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I re-wrote the rules as you suggested... Unfortunately, the problem gets even weirder :-((
The formula now was:
Buy = High > Ref(High,-1);
Sell = Ref(Low,-1) < Low;
Short = Sell;
Cover = Buy;
and the picture describes the problem in detail. Sorry for the extra arrows, I don't know
how to remove them. But to the right of the chart you can see the list of trades and I
picked 4 days in a row to illustrate the problem - they're marked "1", "2", "3", "4" both
in the list of trades and in the chart.
Sorry for the colors, a green candle should be white, and blue candle=traditional black.
Let's have a look:
Day 1 - 02/1/24 - is a white candle. The open was below the previous day low which should
get me short; but, later, the market went all the way up - past previous day high - which
should get me reverse from short to long. But AmiBroker in the list of trades says only
"Short" for that day (1438.03) . Instead, I got long the next day (02/1/25) - a day which
doesn't even have a raw signal :-(( So it's impossible to have 2 signals for the same
day?
Day 2 - 02/1/25 - is this day which got me long following failure to do so the previous
day;
Day 3 - 02/1/28 is a huge black candle and - since the candle crossed below previous day
low (1443.06) I got short at that price. BUT, I also covered and went long that very same
day at 1482.44 so this time I got 2 signals the same day, unlike 02/1/24.
Day 4 - 02/1/29 - got me short at 1420.45, which shouldn't have happened as I should have
been short from the day before.
The problem here is that AmiBroker can't tell the sequence of these events? Like, Day 3
(02/1/28) is an outside day - the high is higher and the low is lower than the previous
day, but, since this is also a long black candle we assume that the high for the day came
first (so no need for the long signal, as the system was already long) and the low came
second (so, that day the system should have reversed to short).
Frankly I very much doubt that this is testable at all :-(( - at least, not with EOD data.
In case of an outside day we can only assume by the color of the candle which came first,
the low or the high. In fact prices could have traversed many times from high to low
within the body of the candle, producing multiple reversal signals. And in case of a doji
there's just no way to tell which came first, the high or the low.
Or, does AmiBroker make assumptions as to the sequence of highs or lows?
Also, why there can't be 2 signals for 02/1/24 ("1") but there are 2 signals for 02/1/28
("3")?
If indeed this system can't be tested with EOD data then is there a simple way to apply a
system to intraday data, and use a rule which would refer to previous _day's_ low/high?
Thanks for your patience, all the best
Yarroll
PS. Most surprising is, in spite of these disaster reversals the system still looks quite
good.
Sent: Thursday, April 18, 2002 10:23 PM
Subject: Re: [amibroker] Intraday entries
> Yaroll,
>
> This is due to the fact that you are using Cross function.
> I will refer to your original picture:
> Let's analyse "situation 1"
> On a day "1" a short signal occurred because Low crossed below Ref( Low, -1 )
> but note the High price was higher than previous day high (H>Ref( H, -1 ) );
>
> On the next day "day 2" you think that AmiBroker should generate an long entry
> ( H > Ref( H, -1 ) ) but it does not do that because there is NO CROSS here.
> High > Ref( H, -1 ) but also Ref( H, -1 ) > Ref( H, -2 ) !!!!
>
> Cross would generate a signal only if previous day relationship between prices
> was opposite.
>
> This happens where green arrow is shown.
>
> You need to modify your rule to:
> Buy = High > Ref(High,-1);
> Sell = Ref(Low,-1) < Low;
>
> if you want to work it in a way you described. (you may add Exrem statements if you
don't want to
> see extra arrows)
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> > ----- Original Message -----
> >From: "Yarroll" <komin@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Thursday, April 18, 2002 7:18 PM
> > Subject: [amibroker] Intraday entries
> >
> >
> > > Hello Group,
> > >
> > > I have run against another very disturbing problem lately trying to check if systems
> > > written in AFL can enter trades with entry prices other than Close, Open etc. known
from
> > > Metastock.
> > >
> > > I have used the simplest system I could think of which buys when price crosses above
> > > Ref(High,-1) and goes short when it crosses below Ref(L,-1), please find the formula
> > > below. The problem is, Amibroker would take only some trades and wouldn't touch the
> > > others :-(( Please see the attached .gif with 2 such situations described.
> > >
> > > Do I get it all wrong? Or something wrong with the formula? Please help...
> > > Thanks,
> > > Yarroll
> > >
> > > PS. I tried to trim the size of the gif, I got it as low as I could, sorry if it's
still
> > > large at 14 KB.
> > >
> > > ***
> > >
> > >
> > > BuyStop =Ref(High,-1);
> > > SellStop = Ref(Low,-1);
> > >
> > > Buy = Cross( High, Ref(High,-1) );
> > > Sell = Cross( Ref(Low,-1), Low);
> > > Short = Cross( Ref(Low,-1), Low);
> > > Cover = Cross( High, Ref(High,-1));
> > >
> > > BuyPrice = Max( BuyStop, Low );
> > > SellPrice = Min( SellStop, High );
> > > CoverPrice = Max( BuyStop, Low );
> > > ShortPrice = Min( SellStop, High );
> > >
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
> > >
> > >
> >
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
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