|
PureBytes Links
Trading Reference Links
|
Dennis,
No problem, glad that you worked it out.
I was just in the middle of writing the response that everything works fine ;-)
I have just noticed some minor things:
SP file has data from Jan 3, 2000 upto Aug 15, 2001
while Adv file has data from Dec 27, 1999 upto Jan 9, 2002
and the last bars have :33 minutes (instead of :32 as remaining ones)
Due to the fact that last records of AdvDec are far beyond the last record
of SP it does not affect you but for sake of completness:
Note that Foreign function takes the most recent previous value
if it does not find exactly matching record in the "foreign" symbol.
So if you have hh:33 records in AdvDec and SP has hh:32 records
when you use Foreign("AdvDec") it will return previous hour bar value
when minutes in advdec ticker are greater than in sp ticker.
General reminder for all: please make sure also that you are selecting intraday periodicity
in the Settings dialog if you want to run backtests/explorations on
intraday data. By default the periodicity is set to End-of-day and it may
appear that AmiBroker shows end-of-day record when testing intraday data.
So make sure you have set correct periodicity in the settings.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Dennis Todd" <dtodd@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, April 30, 2002 5:05 PM
Subject: RE: [amibroker] Time sync "I apologize"
> Tomasz,
>
> Just shoot me ok! I had selected "use filter" which was causing the AA to
> use the NYSE and SP rather than selecting "current stock" for the SP of the
> group I had them in!
>
> Again I apologize Tomasz!
>
> Dennis Todd
>
> -----Original Message-----
> From: Tomasz Janeczko [mailto:amibroker@x...]
> Sent: Tuesday, April 30, 2002 9:39 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Time sync problems backtesting Intraday Data
>
>
> Dennis,
>
> You can send me the data file for examination -
> but I tested the file you have sent me last time and it worked fine.
> And to be sure that we are speaking about the same "problem":
> you state that intraday data from before 10:00 are imported without time
> so they are added as end-of-day, is it correct ?
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Dennis Todd" <dtodd@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, April 30, 2002 3:52 PM
> Subject: RE: [amibroker] Time sync problems backtesting Intraday Data
>
>
> > Tomasz,
> >
> > I did delete the old tickers. I deleted the SP and the NYSE Adv issues
> from
> > Amibroker and re-imported them into Amibroker using the Import Wizard.
> Same
> > problem! :-(
> >
> > Dennis Todd
> >
> > -----Original Message-----
> > From: Tomasz Janeczko [mailto:amibroker@x...]
> > Sent: Tuesday, April 30, 2002 8:35 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Time sync problems backtesting Intraday Data
> >
> >
> > Dennis,
> >
> > You have to DELETE your old imported data and re-import them. Remove
> tickers
> > completely
> > and re-import data.
> > Otherwise data imported WRONG previously (using previous AmiBroekr
> version)
> > will cause this problem.
> >
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "Dennis Todd" <dtodd@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Tuesday, April 30, 2002 2:47 PM
> > Subject: RE: [amibroker] Time sync problems backtesting Intraday Data
> >
> >
> > > Tomasz,
> > >
> > > I tried my test this morning after upgrading to version 4.0. The time
> sync
> > > problem still exists. It is still not properly synchronizing the times.
> If
> > I
> > > understand your last message properly, I do not have to change all of
> the
> > > 3-digit times to 4-digit, as you believe it to be fixed in version 4.0.
> > > Apparently I have another problem then, because I still cannot sync the
> > two
> > > files based on time values. I do have some 3-digit values, but you seem
> to
> > > indicate that version 4.0 fixes this.
> > >
> > > Would you clarify this? Thanks for all your great work!
> > >
> > > If you need the data that I have to test the problem again, please let
> me
> > > know and I will forward it to you!
> > >
> > > Thanks in Advance!
> > >
> > > Dennis Todd
> > >
> > > -----Original Message-----
> > > From: Tomasz Janeczko [mailto:amibroker@x...]
> > > Sent: Thursday, April 25, 2002 12:21 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: Re: [amibroker] Time sync problems backtesting Intraday Data
> > >
> > >
> > > Hello,
> > >
> > > I forgot to say that version 4.0 (to be released tommorrow) will address
> > > this.
> > >
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: "Tomasz Janeczko" <amibroker@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Thursday, April 25, 2002 7:03 PM
> > > Subject: Re: [amibroker] Time sync problems backtesting Intraday Data
> > >
> > >
> > > > Dennis,
> > > >
> > > > This is not the problem of intraday synchronization.
> > > > It is just ASCII importer that accepts only 4 digit time HHMM format.
> > > > Your data have 932 (3 digits) while importer expects 0932.
> > > >
> > > > Best regards,
> > > > Tomasz Janeczko
> > > > amibroker.com
> > > > ----- Original Message -----
> > > > From: "Dennis Todd" <dtodd@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Monday, April 08, 2002 3:13 AM
> > > > Subject: RE: [amibroker] Time sync problems backtesting Intraday Data
> > > >
> > > >
> > > > > Tomasz,
> > > > >
> > > > > Ok, I did as you asked, I have two data files(see attached), both
> with
> > > > > hourly data. I still get the same results. On a scan, backtest and
> > > report
> > > > > from AA there are dates with zero time and it uses those values for
> > > trading.
> > > > > The values it uses are from 932 in the morning, but the trade is for
> > the
> > > > > last one of the day. I tried to use a filter to check to make sure
> the
> > > time
> > > > > is not zero(I may not be using it correctly). The "report" from AA
> > shows
> > > > > that it is using those zero hour times as trading the last trade of
> > the
> > > > > day..
> > > > >
> > > > > I believe I have what you ask me to do.
> > > > >
> > > > > I have attached the afl, NYSE_adv and SP futures data.
> > > > >
> > > > > Thanks in advance!
> > > > >
> > > > > Dennis Todd
> > > > >
> > > > > -----Original Message-----
> > > > > From: Tomasz Janeczko [mailto:amibroker@x...]
> > > > > Sent: Sunday, April 07, 2002 3:01 PM
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > Subject: Re: [amibroker] Time sync problems backtesting Intraday
> Data
> > > > >
> > > > >
> > > > > Dennis,
> > > > >
> > > > > One fundamental thing: if one data set has only hourly data
> > > > > and another has 1-minute data it is not possible to get
> > > > > 1-minute data via Foreign() function from hourly data.
> > > > > AmiBroker can not "guess" missing information.
> > > > >
> > > > > To avoid such problems you should have the same periodicity
> > > > > for current symbol and the one used via Foreign() function.
> > > > >
> > > > > Best regards,
> > > > > Tomasz Janeczko
> > > > > amibroker.com
> > > > > ----- Original Message -----
> > > > > From: "Dennis Todd" <dtodd@xxxx>
> > > > > To: "AmiBrokerUserForum" <amibroker@xxxxxxxxxxxxxxx>
> > > > > Sent: Sunday, April 07, 2002 9:42 PM
> > > > > Subject: [amibroker] Time sync problems backtesting Intraday Data
> > > > >
> > > > >
> > > > > > Tomasz,
> > > > > >
> > > > > > I am seeing weird result using some intraday data for backtesting.
> > > > > >
> > > > > > I have two files:
> > > > > > 1. NYSE Advancing issues, hourly data, begins on ~9:32 every hour
> > > after
> > > > > that
> > > > > > till end of day. (125kbytes in size)
> > > > > > 2. S&P futures data, continuous contract, 1 minute tick, starts
> 9:31
> > > > > > everyday till 4:15. (7megbytes in size)
> > > > > >
> > > > > > see AFL attached for code.
> > > > > >
> > > > > > If I run the code, I end up with AB using an Advance Issue from
> 9:30
> > > at
> > > > > the
> > > > > > end of the day. For instance, the value 1179 shows up as the 9:30
> > > Advance
> > > > > > Issue close value on 1/3, but the Explore show using it at the end
> > of
> > > the
> > > > > > day.
> > > > > >
> > > > > > I can forward the S&P data to you if you want me to. Something
> isn't
> > > right
> > > > > > somewhere. Am I doing something wrong. It seems there is a
> > > synchronization
> > > > > > problem with the data. Or maybe AB can't sync 1-minute tick data
> and
> > > > > hourly
> > > > > > data. Seems it should be able to do that!
> > > > > >
> > > > > > Let me know if you want the 1 minute tickdata. I can forward to
> you,
> > > but
> > > > > is
> > > > > > 7meg in size.
> > > > > >
> > > > > > I look forward to your response.
> > > > > >
> > > > > > Thanks in Advance!
> > > > > >
> > > > > > Dennis Todd
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > 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/
> > > >
> > > >
> > > >
> > >
> > >
> > >
> > >
> > >
> > > 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/
> >
> >
> >
>
>
>
>
>
> 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/
>
>
>
|