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I would think that the sell statement should be... Sell = Low<Ref(Low,-1) ;
Ted
----- Original Message -----
From: "Yarroll" <komin@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, April 18, 2002 5:15 PM
Subject: RE: [amibroker] Intraday entries
> Thanks Tomasz for the answer.
>
> 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/
> >
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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