>snip<RT EOD trade equivalent = Buy on Close (last intraday bar) and Sell on >Close (entry bar + 78 bars);>snip<
Sorry, that is + 78 bars assuming you are using 5min database and in a 6.5 hours per day market. --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > >snip< you can only access H and L bars dailybars from intraday. You cannot > >access any of the daily indicators intraday in your backtesting.>snip< > > I think it can be done (subject to the actual problem because some case > studies might exceed my capabilities). > I didn't post any example code because I am in the middle of some theoretical > work on PowerFactor (will post to the Zboard if it works out) and also > because, in your prev posts you didn't stipulate which indicator you wanted > to use to get in and out using RT bars (possibly you can't say because it > will reveal too much about your system ... which is understandable). > > Example: > > EOD strategy = Buy on Close and Sell on Close the next day (1 bar); > > In RT the same strategy can be applied by: > > RT EOD trade equivalent = Buy on Close (last intraday bar) and Sell on Close > (entry bar + 78 bars); > > Isn't it the same thing, expressed in different timeframes (without tricky > timeframe compression ... well tricky for me anyway). > > I always consider that macrobars e.g. weekly, are an approximation of the > corresponding microbars e.g. daily. > > > > > --- In [email protected], "murthysuresh" <money@> wrote: > > > > let me know when you find a way to do it. check my earlier posts on the > > same issue. > > you can only access H and L bars dailybars from intraday. You cannot access > > any of the daily indicators intraday in your backtesting. > > > > > > --- In [email protected], "nizar.mahri@" <nizar.mahri@> wrote: > > > > > > Hi, > > > > > > I currently have my system set up as below. > > > The way its set up is as an EOD system. > > > > > > Now I want to modify it to have intraday entries. > > > So as soon as todays bar meets the system entry criteria (in terms of > > > price% change, volume, and liquidity) then enter immediately (ie. don't > > > wait for the close). > > > > > > How would i do that? > > > > > > Thanks. > > > > > > Nizar. > > > > > > settradedelays( 1, 1, 1, 1 ); > > > > > > LBP = Param("ATR Look Back", 10, 5, 50, 1);; > > > Multi = Param("ATR Multiple", 2, 1, 5, 0.1);; > > > Pr = Close; > > > AT = ATR(LBP); > > > > > > Entry1 = Indicator1; > > > Entry2 = Indicator2; > > > Entry3 = Indicator3; > > > Entry4 = Indicator4; > > > Entry5 = Indicator5; > > > > > > Buy = Entry1 && Entry2 && Entry3 && Entry4 && Entry5; > > > BuyPrice = Open; > > > trailARRAY = Null; > > > trailstop = 0; > > > Longtriggerbar = 0; > > > > > > for( i = 1; i < BarCount; i++ ) > > > { > > > > > > if( trailstop == 0 AND Buy[ i ] ) > > > { > > > trailstop = Pr[ i ] - Multi * AT[i]; > > > Longtriggerbar = i; > > > } > > > else Buy[ i ] = 0; // remove excess buy signals > > > > > > if( trailstop > 0 AND Low[ i ] < trailstop and i != Longtriggerbar) > > > { > > > Sell[ i ] = 1; > > > SellPrice[ i ] = trailstop; > > > trailstop = 0; > > > } > > > > > > if( trailstop > 0 ) > > > { > > > trailstop = Max( Pr[ i ] - Multi * AT [i], trailstop ); > > > trailARRAY[ i ] = trailstop; > > > } > > > > > > } > > > > > > > > > Plot( Close,"Price",colorBlack,styleBar); > > > Plot( trailARRAY,"trailing stop level", colorRed ); > > > > > > // Rank trades according to ATR if insufficient capital > > > > > > PositionScore = 100-ATR(10); > > > > > > // Divide capital into 4 positions > > > // Plot equity chart > > > > > > NumPos = 4; > > > SetOption("MaxOpenPositions",NumPos); > > > PositionSize = -100/NumPos; > > > > > > Plot(C,"C",colorBlack,styleCandle); > > > e = Equity(); > > > Plot(e,"Equity",colorGreen,styleLine | styleOwnScale); > > > > > >
