Mike, First I want to thank you for your detailed answer and all the help you have given me.
I think that I understand what you are saying but I will have to ponder it some more. I gather that the loop is the culprit by allowing the highs and lows to gather information. So am I correct in saying that even a simple moving average crossover would not have a future leak, but if I included the crossover in a loop and identified all the crossovers it would then be considered a leak and backtesting should be forbidden? Again thank you very much for your help and I look forward to reading more of your informative posts. Sorry to drag this thread out, but it was well worth it to me. :) --- In [email protected], "Mike" <sfclimb...@...> wrote: > > Booker, > > Sounds like the code is fine for your intended usage (i.e. dynamically > changing chart for reference during live trading, with the understanding that > the labels will jump around as new data comes in). > > AmiBroker's check for future leaks is limited. It cannot possibly analyze all > your logic to see how values are being used. > > The reason that it's a future leak, and thus cannot be backtested in its > current form, is that you have looked all the way to the last bar and > produced some statistics (i.e. number of highs, lows) based on the > information found in those bars. > > You then proceed to use those statistics at earlier bars (i.e. starting loop > over again) where the computed statistics could not possibly have been known > had it not been for the fact that you were able to look ahead. > > Bar indexes in AmiBroker start at 0. The index of each subsequent bar is > increased by one. A bar's index never changes. Bar 5 will always be bar 5, > then, now and in the future. > > With that in mind, and using your example; 495 trading days ago, when the > current bar was then 5, you would not have been able to count forward to bar > 500 (it didn't exist yet). Thus, today, at bar 500, you must not use bar 500 > info when backtesting bar 5. > > Your code has a value for highs and for lows. Any reference to these values, > in the context of any bar before the last bar, is a future leak. > > Backtesting implies entry/exit rules. So, for example, if your code had a Buy > rule at HH3. You would have two problems: > > 1. The code would never backtest the same way twice since new bars would > cause changing location of HH3. > 2. HH3 can only be determined by looking forward to see where HH1 and HH2 > are, which can not be done in real life. > > In summary; For any given bar, you must not use any values that were > calculated from bars that came after the given bar. To do so is to introduce > a future leak. Future leaks are fine for charting. They are dangerous for > backtesting. > > Mike > > --- In [email protected], "booker_1324" <booker_1324@> wrote: > > > > What I am trying to do is use the last 3 or 4 of the highs and lows along > > with BarsSince of the last low to produce a pattern for trading, and yes I > > need for the highs and lows to change accordingly as price and time changes. > > > > I fail to see the relevance of bar 5 if today's bar is 500 to determine a > > future leak as I am only using the last 3 or 4 of the highs and lows for a > > pattern. > > > > The code that I have now does not report a future leak in Code Check so I > > will proceed with using Scan and Expore to aid in RT as the pattern > > develops. > > > > I had not planned on backtesting but since you brought it up; I would like > > to know why using a limited number of bars to fit a pattern of highs and > > lows can be a future leak. I thought I knew what a future leak is but I am > > not so sure anymore. If this pattern showed up on bar 5, it would have to > > be back in time and was probably bar 500 at that time. As time progressed > > and it became bar 5 then I would be looking at bar 500 now and it would not > > be relevant to the pattern. So I would be grateful if someone would take > > the time to explain it to me. > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > "Using the value of highs" for what? > > > > > > If all you want to do is chart, then go for it. The chart will look fine. > > > It just won't look the same! It will constantly update as new bars come > > > in. > > > > > > If you want to use it for discretionary trading *with the understanding* > > > that the signals you're trading will get revised as more data comes in. > > > Fine. > > > > > > But, if you want to run a backtest, you cannot use the values. Full stop. > > > No way around it. > > > > > > If at any bar you find yourself making use of information based upon > > > later bars, then you've got a future leak and your implementation is only > > > good for charting. It cannot be traded, and any backtest would be > > > meaningless. > > > > > > For example; At bar 5 you *cannot* be allowed to know that the last swing > > > high takes place on bar 500. So, yes, I see something wrong with using > > > the values after the loop. > > > > > > Finally, using BarsSince is fine. Just so long as you don't reference any > > > of its values beyond the current bar. > > > > > > Mike > > > > > > --- In [email protected], "booker_1324" <booker_1324@> wrote: > > > > > > > > Hi Mike, > > > > > > > > Using your code > > > > > > > > ... > > > > if (bigHigh[bar]) { > > > > lookingForHigh = false; // now looking for low > > > > PlotText("HH" + highs, bar, High[bar], colorGreen); > > > > highs++; > > > > } > > > > ... > > > > > > > > Do you see anything wrong with using the value of highs after the loop > > > > as the last swing high and (highs -1) as the second to last swing high > > > > and > > > > (highs -2) as the third last swing high and doing the same with lows? > > > > > > > > Also, is it feasible to use BarsSince(low)? > > > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > > > Sure, just initialize a variable to track the number of highs then > > > > > use PlotText to write out the count. Do the same for lows. > > > > > > > > > > e.g. (untested) > > > > > > > > > > highs = 1; > > > > > > > > > > ... > > > > > if (bigHigh[bar]) { > > > > > lookingForHigh = false; // now looking for low > > > > > PlotText("HH" + highs, bar, High[bar], colorGreen); > > > > > highs++; > > > > > } > > > > > ... > > > > > > > > > > Mike > > > > > > > > > > --- In [email protected], "booker_1324" <booker_1324@> wrote: > > > > > > > > > > > > Nice code Mike, to take this a step farther, is it posible to > > > > > > attach a label to each HHV and LLV such as HH1, HH2, HH3, LL1, LL2, > > > > > > and LL3 without referencing future quotes? > > > > > > > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > > > > > > > What makes you think that you are changing the step size? From > > > > > > > what I see, you're still advancing a single bar at a time. > > > > > > > > > > > > > > bigHigh = high >Ref (hhv(high,50),-1); > > > > > > > smallLow = low < Ref (llv(low,50),-1); > > > > > > > lookingForHigh = true; > > > > > > > > > > > > > > for (bar = 0; bar < BarCount; bar++) { > > > > > > > if (lookingForHigh) { > > > > > > > if (bigHigh[bar]) { > > > > > > > lookingForHigh = false; // now looking for low > > > > > > > } > > > > > > > } else { > > > > > > > if (smallLow[bar]) { > > > > > > > lookingForHigh = true; > > > > > > > } > > > > > > > } > > > > > > > } > > > > > > > > > > > > > > Mike > > > > > > > > > > > > > > --- In [email protected], "Markus Witzler" <funnybiz@> > > > > > > > wrote: > > > > > > > > > > > > > > > > Hello, > > > > > > > > > > > > > > > > I wonder if I can step thru a loop where the step size is being > > > > > > > > computed WITHIN the loop. > > > > > > > > > > > > > > > > An example: > > > > > > > > > > > > > > > > I want the loop to check for every bar until high >Ref > > > > > > > > (hhv(high,50),-1). > > > > > > > > > > > > > > > > From THAT bar on, the loop should check if low < Ref > > > > > > > > (llv(low,50),-1) occured. > > > > > > > > > > > > > > > > Say, the first condition is true on bar 50, the loop should > > > > > > > > afterwards start to check for the second ccondition from bar 51 > > > > > > > > until that condition is fullfilled, say on bar 80. > > > > > > > > > > > > > > > > From THAT bar on, it again should check for the first condition > > > > > > > > etc. > > > > > > > > > > > > > > > > The thing is that I can´t tell the loop the step size in > > > > > > > > ADVANCE and it may differ over the whole data range, depending > > > > > > > > on WHEN the condition beign checked for is true. > > > > > > > > > > > > > > > > Any ideas on this? > > > > > > > > > > > > > > > > Thanks > > > > > > > > > > > > > > > > Markus > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
