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Hello Anthony and Markus,
yes, there is a difference between the two
coding techniques. However, both coding techniques may sometimes produce
conflicting (i.e., ambiguous)
signals on exactly the same trading day. Please be advised that this is related
and inherent to the particular design of the setup of that "trading
system" but not to the programming code itself!
Now, I exemplarily refined my previously
presented programming example and furthermore, I also included various
comments explaining the details of the following code and its underlying
fundamentals.
Hopefully that solves how to program your
trading problem with my little coding example (see below)!
Best regards,
Udo
Coding
Example:
/*
In this programming example, the first 2 conditions for purchasing and
selling a stock are more specific than the latter two buying and selling
statements. For this reason, the last two statements obtain more general results
and therefore more stocks!
The first two purchasing and selling conditions only search for those stocks
whose current high value is actually higher than the most recent high-price
data, and whose current low value is indeed lower than the prices obtained until
fairly recently. However, the last two statements additionally(!) search for
rather "flat" stock-price data, which means that their highest or lowest
stock-price figures have not changed substantially over a given period of
time.
Note that a large database containing at least 2000 stocks normally yields
enough candidates for further investigation when utilizing this programming code
over the most recent 30-50 trading days, for example!
Remark: In a similar way, it is straightforward to apply the same ideas of
this programming code to differing conditions for shorting and covering a stock.
The only requirement is then to exchange the corresponding names of the lvalues
standing on the left side of the 4 buying and selling assignments.
*/<FONT
face="Courier New" color=#009300 size=1>
// The AFL library functions HHV() and LLV() also consider the current bar
plus the preceding bars. Here are 2 different possibilities to code the task for
finding the highest or lowest stock-price value over a given period of time but
with totally differing trading objectives!
// Note that the periods are (24 + 1) and (9 + 1) bars in the 1st and 2nd
statement and similarly, we consider 25 and 10 bars in the 3rd and 4th
statement, respectively.
// Note also that the results of the following two different sets of buying
and selling terms commonly do not yield identical results:<FONT
face="Courier New" color=#00008b size=1>
purchase = <FONT face="Courier New" color=#800080
size=1>Ref<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#800080
size=1>HHV<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>high,
24<FONT
face="Courier New" color=#00008b size=1>), -<FONT face="Courier New"
color=#ff00ff size=1>1)
< <FONT face="Courier New" color=#ff6820
size=1>high;
sold = <FONT face="Courier New" color=#800080
size=1>Ref<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#800080
size=1>LLV<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>low,
9<FONT
face="Courier New" color=#00008b size=1>), -<FONT face="Courier New"
color=#ff00ff size=1>1)
> low<FONT
face="Courier New" color=#00008b size=1>;<FONT face="Courier New"
color=#ff6820 size=1>
buy =
HHV<FONT
face="Courier New" color=#00008b size=1>(<FONT face="Courier New"
color=#ff6820 size=1>high<FONT face="Courier New" color=#00008b
size=1>, 25<FONT
face="Courier New" color=#00008b size=1>) == <FONT face="Courier New"
color=#ff6820 size=1>high<FONT face="Courier New" color=#00008b
size=1>;
sell =
LLV<FONT
face="Courier New" color=#00008b size=1>(<FONT face="Courier New"
color=#ff6820 size=1>low<FONT face="Courier New" color=#00008b
size=1>, 10<FONT
face="Courier New" color=#00008b size=1>) == <FONT face="Courier New"
color=#ff6820 size=1>low<FONT face="Courier New" color=#00008b
size=1>;
// In some situations, the aforementioned 2 different buying and selling sets
can produce conflicting signals on the same trading day! Such conflicting
signals are ambiguous and should therefore always be avoided when designing a
robust and unambiguous trading system:<FONT face="Courier New"
color=#00008b size=1>
ambiguous = purchase <FONT face="Courier New" color=#ff6820
size=1>AND sold
AND<FONT
face="Courier New" color=#00008b size=1> <FONT face="Courier New"
color=#ff6820 size=1>buy<FONT face="Courier New" color=#00008b
size=1> <FONT face="Courier New" color=#ff6820
size=1>AND
sell<FONT
face="Courier New" color=#00008b size=1>;<FONT face="Courier New"
color=#ff6820 size=1>
filter =
ambiguous;
AddColumn<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>high,
"high"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.4<FONT face="Courier New"
color=#00008b size=1>);
// Here is the 1st set of the purchasing and selling
conditions:
AddColumn(purchase,
"purchase"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.0<FONT face="Courier New"
color=#00008b size=1>);<FONT face="Courier New" color=#800080
size=1>
AddColumn(sold,
"sold"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.0<FONT face="Courier New"
color=#00008b size=1>);
// Now we render the 2nd set of the aforementioned buying and selling
conditions:
AddColumn<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>buy,
"buy"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.0<FONT face="Courier New"
color=#00008b size=1>);<FONT face="Courier New" color=#800080
size=1>
AddColumn<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>sell,
"sell"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.0<FONT face="Courier New"
color=#00008b size=1>);
// The following textual and background colors may illustrate the occurrences
of ambiguous signals in further details:<FONT face="Courier New"
color=#00008b size=1>
textColor = <FONT face="Courier New" color=#800080
size=1>IIF(ambiguous ==
true<FONT
face="Courier New" color=#00008b size=1>, <FONT face="Courier New"
color=#ff6820 size=1>colorRed<FONT face="Courier New" color=#00008b
size=1>, <FONT face="Courier New" color=#ff6820
size=1>colorDefault<FONT face="Courier New" color=#00008b
size=1>);
backgroundColor = <FONT face="Courier New" color=#800080
size=1>IIF(ambiguous ==
true<FONT
face="Courier New" color=#00008b size=1>, <FONT face="Courier New"
color=#ff6820 size=1>colorLightYellow<FONT face="Courier New"
color=#00008b size=1>, <FONT face="Courier New" color=#ff6820
size=1>colorDefault<FONT face="Courier New" color=#00008b
size=1>);
AddColumn<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>filter,
"filter"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.0<FONT face="Courier New"
color=#00008b size=1>, textColor, backgroundColor);
<BLOCKQUOTE
>
-----Ursprüngliche Nachricht-----
<DIV
>Von:
IVA GmbH
An: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Gesendet: Freitag, den 21. Februar 2003
23:43 Uhr
Betreff: Re: [amibroker] Writing a
"trading system"
Hi Udo,
testing your code in explore mode with Comp-I, I
got on some days all for conditions to be 1.
That can´t mean that I simultaneously buy, sell,
cover AND short all on the same day, right?
But WHAT does in mean???
Markus
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=Udo.Harke@xxxxxxxxxxx
href="">Udo.Harke@xxxxxxxxxxx
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, February 21, 2003 10:02
PM
Subject: [amibroker] Writing a "trading
system"
Hi Mr. IVA GMBH,
this is what you really want to
do:
<FONT face="Courier New" color=#009300
size=1>
// The AFL library functions HHV() and LLV() consider the current bar as
well as the preceding ones and
// therefore you must(!) use the equal to operator, ==:<FONT
face="Courier New" color=#00008b size=1><FONT face="Courier New"
color=#ff6820 size=1>
buy =
HHV<FONT
face="Courier New" color=#00008b size=1>(<FONT face="Courier New"
color=#ff6820 size=1>high<FONT face="Courier New" color=#00008b
size=1>, 25<FONT
face="Courier New" color=#00008b size=1>) == <FONT
face="Courier New" color=#ff6820 size=1>high<FONT
face="Courier New" color=#00008b size=1>;<FONT
face="Courier New" color=#ff6820 size=1>
sell =
LLV<FONT
face="Courier New" color=#00008b size=1>(<FONT face="Courier New"
color=#ff6820 size=1>low<FONT face="Courier New" color=#00008b
size=1>, 10<FONT
face="Courier New" color=#00008b size=1>) == <FONT
face="Courier New" color=#ff6820 size=1>low<FONT
face="Courier New" color=#00008b size=1>;<FONT
face="Courier New" color=#ff6820 size=1>
short =
LLV<FONT
face="Courier New" color=#00008b size=1>(<FONT face="Courier New"
color=#ff6820 size=1>low<FONT face="Courier New" color=#00008b
size=1>, 25<FONT
face="Courier New" color=#00008b size=1>) == <FONT
face="Courier New" color=#ff6820 size=1>low<FONT
face="Courier New" color=#00008b size=1>;<FONT
face="Courier New" color=#ff6820 size=1>
cover =
HHV<FONT
face="Courier New" color=#00008b size=1>(<FONT face="Courier New"
color=#ff6820 size=1>high<FONT face="Courier New" color=#00008b
size=1>, 10<FONT
face="Courier New" color=#00008b size=1>) == <FONT
face="Courier New" color=#ff6820 size=1>high<FONT
face="Courier New" color=#00008b size=1>;<FONT face="Courier New"
color=#009300 size=1>
// This filter is very convenient for the exploration
mode:
filter =
buy<FONT
face="Courier New" color=#00008b size=1> <FONT face="Courier New"
color=#ff6820 size=1>OR<FONT face="Courier New" color=#00008b
size=1> <FONT face="Courier New" color=#ff6820
size=1>sell
OR<FONT
face="Courier New" color=#00008b size=1> <FONT face="Courier New"
color=#ff6820 size=1>short<FONT face="Courier New" color=#00008b
size=1> <FONT face="Courier New" color=#ff6820
size=1>OR
<FONT face="Courier New" color=#ff6820
size=1>cover<FONT face="Courier New" color=#00008b
size=1>;
// Now you can see more data of a chosen stock received from the first
filter:
// filter = 1;<FONT face="Courier New" color=#00008b
size=1>
AddColumn<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>buy,
"buy"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.0<FONT face="Courier New"
color=#00008b size=1>);<FONT face="Courier New" color=#800080
size=1>
AddColumn<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>sell,
"sell"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.0<FONT face="Courier New"
color=#00008b size=1>);<FONT face="Courier New" color=#800080
size=1>
AddColumn<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>short,
"short"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.0<FONT face="Courier New"
color=#00008b size=1>);<FONT face="Courier New" color=#800080
size=1>
AddColumn<FONT face="Courier New" color=#00008b
size=1>(<FONT face="Courier New" color=#ff6820
size=1>cover,
"cover"<FONT
face="Courier New" color=#00008b size=1>, format = <FONT
face="Courier New" color=#ff00ff size=1>1.0<FONT face="Courier New"
color=#00008b size=1>);
Have fun IVA!
Best regards,
Udo
<BLOCKQUOTE
>
-----Ursprüngliche Nachricht-----
<DIV
>Von:
IVA GmbH
An: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Gesendet: Freitag, den 21. Februar
2003 17:36 Uhr
Betreff: [amibroker] Writing a
"trading system"
Hello,
I´m trying to write a simple trading system
to get my feet wet with AB´s backtest ability.
I want to buy when the high is higher than
the highest high of the last 25 days and sell and the low is lower then
the last 10 days.
On the short side, I want to short when the
low is lower than the lowest low ofthe preceeding 25 days and cover the
position when the high is higher than the highest high ofthe last 10
days.
Why does this NOT work:
Buy=<FONT
face="Courier New" color=#000000>High<FONT face="Courier New"
color=#6600aa>><FONT face="Courier New"
color=#0000ff>HHV<FONT face="Courier New"
color=#6600aa>(<FONT face="Courier New"
color=#000000>High<FONT face="Courier New"
color=#6600aa>,<FONT face="Courier New"
color=#ff00ff>25<FONT face="Courier New"
color=#6600aa>);
Sell=<FONT
face="Courier New" color=#000000>Low<FONT face="Courier New"
color=#6600aa><<FONT face="Courier New"
color=#0000ff>LLV<FONT face="Courier New"
color=#6600aa>(<FONT face="Courier New"
color=#000000>Low<FONT face="Courier New"
color=#6600aa>,<FONT face="Courier New"
color=#ff00ff>10<FONT face="Courier New"
color=#6600aa>);
Short=<FONT
face="Courier New" color=#000000>Low<FONT face="Courier New"
color=#6600aa><<FONT face="Courier New"
color=#0000ff>LLV<FONT face="Courier New"
color=#6600aa>(<FONT face="Courier New"
color=#000000>Low<FONT face="Courier New"
color=#6600aa>,<FONT face="Courier New"
color=#ff00ff>25<FONT face="Courier New"
color=#6600aa>);
Cover=<FONT
face="Courier New" color=#000000>High<FONT face="Courier New"
color=#6600aa>><FONT face="Courier New"
color=#0000ff>HHV<FONT face="Courier New"
color=#6600aa>(<FONT face="Courier New"
color=#000000>High<FONT face="Courier New"
color=#6600aa>,<FONT face="Courier New"
color=#ff00ff>10<FONT face="Courier New"
color=#6600aa>);Post AmiQuote-related
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