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The point about using Amibroker to trade
the open on the next day was this:
Take a simple system you have in your
files and run a back test on it for a date range of your choice. (be sure and
have your settings = delay = 1, open). Look down the trade list and pick
any date where a position is taken and write that date down. Now pretend
that you are processing your data (assuming you are using EOD data) on the
night BEFORE the date you wrote down – trying to see what trades, if any,
you will have to set up for the next day. Now run a Scan or Explore and
tell me if you see any evidence of a trade for the next day? What do you
do to know that you need to put in an order?
d
<span
>-----Original Message-----
From: phsst
[mailto:phsst@xxxxxxxxx]
Sent: Tuesday, March 18, 2003
12:32 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Code
challenge - gurus on your toes!
<span
>
<span
><Dale, you have probably forgotten more about
system design than I<span
>
know but for what it is worth I do use delay=1 and
Price=Open for
evaluation and back testing in AA, although in
practice I seldom
actual buy the open. I have been burned too many
times by this fickle
market. Instead I wait 30 minutes to let the dust
settle. Interday I
plot actual signals based on high or low.
(delay=o)>
I don't target to trade Mkt OPEN either... but
prefer to trade Limit
or Stop orders based upon previous days price
action.
In the case of Buy Limit orders, I usually
determine the Limit price
from previous days Close, and to my surprise, I
very often get actual
executions at OPEN the following day which are
significantly less than
previous days close (my limit order) and have
experienced positive
trading system outcomes as a result (my primary
trading system is a
pullback system). Also, when this occurs it is not
unusual for the
OPEN to be the low for the day!
You can setup your backtest's for this condition,
and depending upon
your trading system you will observe backtest
results that mirror what
I have encountered in actual trades.
Logically, I thought that MM's would look at limit
orders at open and
take them out before gapping down, but that has
not been my actual
trading experience with these orders (either NYSE
or NASD).
My point is that while you may not want to trade
the OPEN with market
orders... the OPEN is not necessarily your enemy
either... it can be
your friend when your trading system picks out
pullbacks that are
close enough to exhaustion gaps which can be
exploited using Limit orders.
And as far as using Amibroker to signal trades
with delay = 1 and
Price = Open on the evening before the trade... here
is a code snipet
that should come close:
(b is the boolean BUY trigger variable)
b = BUY CONDITION SETUP
PctRisk = C - (L - 0.1) / C;
TargetPrice = HHV(C,10);
PctGain = (TargetPrice - C) / C;
b = b AND PctGain >= 0.12; //
At least 12% Profit potential
BuyPrice = Min(Ref(C,-1),O); // Lessor of Previous
Close or Todays open
b = b AND BuyPrice > L;
Buy = b;
That should do it, if I have not mis-understood
what you are asking for.
OR simply code BuyPrice = O;
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson"
<jcasavant@xxxx> wrote:
> Dale,
>
> Often I just guess <G>
>
> Help defines an array as....
> What is an Array?
>
> An array is simply a list (or row) of values.
In some books it may be
> referred to as a vector. Each numbered row of
values in the example
> represents an individual array. Amibroker has
stored in its database 6
> arrays for each stock. One for opening price,
one for the low price,
one for
> the high price, one for the closing price and
one for volume (see
the rows
> labeled 1-5 below) and one for open interest.
These can be
referenced in AFL
> as open, low, high, close, volume, openint or
o, l, h, c, v, oi.
>
> If you are referencing one of the 6 arrays or
making calculations
based on
> them then it is an array. In your
example you used Status to
determine what
> AB was doing (Scan, Explore etc) Since this
state is not stored nor
> calculated from the six arrays you must
use lastvalue() .
>
> " One more thing: Do you use Amibroker
to signal trades with delay =
1 and
> Price = Open? On the evening before the
trade do you use plots to
tell you
> to trade the next morning or do you use some
formula in the AA and run a
> Scan or Explore to tell you?"
>
> Dale, you have probably forgotten more about
system design than I
know but
> for what it is worth I do use delay=1 and
Price=Open for evaluation
and back
> testing in AA, although in practice I seldom
actual buy the open. I have
> been burned too many times by this fickle
market. Instead I wait 30
minutes
> to let the dust settle. Interday I plot
actual signals based on high
or low.
> (delay=o)
>
> Regards,
>
> jayson
>
>
>
>
>
>
>
> Jayson
> -----Original Message-----
> From: dingo [mailto:dingo@xxxx]
> Sent: Monday, March 17, 2003 4:23 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Code challenge -
gurus on your toes!
>
>
> Have I tried it? NO but looks like that is
the magic answer!!!
>
>
>
> I get totally wrapped around the axle to this
day on what is an
array and
> what is not an array.
>
>
>
> If you have the time could you explain how
this works at the
individual bar
> level? If not I understand and really
appreciate this!! It just
might help
> the little light go on in my head (yea,
right!).
>
>
>
> One more thing: Do you use Amibroker to
signal trades with delay = 1 and
> Price = Open? On the evening before the
trade do you use plots to
tell you
> to trade the next morning or do you use some
formula in the AA and run a
> Scan or Explore to tell you?
>
>
>
> Thanks Jason! You are great to be here
help us as much as you do!
>
>
>
> d
>
>
>
> -----Original Message-----
> From: Jayson [mailto:jcasavant@xxxx]
> Sent: Monday, March 17, 2003 3:56 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Code challenge -
gurus on your toes!
>
>
>
> Dale have you tried lastvalue(tmpdelay)
>
>
>
>
>
> tmpDelay = IIf(Status("action") ==
5, 1, 0);
>
> tmpdelay=LastValue(tmpdelay);
>
>
>
> I think this needs to be a fixed number..
>
>
>
> Jayson
>
> -----Original Message-----
> From: dingo [mailto:dingo@xxxx]
> Sent: Monday, March 17, 2003 3:41 PM
> To: _amibroker_yahoo
> Subject: [amibroker] Code challenge - gurus
on your toes!
>
> I'm trying to write some AFL code that will
change the trade delays and
> trade prices based solely on whether the code
is being run in the back
> tester/optimizer or not.
>
> Here's a feeble attempt that doesn't work:
>
> tmpDelay = IIf(Status("action") ==
5, 1, 0);
> tmpPrice = IIf(Status("action") ==
5, Open, Close);
>
> SetTradeDelays(tmpDelay, tmpDelay, tmpDelay,
tmpDelay);
> BuyPrice = SellPrice = ShortPrice =
CoverPrice = tmpPrice;
>
> Lets see if you can solve this one!
(Use of vbScript is permissable)
>
> d
>
>
>
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<font size=2
face="Courier New">Send BUG REPORTS to
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>
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