Hi Dennis, Not 100% sure what you mean... But what I do is actually just a simple collection of the Close for each higher TF. So if I for example want to calculate a 10 periods Moving Average for a 5 min TF, I collect the Close of each 5 min period for the last 10 times. Basically in 1 min chart interval, I step 5 bars collect Close value, and continue like that for 10 times.
Jorgen --- In [email protected], Dennis Brown <se...@...> wrote: > > 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" <sidhartha70@> > > 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 > > > > > > >
