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Rick,
Thanks for your feedback. I am aware that if there is no data for a
particular time, the composite may not work too well depnding on
number of data available... One can compensate somewhat by counting
the number of stocks processed and devide the available data by the
count so there is a normalization process, as long as the count
remains fairly high - 80% + of its maximum. I have not yet tried to
compendate for missing data.
I normally operate at 5 min. bars and put the scanner in autoscan
mode to contimuously scan every few minutes.
I use the results only as a visual aid, so some inacuracies due to
missing data is not critical and as long as the indeces monitored are
fairly active, I think it should be OK.
Operating at 1 minute intervals however can cause some problems as
lots of data can be missing from a 1 minute bar.
Ara
--- In amibroker@xxxx, "Rick Parsons" <RickParsons@xxxx> wrote:
> Ara,
> It is good you are finding Composites with RT useful. There are
some things I found out about RT composites that one should be aware
of. If I am wrong on any of these points, please let me know.
>
> Composites on EOD data are usually done as follows: At end of day,
download EOD data, run scan to build the composite, then run the
trading system. This works fine since we have plenty of time, there
is only one new bar of data.
>
> In RT, one has 1, 5, 15 minute bars etc. Now this is a different
ballgame. What can happen is that you may scan the 10:45am bar.
When the scan is complete, there may now be an new 10:50am bar. So
you run your AFL system code on the 10:50am bar which does not have a
Composite for that time period.
>
> I have tried to build and read the composite and execute the
trading system based on this composite at the same time. In other
words I did not do a scan first to build the composite, then run my
trading system. I tried to do both at the same time. I does work to
some extent but there are pitfalls to be aware of.
>
> One has to be aware of these little nuances.
>
> Rick
> -----Original Message-----
> From: akaloustian [mailto:ara1@x...]
> Sent: Monday, October 21, 2002 12:50 PM
> To: amibroker@xxxx
> Subject: [amibroker] Tomasz - Suggestion
>
>
> I usually make my suggestions directly to Tomasz, but I thought
this
> forum would give every one an opportunity to add their comments...
>
> I am finding the copmposite CCI bull/bear pressure indicator
usefull
> for Real Time especially when used with $TICK.
>
> The limitation now is that we can run only one scan at a time.
>
> Would suggest to have a way of running the index as selected by
code,
> thus having the ability to run multiple indicators simultaneously.
>
> Example:
> Watchlist = $BTK;
> ATC routine
> Plot(ATC...)
>
> Watchlist = $SOX;
> ATC routine
> Plot(ATC...)
>
> etc
>
> Ara
>
>
>
>
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