Thanks Herman, I have not noticed this function.
Best regards/ Huanyan
----- Original Message -----
From: Herman
To: Huanyan
Sent: Friday, January 16, 2009 7:54 AM
Subject: Re[2]: [amibroker] Re: PairTrading on Amibroker
Please see the help on System test settings window:
Pad and align to reference symbol
When this is turned on, all symbols' quotes are padded and aligned to reference
symbol. Note: by default this setting is OFF. Use responsibly. It may slow down
backtest/exploration/scan and introduce some slight changes to indicator values
when your data has holes and holes are filled with previous bar data. The
feature is intended to be used when your system uses general market timing
(generates global signals based on data and/or indicators calculated using
Foreign from 'reference' symbol) or when you are creating composites out of
unaligned data. Note: if reference symbol does not exist, data won't be padded.
best regards,
herman
Thursday, January 15, 2009, 5:50:13 PM, you wrote:
>
Hi Herman
Not sure if I have get the meaning of "padded data".
Say two symbols in a pair are not traded in the same exchange, and since
each exchange has its own trading calendar. So on some days , not both symbols
are traded. If this thing happens a lot, then there will be a lot of padded
data , and I guess if you export the data into excel and delete data of those
days when only symbol is traded, you can have a more accurate correlation
number . Is my understanding right ?
thanks / hunayan
----- Original Message -----
From: Herman
To: Angelo
Sent: Thursday, January 15, 2009 11:27 PM
Subject: Re: [amibroker] Re: PairTrading on Amibroker
Hi Angelo,
this code is going back quite some time :-)
I think the problem was that if data holes are padded, i.e. they are
filled with prices from the previous bar, the correlation calculation would be
based on artificial data and not on data that was actually traded. This would
only happen if you miss data within the correlation period.
Best regards,
herman
Thursday, January 15, 2009, 9:51:46 AM, you wrote:
> Hi Herman,
> I'm not able to get the "padded data"problem cited as a warning in
> http://www.amibroker.org/userkb/2007/04/24/creating-a-correlation-table/
> Could you please add something on that?
> Thanks,
> Angelo.
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