Correction. Example:
IF you want ATR for 5 daily bars in 5 min RT - - use NewDay to mark the start of each daily bar - one day == 78 bars (careful with this if days have data missing) - use HHV(newday) to get the intraday H and L - find the previous close (close of lastbar before NewDay) - use ValueWhen to get PrevC, H and L for lookback 'daily' bars - manually calc the TrueRange for each 'daily bar' (geatest of H - L OR PrevClose - L OR PrevClose - H) - and then average the result from each of the last 5 'days' - include the current RT build as day 1 --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > nizar.mahri > > Re the previous discussions on this issue ... I think the difficulties of > comms via the internet contribute more to detracting from an outcome rather > than the degree of difficulty of the code. > > > I have done a good deal of thinking about the correspondence between intraday > bars (any reasonable period) and daily bars ... I haven't written much code > though as I do most of the tesing in my head. > So, I do understand your trade quite well. > > I am very sorry but I don't think I can write any code examples at the > moment, however some comments might help you. > > From Barry's comments: > > Barry is writing an example for AT and I believe it is correct. > I agree with his definition that we are considering the intraday 'build' of > the daily bar ... that is what I call it. > The 'build' changes with time ... if it can only change in one direction e.g. > Sum(V) I call that a progressive indicator (it uses lookback periods.... > compare that to a dynamic indicator e.g. an UpBar which is contained in a > single timeframe. > > His objective is to 'latch' the intraday signal, using a StaticVar, so that > intraday 'bounce' won't produce on again/off again signals for the AT engine > (or whatever is is called). > > I don't autotrade but I guess this is a major consideration in AT systems. > > He does say that it is not for backtesting. > > > > For Scanning/BT use: > > - IMO you should do this in the RT database of your choice (5 min bars etc) > > - the intraday timing improves granularity > - as soon as all your ducks are in a row you have to buy (system rules) and > AB will only let you into one trade per symbol ... even if one of your > indicators is dynamic and bounces off again it is too late to pull out of the > trade (this is the BT equivalent of the AT latched buy signal). > - scanning large numbers of stocks RT may be a problem but since you were > formerly trading this system EOD it seems a big step to then go to 30 sec > timeframes for a refined intraday entry > - smaller RT timeframes will give you a more accurate entry with the > progressive indicators e.g. Open to Close % change but cause 'bounce' with > your dynamic indicators e.g. UpBar (a 5 min UpBar may disappear into a the > 'smoothed' 15 min bar. > - Since your exit is a volatility trailing stop it should be possible to > translate that into the corresponding RT code. > > Looking at your indicators they seem to be a progressive build starting from > the daily open so your barsince(newday) code should be doing the trick for > you.... at a guess I would say you are stuck on the idea of compressing RT > bars into daily bars and somehow seeing it all there but there is absolutely > no need for that approach. > > Example: > > IF you want ATR for 5 daily bars in 5 min RT - > - use NewDay to mark the start of each daily bar > - one day == 78 bars > - use HHV(newday) to get the intraday H and L > - manually calc the TrueRange for each 'daily bar' (geatest of H - L OR O - L > OR O - H) > - and then average the result from each of the last 5 'days' > - include the current RT build as day 1 > > > > > > > > > > --- In [email protected], "nizar.mahri@" <nizar.mahri@> wrote: > > > > Brian. > > > > This is what Barry over at the AT board said in response to a similar > > request, I think it may be helpful in my case here. > > > > One thing you need to realize is that using intraday data as it comes > > in reduces the need to use the formula as you have it designed or > > even the necessity to use smaller time frames. When data comes in > > Close is the last tick value. We usually think of close as the price > > at the end of the bar. But when intraday data is building a bar the > > last tick is the close and when the next one comes in that is the > > close, etc., until the end of the bar. Then it is set in concrete. > > The fist tick to come in is the open. The highest and lowest are the > > high and low tick so far. The next tick may be higher or lower. Just > > stop and think about that for a minute. It tool a while before it got > > past all my white hair. > > > > I am assuming again but I think you intend to use this in auto > > trading mode. If so you are looking for the first tick that meets or > > exceeds your entry price. Then you need to change the formula to: > > > > LastC = LastValue(c); > > // when your set up is reached set BuySetup True > > BuySetup = Ref(Open,0) < EntryPrice AND LastC > EntryPrice; > > // if buySetup is true save your target price > > if(LastValue(BuySetup)) > > StaticVarSet("BuyTarget", LastC + yourStopDelta); > > // when C >= to your target price you send a buy order > > Buy = LastC >= StaticVarGet("BuyTarget"); > > // set the buy value when you sent the order > > BuyPrice = iif(buy, LastC, 0); > > > > Using a static var will save the setup condition because the next > > tick may make the condition false and you could miss the trade or set > > the trade at a later time. Setting it in a static will eliminate the > > need to use shorter time frames to see the condition. High might work > > here but I think AFL will wait until the end of the bar to act on > H > > logic. Using static vars will allow you to send the order mid bar, > > which is what I think you want to do. > > > > Set BuyPrice to the last C because you want to catch the actual value > > where the trade was triggered and transmitted to TWS. > > > > The rub to what I just wrote is that it will not back test. But in my > > opinion back testing is a waste of time once you have your design > > completed, optimized and back tested on static out of sample blocks > > of data. If you want to back test this and get really close to actual > > trade value create a new database for tick data. You can run two > > instances of AB, one for tick data and another instance for minute > > data. I do this often to capture data to use in BarReplay, which is > > an awesome place to do debugging. I use 5 second data rather than > > tick data. I think IB only sends tick data three times a second so 5 > > second data may be more accurate. > > > > > > > > > > --- In [email protected], "nizar.mahri@" <nizar.mahri@> wrote: > > > > > > Hi Brian, > > > > > > Let me explain further. > > > > > > What Im looking to do is trade high volume breakouts. > > > So the entry is just a mix of HHV, %increase, UpBar, Increase in volume, > > > and sufficient liquidity. > > > So if previous bar criteria meets the above, i buy on the next bar open. > > > I have backtested this using Daily bars. > > > > > > Though the strategy is profitable, on the majority of occassions, a > > > considerable chunk of the move happens in that first bar (between the > > > initial breakout maybe and the close ie. in the first few hours) > > > > > > So what Im trying to do here is, instead of waiting for the close, and > > > entering tomorrow, I want to buy AS SOON AS the current bar (daily) meets > > > the requirements for %change, liquidity, volume, HHV, etc. ie. Mid-bar. > > > > > > So ideally I would want to auto-run an exploration every 30-60seconds, > > > for example, and each time the scan catches a stock in which todays bar, > > > treating the LAST price as the close, meets my criteria, then I enter > > > right then and there, or as soon as practicable. > > > > > > Hope that makes it clearer. > > > > > > Thanks. > > > > > > Nizar. > > > > > > --- In [email protected], "brian_z111" <brian_z111@> 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); > > > > > > > > > > > > > > > > > > > > >
