Or you could do as I suggested before and make the Start time conditional to
the opening gap which makes your InSession variable aware of the opening
gap:
BTStartTime1 = ParamTime("Backtesting SOD","09:00:01");
BTStartTime2 = ParamTime("Backtesting SOD Gap","10:30:01");
BTEndTime1 = ParamTime("Backtesting EOD","17:20:00");
TimeFrameSet(inDaily);
bGapUp = GapUp();
bGapDown = GapDown();
TimeFrameRestore();
bGapUp = TimeFrameExpand(bGapUp,inDaily);
bGapDown = TimeFrameExpand(bGapDown,inDaily);
GapStartTime = IIf(bGapUp OR bGapDown, BTStartTime2, BTStartTime1);
InSession = TimeNum() >= GapStartTime AND TimeNum() <= BTEndTime1;
Buy = Sum(buysig,pds21) > Sum(Sellsig,pds21) AND InSession;
Regards,
David
_____
Re: Trade stop after GapUp or GapDown
Thnx for your help. It is not totally what I am looking for but it
comes close. Now it the system will skip a whole trading day if it
starts with a gap. My original idea was to delay the start, till the
effect of the gap has disappeared. But it is possible to
change "indaily" into "inhourly", which doesn't give good results.
But thats also good to know that the system seems to be able to beat
the gap problems :-)
Thnx again for the help!
Greets Ronald
_____
From: dbw451 [mailto:[EMAIL PROTECTED]
Sent: 03/06/2007 5:32 PM
To: '[email protected]'
Subject: RE: [amibroker] Re: Trade stop after GapUp or GapDown
Ronald,
I think your problem might be your use of the GapUp() and GapDown()
functions. I've never used either before, so without testing I can only go
by the documentation. I think the functions set a single "true" value by
comparing the current bar to the previous bar. Since you are using 5-minute
bars, a gap at the open would be purely coincidental. Maybe you need to set
the timeframe to daily before using the GapUp() and GapDown() functions.
When you restore and expand the time frame, your bGapUp and bGapDown
variables should contain "true" for the entire day.
TimeFrameSet(inDaily);
bGapUp = GapUp();
bGapDown = GapDown();
TimeFrameRestore();
bGapUp = TimeFrameExpand(bGapUp,inDaily);
bGapDown = TimeFrameExpand(bGapDown,inDaily);
Buy = Sum(buysig,pds21) > Sum(Sellsig,pds21) AND InSession AND NOT EOD AND
NOT bGapUp OR bGapDown;
I don't have the time right now to test and verify the above code, but
hopefully it will help.
Regards,
David
_____
From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf
Of optiekoersen
Sent: 03/06/2007 3:56 PM
To: [email protected]
Subject: [amibroker] Re: Trade stop after GapUp or GapDown
Hmm, maybe I am doing something wrong. I will give a part of the
code. Should have provided that earlier...
BTStartTime1 = ParamTime("Backtesting SOD","09:00:01");
BTEndTime1 = ParamTime("Backtesting EOD","17:20:00");
EOD = TimeNum() >= BTEndTime1;
SOD = TimeNum() >= BTStartTime1;
SOD = SOD != Ref(SOD,-1);
EOD = EOD != Ref(EOD,-1);
InSession = Flip( SOD, EOD);
//then comes my system//
EnableSessionTiming = ParamToggle("Enable Session Timing","NO|YES",1);
if( EnableSessionTiming )
Buy =
Sum(buysig,pds21) > Sum(Sellsig,pds21) AND InSession AND NOT EOD AND
NOT GapUp() OR GapDown();
I hope this makes it something clearer....
The code for the startsession was posted here on the forum before, I
borrowed it :-)
Greets Ronald
