Hi, use TimeFrameSet and TimeFrameRestore to calculate daily data!
Y -------------------------------------------------- From: "brian_z111" <[email protected]> Sent: Wednesday, May 27, 2009 6:11 AM To: <[email protected]> Subject: [amibroker] Re: Intrabar entries > 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); >> > > > > > >> > > > > >> > > > >> > > >> > >> > > > > > ------------------------------------ > > **** IMPORTANT PLEASE READ **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > TO GET TECHNICAL SUPPORT send an e-mail directly to > SUPPORT {at} amibroker.com > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > http://www.amibroker.com/feedback/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! 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