Jorgen, Your data looks like your are using a trick I have been using for many years. I do the timeframe calculation for higher timeframes, but instead of aligning it on timeframe unit boundaries, I calculate it at every lowest timeframe boundary. It is a lot more calculations, but the results are continuous. It is like calculating a 10 bar MA on 10 minute bars by doing a 100 bar MA on 1 minute bars. This is good for some uses, but you lose the filtering effect of timeframe bars which is good for other uses.
BR, Dennis On Aug 14, 2009, at 7:11 AM, jorgen_wallgren wrote: > Hi there! > > You should be able to see one set of data here with Normal vs Hig > res data: > > http://smg.photobucket.com/albums/v325/wallgrenj/AmiBroker/?action=view¤t=Normal3TFvsNotNormal.jpg > > Regards, > > Jorgen > > --- In [email protected], "sidhartha70" <sidharth...@...> > wrote: >> >> Jorgen, >> >> Interesting discussion. >> I have to admit that I'm finding it difficult to visualize exactly >> what you are suggesting. Would you mind posting a screen shot >> somewhere that we can see as an example of how you are using time >> frames differently...? >> >> TIA >> >> --- In [email protected], "jorgen_wallgren" >> <jorgen.wallgren@> wrote: >>> >>> Thank you Tomasz and Dennis for your input and comments! First of >>> all, the classic future leak error is taken care of, but it's not >>> clear in the short code example I gave. Thank you! >>> >>> Then I agree with what you say Tomasz, and my solution is not what >>> we would call a normal multiple timeframe system. But that's also >>> the whole idea with it. Because as a day trader I basically want >>> to know what's going on every mS. I don't sit and wait for a 1, 5 >>> or 15 min bar to be completed before I take a decision. I look at >>> it and try to figure out where it's going. And here is where my >>> data sampling is created in such way it gives me continuous >>> timeframe data so I can tell with very high probability where the >>> price is heading. Then why waste chart space when all timeframe >>> data can be in the same chart! But to be clear and easy to >>> interpret, it then has to have the same resolution. >>> >>> The power of timeframes in day trading is when people using >>> different timeframes "start to agree" where the price should go- >>> and as a result you have high probability trades in front of you. >>> But it's of course more to it than that. :-) >>> >>> Regards, >>> >>> Jorgen >>> >>> --- In [email protected], "Tomasz Janeczko" <groups@> wrote: >>>> >>>> Hello, >>>> >>>> Thank you for your post. >>>> That kind of explanation of what you are after I was expecting >>>> and I am glad you posted it because >>>> now we can discuss facts not opinions. I was not expecting >>>> appologies, but just the information what you are after and you >>>> delivered >>>> it now. >>>> Thank you. >>>> >>>> To the matter - there seems to be some kind of misunderstanding >>>> what AmiBroker's built-in time frame functions >>>> are for. To make it straight - they are provided to build the >>>> systems based on many time intervals in exactly the same >>>> way as human would do, looking at 2 or more charts at the same >>>> time. >>>> Imagine you have the system that looks onto daily and weekly >>>> chart. That is exactly the purpose of time frame functions. >>>> So time frame functions allow you to get the "weekly" data from >>>> within "daily" chart. As in weekly chart, there is ONE >>>> open, ONE close, ONE high and ONE low PER WEEK. That is exactly >>>> what you would see on the weekly chart if >>>> you combined daily and weekly "by eye". >>>> Not only that, you will know weekly high/low and close values >>>> only when week has ended (on Friday close). >>>> And that is exactly how AmiBroker's timeframe functions work - >>>> they give you the value of higher timeframe >>>> at the bar when higher interval is completed. >>>> The manual >>>> http://www.amibroker.com/guide/h_timeframe.html >>>> gives example of so called "triple Elder screen" that combines >>>> signals generated in daily and weekly timeframes. >>>> >>>> What you are doing with your functions is different, you are not >>>> creating higher timeframe data at all. >>>> What you do is some gated data sampling. The following code will >>>> generate something like that, >>>> you will get upto 5 different "weekly" values per one week, >>>> instead of one, as you wanted: >>>> >>>> newframe = TimeFrameExpand( BarIndex(), inWeekly ); >>>> newframe = newframe != Ref( newframe, -1 ); >>>> >>>> SteppedHigh = HighestSince( newframe, High ); >>>> SteppedLow = LowestSince( newframe, Low ); >>>> >>>> Plot( SteppedHigh, "SteppedHigh", colorBlue ); >>>> Plot( SteppedLow, "SteppedLow", colorBlue ); >>>> Plot( C, "Price", colorBlack, styleCandle ); >>>> >>>> There are two caveats however: >>>> - such approach is not equivalent to "normal" mutiple timeframe >>>> system that only uses data from *completed* interval >>>> - as Dennis pointed out in his reply, such approach may very >>>> quickly lead to classic future leak error, >>>> because you may be using your "quick weekly" data before they are >>>> settled. >>>> >>>> (The above uses daily/weekly intervals for illustration purposes, >>>> but the same applies to any time frame). >>>> >>>> Best regards, >>>> Tomasz Janeczko >>>> amibroker.com >>>> ----- Original Message ----- >>>> From: "jorgen_wallgren" <jorgen.wallgren@> >>>> To: <[email protected]> >>>> Sent: Thursday, August 13, 2009 4:18 PM >>>> Subject: [amibroker] Re: TimeFrames: Is their use flawed? >>>> >>>> >>>> If I have offended you, I am sincerely sorry! AmiBroker is the >>>> best program available and I love working with it!!! Nothing wrong >>>> with AB!!! >>>> >>>> One of the reasons the TF Functions didn't do the job in my >>>> specific case was that my systems works with 1, 5 and 15 minute >>>> timeframes. In the chart I need to see (and save) all the values >>>> from all the TFs plotted with 1 minute resolution. Basically to >>>> plot the TF data as a staircase is probably the best way to >>>> display the results for easy viewing and it's actually often so >>>> that >>>> some TF values in a 1 minute resolutions often very closely >>>> follow a staircase pattern- such as a Moving Average. But the AB TF >>>> Functions gives me the last value for each period. I needed more. >>>> Now when I have all values in each period it reveals huge amount >>>> of information when the three time frames are plotted in one >>>> indicator with the same data resolution. For example instead of 1 >>>> value >>>> for a 15 minute period, I have now 15 values. >>>> >>>> Then I wouldn't like to go so far to prove my point by publish >>>> the work and system I have been working on for months. I have a >>>> system which seems to work rather well and I am sorry, but that >>>> one I will keep for myself. I could send anyone who wants a screen >>>> capture of the indicator with data from 3 TFs plotted. But such >>>> a screen capture could be faked. So I will instead give a short >>>> explanation how easy it is to create what I was looking for. And >>>> the reason it was easy to create, after I figured it out, was >>>> because AmiBroker is a great program with fantastic features. >>>> >>>> First of all, I use AB TF Functions to get the BarIndex in each >>>> TF. By having that I can tell when each TF has a new period, and >>>> any >>>> holes doesn't matter. Then I just go in a loop from first visible >>>> bar - as many bars I need extra, until end of the array. So in >>>> this loop when a new period is detected, I jump 1 step back and >>>> collect the values I need and the jump is equal to the TF I need >>>> data from. Here is a part of that code: >>>> if ( NewTFBar[i] ) >>>> { >>>> for ( n = i; Counter < Periods AND n >= 0 ; n-- ) >>>> { >>>> if ( NewTFBar[n] ) >>>> { >>>> SUMA = SUMA + Close[ n - 1 ]; >>>> if ( Counter < BBPeriods - 1 ) >>>> SUMB = SUMB + Close[ n - 1 ]; >>>> >>>> Counter++; >>>> } >>>> } >>>> Etc. >>>> I hope that settles it and again it's not my intention to talk >>>> bad about AmiBroker or to insult anyone. >>>> >>>> Regards, >>>> >>>> Jorgen >>>> >>>> >>>> >>>> --- In [email protected], "Tomasz Janeczko" <groups@> >>>> wrote: >>>>> >>>>> Hello, >>>>> >>>>> TimeFrame functions work perfectly. >>>>> You may not understand them but it is not the reason to send >>>>> such unjustified opinions. >>>>> >>>>> If you "wrote your own" why don't you publish your formulas so >>>>> everyone can judge? >>>>> Otherwise it is just plain useless talk. >>>>> >>>>> Best regards, >>>>> Tomasz Janeczko >>>>> amibroker.com >>>>> ----- Original Message ----- >>>>> From: "jorgen_wallgren" <jorgen.wallgren@> >>>>> To: <[email protected]> >>>>> Sent: Thursday, August 13, 2009 10:59 AM >>>>> Subject: [amibroker] Re: TimeFrames: Is their use flawed? >>>>> >>>>> >>>>>> Herman, I agree with you and I have the same questions. I have >>>>>> been working on a RT system using data from 2 additional time >>>>>> frames and the result was very clear! I can't use the AB >>>>>> TimeFrame Functions and get a system which works in real time >>>>>> and can >>>>>> also be properly be back tested. >>>>>> >>>>>> Therefore I wrote my own TimeFrame Function and now when I have >>>>>> the data from the 2 longer timeframes in the same resolution as >>>>>> my >>>>>> chart interval, 1 minute, everything works very well. >>>>>> >>>>>> Regards, >>>>>> >>>>>> Jorgen >>>>>> >>>>>> >>>>>> >>>>>> >>>>>> ------------------------------------ >>>>>> >>>>>> **** 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! Groups Links >>>>>> >>>>>> >>>>>> >>>>> >>>> >>>> >>>> >>>> >>>> ------------------------------------ >>>> >>>> **** 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! Groups Links >>>> >>> >> > > > > > ------------------------------------ > > **** 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! Groups Links > > >
