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Ted,
You are right - I overlooked that.
(this doesn't change however anything said in my response)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Ted Chmilar" <tchmilar@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, April 19, 2002 2:28 AM
Subject: Re: [amibroker] Intraday entries
> 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/
> >
> >
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
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