher during the day. Is there a possibility to get this information and also on a portfolio basis? Is there in Amibroker something like the Tradestation Detailed Equity Curve: While equity curve line and equity curve area graphs are on a trade by trade basis the detailed equity graphs is on a bar-by-bar basis. Thanks and regards, dubi.
[amibroker] Re: Explanation of OHLC in ~~~EQUITY
Hello Tomasz,
thanks for the quick reply. I already exported the equity curve but did not
understand the low. But thanks for the explanation.
Regarding so they may be a little higher that you would observe on closing
values of equity: But everyone can remember May, 6 and 7 2010. That day some
stocks crashed and came sharply back during the day. So the max. system
drawdown from Close to Close was not so bad. So if I have a system where I do
not want to have more than -10% system drawdown, this day would seem to be
fine, but as the drawdown was much higher during the day the system could have
been failing... and I would not see this event neither on the equity curve nor
the system drawdown.
Would there be the possibility please to add also this equity curve to
Amibroker, as this could be critical to any system. Or is there an other way to
get this equity curve. I could suggest it in the Feedback Center, if this would
be fine for you.
Thanks, dubi
--- In amibroker@yahoogroups.com, Tomasz Janeczko gro...@... wrote:
Hello,
Close - System portfolio equity
Low - portfolio cash
Open - Long-only equity
High - Short-only equity
~~~EQUITY *is* detailed equity on bar-by-bar basis.
If you want to have it in tabular format you can use Exploration on ~~~EQUITY
ticker or export to a file.
http://www.amibroker.com/kb/2006/03/04/how-to-export-quotations-from-amibroker-to-csv-file/
Max. drawdowns, as well as MAE/MFE reported in AmiBroker include movement
inside bar (H-L range) (even when testing on EOD data),
so they may be a little higher that you would observe on closing values of
equity.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-07-28 15:32, dubi1974 wrote:
Hi,
maybe this question was already answered, but I couldn't find.
1. If I used plotting, calculating etc. of ~~~EQUITY, I always used the
CLOSE (like PortEquity = Foreign(~~~EQUITY, C );). But which
information/data is saved in Open, High, Low? I couldn't find out what this
values are for.
2. The drawdown as I understood is calculated from one Equity Close Price
to the other. But what is happening in EOD data during the day. The low
could be lower than the close. So the drawdown could be even higher during
the day. Is there a possibility to get this information and also on a
portfolio basis?
Is there in Amibroker something like the Tradestation Detailed Equity
Curve: While equity curve line and equity curve area graphs are on a trade
by trade basis the detailed equity graphs is on a bar-by-bar basis.
Thanks and regards, dubi.
IMPORTANT PLEASE READ
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[amibroker] Re: Explanation of OHLC in ~~~EQUITY
If anyone is interested. I solved this issue. You can download it now from the Amibroker Library. You should add it to the custom procedure path. Regards, dubi
