Hi Matthias
Some time ago I was working on the same problem. The solution I have come
across is as following:
1) use #include command in the main code
2) inside the #include function do like this (of course all is just an example
which will need adjustment to your needs):
a) function(parameter1, parameter2,...,timeframe,...,parameterN)
{
switch (timeframe)
{
case 60: TimeFrameSet(inHourly); break;
case 15: TimeFrameSet(in15Minute); break;
case 5: TimeFrameSet(in5Minute); break;
default: break;
}
//here comes the calculations of channels, threshold,
averages, oscillator, etc, everything you need to obtain
signals' conditions
TimeFrameRestore();//AGAIN - it is just an example, by the way - sorry
for illegable layout
switch (timeframe)
{
case 60: channel1=TimeFrameExpand(chan1,inHourly,expandLast);
channel2=TimeFrameExpand(chan2,inHourly,expandLast);
oscillator1=TimeFrameExpand(osc1,inHourly,expandLast);
break;
case 15: //the logic of code the same as above...
break;
case 5: //as above
break;
default: channel1=chan;
channel2=chan2;
oscillator1=osc2;
break;
}
//here comes the buy/sell/cover/short/stop conditions and
position sizing, etc
}
Although using #include results in slower code exection, it is a kind of idea
to handle different timeframes system backtest, so I hope that even if it does
not help directly, it will at least inspire you to find your own solution.
Regards
Tomasz
--- In [email protected], "Matthias" <meridian...@...> wrote:
>
> Hi,
>
> thanks to the contribution of Ed Pottasch, supported by Bruce, I was able to
> dig a little deeper into Amibroker coding. Everybody who is interested in
> applying multiple systems on the same underlying simultaneously should look
> here, great piece of work:
> http://finance.groups.yahoo.com/group/AmiBroker-at/message/5349
>
> Thanks Ed, thanks Bruce.
>
> Unfortunately, I stumbled across a couple of questions when backtesting
> multiple systems across different timeframes, hope someone can help, sorry
> for the post being a bit lenghty.
>
> Both systems are traded on the same underlying, in order to make things
> easier for AB (Which is a bit strange) I used the same set of data, just
> renamed it. both systems operate on the same timeframe, say 15mins.
>
>
> Question 1:
>
> I use the same variable "percentrisked" for both systems. Wanted to optimize
> for percent risked (only!, this is NOT shown in the example below), so to say
> capital allocated to each system for the smoothest equity curve, AB keeps
> crashing... Can I use the same variable name in each sub-section or are there
> limits? should I dedicated "percentrisked1" to system1 and "percentrisked2"
> to system2 only? I am not a programmer, but for my understanding, both
> variables are local, so AB should not be crashing...?
>
> Is using "Setoption" in this context appropriate or would it result in wrong
> values?
>
> if(Name()=="DAX_CFD_day1")
> {
> percentrisked=2.0;
> factor=Optimize("ATR-Factor",8.5,3,12,0.5);
> number=(percentrisked)/(ATR(14)*factor)*20;
> SetPositionSize(number, spsPercentOfEquity);
> SetOption("commissionmode",3);
> SetOption("Commissionamount",1.2);
> SetOption("AllowSameBarExit",True);
> SetOption("ActivateStopsImmediately",True);
>
> .....systemlogic here
> }
>
> if(Name()=="DAX_CFD_day")
> {
>
> percentrisked=Optimize("Bolli",0.6,0.5,1,0.1);
> sl=2;//Optimize("sl",2,2,2.5,0.5);//good:6
> number=(percentrisked/(Ref(ATR(14),-1)*sl))*20;
> SetPositionSize(number, spsPercentOfEquity);
> SetOption("commissionmode",3);
> SetOption("Commissionamount",1.2);
> SetOption("AllowSameBarExit",True);
> SetOption("ActivateStopsImmediately",True);
> SetOption("FuturesMode",True);
> SetTradeDelays(1,1,1,1);
> Equity(1);
>
> ... systemlogic here
> }
>
>
> Question 2:
>
> Both systems above use 15min timeframe. Another system is using 1hr timeframe
> and is trading FX. I was not able to re-write the logic so that I could
> backtest the 3 systems with AA settings 15min timeframe. Any ideas? I do have
> about 8 systems, lowest timeframe is 5min, highest timeframe 4hrs. That would
> require a lot of "re-writing"... Am I alone with my "I have too many-systems"
> Problem or am I missing somehting?
>
> original logic in 1hr timeframe:
>
> percentrisked=0.007;
> sl=4.5;
> tp=2.5;
>
> number=((percentrisked)/(Ref(ATR(14),-0)*sl));
> SetPositionSize(number,spsPercentOfEquity);
>
> SetOption("maxopenpositions",1);
>
>
> CCIperiod=Optimize("CCI",36,34,40,1);
> CCIthreshold=optimize("CCIthres",89,88,96,1);
>
> MAperiod=Optimize("maperiod",7,6,8,1);
>
> MA1= MA(C,MAperiod);
> MA2= MA(Ref(C,-2),MAperiod);
>
> CCIshort=CCI(CCIperiod)>=ccithreshold;
> CCIbuy= CCI(CCIperiod)<=-CCIthreshold;
>
> Buyok=Ref(CCIbuy,-1) AND Cross(MA1,MA2);
> Sellok=CCIshort;
> Shortok=Ref(CCIshort,-1) AND Cross(MA2,MA1);
> Coverok=CCIbuy;
>
> timestart=020000;
> window=170000
> Check=timestart+window;
> timeok=TimeNum()>=timestart AND TimeNum()<=Check;
>
> Buy= Buyok AND timeok;
> Sell= Sellok;
> Short= Shortok AND timeok;
> Cover= Coverok;
>
> ApplyStop(stopTypeLoss,stopModePoint,sl*ATR(14)); //9
> ApplyStop(stopTypeProfit,stopModePoint,tp*ATR(14)); //1.2
>
> Equity(1);
>
>
>
>
> System2:
>
> percentrisked=0.007;
> sl=4.5;
> tp=2.5;
>
> SetOption("maxopenpositions",1);
>
> CCIperiod=Optimize("CCI",36,34,40,2);
> CCIthreshold=Optimize("CCIthres",97,88,96,2);
>
> MAperiod= Optimize("maperiod",7,7,9,1);
>
> TimeFrameSet(inHourly);
> MA1= MA(C,MAperiod);
> MA2= MA(Ref(C,-0),MAperiod);
> CCIhr= CCI(CCIperiod);
> ATR1= ATR(14);
> TimeFrameRestore();
>
> number=((percentrisked)/(TimeFrameExpand(Ref(atr1,-0),inHourly)*sl));
> SetPositionSize(number,spsPercentOfEquity);
>
> CCIshort=TimeFrameExpand(CCIhr,inHourly)>ccithreshold;
> CCIbuy= TimeFrameExpand(CCIhr,inHourly)<-CCIthreshold;
>
>
> Crossup=Cross(TimeFrameExpand(MA1,inHourly),TimeFrameExpand(Ref(MA2,-2),inHourly));
> Crossdown=Cross(TimeFrameExpand(Ref(MA2,-2),inHourly),TimeFrameExpand(MA1,inHourly));
>
> Buyok=Ref(CCIbuy,-5) AND Crossup;
> Sellok=CCIshort;
> Shortok=Ref(CCIshort,-5) AND Crossdown;
> Coverok=CCIbuy;
> timestart=20000;
> window=170000;
> Check=timestart+window;
> timeok=TimeNum()>=timestart AND TimeNum()<=Check;
>
>
> Buy=Buyok AND timeok;
> Sell= Sellok OR CCIexit;
> Short= Shortok AND timeok;
> Cover= Coverok OR CCIexit;
>
> ApplyStop(stopTypeLoss,stopModePoint,sl*TimeFrameExpand(Ref(ATR1,-1),inHourly));
>
> ApplyStop(stopTypeProfit,stopModePoint,tp*TimeFrameExpand(Ref(ATR1,-1),inHourly));
>
>
> Equity(1);
>
> Thanks a lot for your suggestions,
>
> Matthias
>
