Thanks Brian.
--- In [email protected], "brian_z111" <brian_z...@...> wrote:
>
> 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_z111@> 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);
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
