Odp: [amibroker] Intraday entries

["Yarroll" <komin@xxxx>]

Hello TJ, hello Group,




>
> /* in intraday mode */
>
> prev_day_low = ValueWhen( Day() != Ref( Day(), 1 ), LowestSince( Day() !=
> Ref( Day(), -1 ), Low ) );
> prev_day_high = ValueWhen( Day() != Ref( Day(), 1 ), HighestSince( Day() !=
> Ref( Day(), -1 ), Low ) );
>
>

Tomasz, you are a genius.
Thank you!



> > I think just about every kind of intraday entry would be affected :-((
> Take for example
> > ATR breakout entries, where the system buys when price crosses above the
> Open +
> > ref((ATR(X)*y),-1) and sells when it goes below Open-Ref((ATR(X)*y),-1),
> if there is a
> > pair of these signals there would always be the problem which came first
> :-((
> >
> > So no way to test intraday entries, just something "fixed for good" like
> the Open or the
> > Close?
>
> No I don't think so. You only get problems when BOTH enter short and enter
> long signals
> appear on the very same bar.
> But... this is really a problem with your trading system.
> The system SHOULD NOT give you simultaneous signals in OPPOSITE directions.
> This is equivalent to car driver that wants to turn left and right at the
> same time.
> Frankly speaking you should filter OUT such signals (be out of the market).


I think it's not just the question of filtering signals. If for example, a system goes
short intraday when prices cross below Open-ATR, there's still a chance they may reverse
and go all the way up to the value of Open+ATR. How would a system "know" that the first
signal should have been filtered out?

But, not all is lost ;-)) A system which just buys yesterdays high/sells yesterdays low
could be quite untestable with EOD data, as outside days do happen and happen often... Yet
it seems some systems are much less affected. For example, ATR breakout has sizably more
information as to the intraday price movement: signals typically come on large-bodied
candles with definite direction (black/white), so it's less likely to be misleading.
Anyway it took me a lot of scrolling to find false signals :-D

So, reliability of intraday entries may vary from system to system.
This is all purely theoretical to me, for I've been position-trading, closing prices only,
all my trading life. I was just wondering.

Thanks, all the best
Yarroll