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RE: [amibroker] Re: Code challenge - gurus on your toes!



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<SPAN 
class=216533617-18032003>Dale,
that 
sounds like just the ticket, unfortunately I can not seem to get it to work with 
equity(1). I think you can leave the trade delays alone and simply change 
equity(1) to equity(0) for your explore.
<SPAN 
class=216533617-18032003> 
<SPAN 
class=216533617-18032003><FONT color=#0000ff 
face=Arial>Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: dingo 
[mailto:dingo@xxxxxxxxxx]Sent: Tuesday, March 18, 2003 12:29 
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] 
Re: Code challenge - gurus on your toes!

<SPAN 
>Yes, that&#8217;s why I&#8217;ve 
been batting my head against wall!
<SPAN 
> 
<SPAN 
>If you&#8217;re trying to 
develop an automated system (as I am) and you want Amibroker to give you a 
signal the night before the trade is to take place then you have to futz around 
with the tradedelays like you helped me get straight yesterday.  Do you 
think that is the best solution?
<SPAN 
> 
<SPAN 
>Perhaps I should use 
the equity(0) in the backtester, scan, explore and just use the status code test 
to change that to equity(1) when the formula is used in the indicator? That way 
I wouldn&#8217;t have to mess with the tradedelays? 
<SPAN 
> 
<SPAN 
>d
<SPAN 
> 
<SPAN 
>-----Original 
Message-----From: Jayson 
[mailto:jcasavant@xxxxxxxxxxxx] <SPAN 
>Sent: Tuesday, March 18, 2003 12:18 
PMTo: 
amibroker@xxxxxxxxxxxxxxx<SPAN 
>Subject: RE: [amibroker] Re: Code challenge 
- gurus on your toes!
<FONT face="Times New Roman" 
size=3> 

<FONT color=blue face=Arial 
size=2><SPAN 
>Dale,

<FONT face="Times New Roman" 
size=3> 

<FONT color=blue face=Arial 
size=2>The devil 
is always in the details! Adding the equity line does indeed change the results 
of the exploration. I think perhaps the (partial) answer is  found in 
Help...

<FONT face="Times New Roman" 
size=3> 

<FONT color=blue face=Arial 
size=2>from 
help.......

<FONT face="Times New Roman" 
size=3> 

<TABLE border=0 cellPadding=0 cellSpacing=4 class=MsoNormalTable 
 width="100%">
  
  
    <TD 
     
    vAlign=top width="13%">
      <SPAN 
      >SYNTAX<FONT 
      size=2> 
    <TD 
     
    vAlign=top width="84%">
      <SPAN 
      >equity( <SPAN 
      >Flags = 0, <SPAN 
      >RangeType = -1, <SPAN 
      >From = 0, <SPAN 
      >To = 0 ) 
      
  
    <TD 
     
    vAlign=top>
      <SPAN 
      >RETURNS
    <TD 
     
    vAlign=top>
      <SPAN 
      >ARRAY 
  
    <TD 
     
    vAlign=top>
      <SPAN 
      >FUNCTION<FONT 
      size=2> 
    <TD 
     
    vAlign=top>
      <SPAN 
      >Returns Equity line based on buy/sell/short/cover 
      rules, buy/sell/short/coverprice arrays, all apply stops, and all other 
      back tester settings. Flags 
      - defines the behavior of Equity function
      
      <SPAN 
      >0<FONT 
      size=2> : (default) Equity works as in 3.98 
      - just calculates the equity array<SPAN 
      >1 : works as 0 but additionally 
      updates buy/sell/short/cover arrays so all redundant signals are removed 
      exactly as it is done internally by the back tester plus all exits by 
      stops are applied so it is now possible to visualize ApplyStop() 
      stops.

<FONT color=blue face=Arial 
size=2>It 
certainly appears that equity(1) also emulates the backrest results for the 
delay=1 as well since changing the setting in AA to delay=0 and running the code 
with equity(1) returns the expected result.

<FONT face="Times New Roman" 
size=3> 
<FONT color=blue face=Arial 
size=2><SPAN 
>Jayson 

<P class=MsoNormal 
><FONT 
face=Tahoma size=2><SPAN 
>-----Original 
Message-----From: dingo 
[mailto:dingo@xxxxxxxxxx]Sent: 
Tuesday, March 18, 2003 11:51 AM<SPAN 
>To: amibroker@xxxxxxxxxxxxxxx<SPAN 
>Subject: RE: [amibroker] Re: Code challenge 
- gurus on your toes!
<FONT color=blue face=Tahoma 
size=2>Thanks 
for taking the time to try this!
<FONT color=blue face=Tahoma 
size=2><SPAN 
> 
<FONT color=blue face=Tahoma 
size=2>Now 
change your formula by adding E = Equity(1); to it so that it looks 
like:
<FONT color=blue face=Tahoma 
size=2><SPAN 
> 
<FONT color=black 
face="Courier New" size=1><SPAN 
>Buy<FONT 
color=black face="Courier New" size=1><SPAN 
>=<FONT 
color=blue face="Courier New" size=1><SPAN 
>Cross<FONT 
color=black face="Courier New" size=1><SPAN 
>(<SPAN 
>C,<FONT color=blue 
face="Courier New" size=1><SPAN 
>MA<FONT 
color=black face="Courier New" size=1><SPAN 
>(<SPAN 
>C,<FONT color=fuchsia 
face="Courier New" size=1><SPAN 
>50<FONT 
color=black face="Courier New" size=1><SPAN 
>));
<FONT color=black 
face="Courier New" size=1><SPAN 
>Sell<FONT 
color=black face="Courier New" size=1><SPAN 
>=<FONT 
color=blue face="Courier New" size=1><SPAN 
>Cross<FONT 
color=black face="Courier New" size=1><SPAN 
>(<FONT 
color=blue face="Courier New" size=1><SPAN 
>MA<FONT 
color=black face="Courier New" size=1><SPAN 
>(<SPAN 
>C,<FONT color=fuchsia 
face="Courier New" size=1><SPAN 
>50<FONT 
color=black face="Courier New" size=1><SPAN 
>),<SPAN 
>C);
<FONT color=black 
face="Courier New" size=1><SPAN 
>Filter<FONT 
color=black face="Courier New" size=1><SPAN 
>=<SPAN 
>Buy <SPAN 
>OR <SPAN 
>Sell;
<FONT color=black 
face="Courier New" size=1><SPAN 
> 
<FONT color=black 
face="Courier New" size=1><SPAN 
>E = 
<SPAN 
>Equity<FONT 
color=black face="Courier New" size=1><SPAN 
>(<FONT 
color=fuchsia face="Courier New" size=1><SPAN 
>1<FONT 
color=black face="Courier New" size=1><SPAN 
>);
<FONT color=black 
face="Courier New" size=1><SPAN 
> 
<FONT color=blue 
face="Courier New" size=1><SPAN 
>AddColumn<FONT 
color=black face="Courier New" size=1><SPAN 
>(<SPAN 
>Buy,<FONT color=fuchsia 
face="Courier New" size=1><SPAN 
>"Buy"<FONT 
color=black face="Courier New" size=1><SPAN 
>);
<FONT color=blue 
face="Courier New" size=1><SPAN 
>AddColumn<FONT 
color=black face="Courier New" size=1><SPAN 
>(<SPAN 
>Sell,<FONT color=fuchsia 
face="Courier New" size=1><SPAN 
>"sell"<FONT 
color=black face="Courier New" size=1><SPAN 
>);
<FONT color=green 
face="Courier New" size=1><SPAN 
> 
<FONT color=blue face=Tahoma 
size=2>and 
rather than use the &#8220;Range Setting&#8221; of &#8220;n last days&#8221; change that to &#8220;from&#8221; and 
put in the range &#8220;1/1/2003 &#8211; 2/28/2003&#8221; (to simulate the actual running on the 
night of the 28th) and then try it.
<FONT color=blue face=Tahoma 
size=2><SPAN 
> 
<FONT color=blue face=Tahoma 
size=2>I&#8217;ve been 
adding that equity statement to my formula because I&#8217;m using applystop and 
thought it is the recommended method. When I do this you see what 
happens.
<FONT color=blue face=Tahoma 
size=2><SPAN 
> 
<FONT color=blue face=Tahoma 
size=2>If you 
use E = Equity(0); then it reverts back to what you see with the original 
formula.
<FONT color=blue face=Tahoma 
size=2><SPAN 
> 
<FONT color=blue face=Tahoma 
size=2><SPAN 
>d
<FONT color=blue face=Tahoma 
size=2><SPAN 
> 
<SPAN 
>-----Original 
Message-----From: Jayson 
[mailto:jcasavant@xxxxxxxxxxxx] <SPAN 
>Sent: Tuesday, March 18, 2003 11:24 
AMTo: 
amibroker@xxxxxxxxxxxxxxx<SPAN 
>Subject: RE: [amibroker] Re: Code challenge 
- gurus on your toes!
<FONT face="Times New Roman" 
size=3> 

<FONT color=blue face=Arial 
size=2><SPAN 
>Dale,

<FONT color=blue face=Arial 
size=2>take a 
very simple system....

<FONT face="Times New Roman" 
size=3> 

<FONT color=black 
face="Times New Roman" size=3><SPAN 
> 

<FONT color=blue face=Arial 
size=2><SPAN 
>Buy<FONT 
color=blue face=Arial><SPAN 
>=Cross(C,MA(C,50));

<FONT color=blue 
face=Arial size=2><SPAN 
>Sell<FONT 
color=black face=Arial size=2><SPAN 
>=Cross(MA(<SPAN 
>C<FONT color=black 
face=Arial>,50),<SPAN 
>C<FONT color=blue 
face=Arial><SPAN 
>);

<FONT color=blue face=Arial 
size=2><SPAN 
>Filter<FONT 
color=blue face=Arial>=Buy OR 
Sell;

<FONT color=black face=Arial 
size=2><SPAN 
>AddColumn<FONT 
color=#282828 size=2><SPAN 
>(<FONT color=black 
size=2><SPAN 
>Buy<FONT 
color=#282828 face=Arial size=2><SPAN 
>,<FONT 
color=fuchsia face=Arial size=2><SPAN 
>"Buy"<FONT 
color=#282828 face=Arial size=2><SPAN 
>);

<FONT color=blue face=Arial 
size=2><SPAN 
>AddColumn<FONT 
color=#282828 face=Arial size=2><SPAN 
>(<FONT 
color=black face=Arial size=2><SPAN 
>Sell<FONT 
color=#282828 face=Arial size=2><SPAN 
>,<FONT 
color=fuchsia face=Arial size=2><SPAN 
>"sell"<FONT 
color=#282828 face=Arial size=2><SPAN 
>);

<FONT color=blue 
face="Times New Roman" size=3><SPAN 
> 

<FONT color=#282828 face=Arial 
size=2>run the 
back test on CSCO then click actual trades.

<FONT color=blue 
face="Times New Roman" size=3><SPAN 
> 

<FONT color=#282828 face=Arial 
size=2><IMG 
align=baseline border=0 height=269 src="gif00146.gif" 
width=297>

<FONT color=blue 
face="Times New Roman" size=3><SPAN 
> 

<FONT color=blue face=Arial 
size=2>Here you 
see the actual cross over occurred on 2/28 (circled) the trade arrow in back 
test  shows the following day 3/3 (delay=1)

<FONT color=blue 
face="Times New Roman" size=3><SPAN 
> 

<FONT color=blue face=Arial 
size=2><IMG 
align=baseline border=0 height=606 src="gif00147.gif" 
width=744>

<FONT color=blue 
face="Times New Roman" size=3><SPAN 
> 

<FONT color=blue face=Arial 
size=2>To find 
this trade the previous night you would run the same code in AA as an 
exploration.......

<FONT color=blue 
face="Times New Roman" size=3><SPAN 
> 

<FONT color=blue face=Arial 
size=2><IMG 
align=baseline border=0 height=252 src="gif00148.gif" 
width=592>

<FONT color=blue 
face="Times New Roman" size=3><SPAN 
> 

<FONT color=blue face=Arial 
size=2>As you see 
the explore correctly identifies the 2/28 buy as well as the 3/3 sell ahead of 
the trade arrows generated by the back test. If you are looking at EOD on 2/28 
you would place the buy order that evening as a market order. This would execute 
on the 3/3 open (for better or worse).

<FONT face="Times New Roman" 
size=3> 

<FONT face="Times New Roman" 
size=3> 
<FONT color=blue face=Arial 
size=2><SPAN 
>Jayson 

<P class=MsoNormal 
><FONT 
face=Tahoma size=2><SPAN 
>-----Original 
Message-----From: dingo 
[mailto:dingo@xxxxxxxxxx]Sent: 
Tuesday, March 18, 2003 10:10 AM<SPAN 
>To: amibroker@xxxxxxxxxxxxxxx<SPAN 
>Subject: RE: [amibroker] Re: Code challenge 
- gurus on your toes!
<FONT color=blue face=Tahoma 
size=2>The point 
about using Amibroker to trade the open on the next day was 
this:
<FONT color=blue face=Tahoma 
size=2><SPAN 
> 
<FONT color=blue face=Tahoma 
size=2>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 &#8211; 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?
<FONT color=blue face=Tahoma 
size=2><SPAN 
> 
<FONT color=blue face=Tahoma 
size=2><SPAN 
>d
<FONT color=blue face=Tahoma 
size=2><SPAN 
> 
<SPAN 
>-----Original 
Message-----From: phsst 
[mailto:phsst@xxxxxxxxx] Sent: 
Tuesday, March 18, 2003 12:32 AM<SPAN 
>To: amibroker@xxxxxxxxxxxxxxx<SPAN 
>Subject: [amibroker] Re: Code challenge - 
gurus on your toes!
<FONT face="Times New Roman" 
size=3> 
<P class=MsoNormal 
><FONT 
face="Courier New" size=2><Dale, you have 
probably forgotten more about system design than I<FONT 
face="Courier New" size=2><SPAN 
><FONT 
face="Courier New">know but for what it is worth I do use delay=1 and Price=Open 
forevaluation and back testing in 
AA, although in practice I seldom<FONT 
face="Courier New">actual buy the open. I have been burned too many times by 
this ficklemarket. Instead I wait 
30 minutes to let the dust settle. Interday I<FONT 
face="Courier New">plot actual signals based on high or low. 
(delay=o)>I don't target to 
trade Mkt OPEN either... but prefer to trade Limit<FONT 
face="Courier New">or Stop orders based upon previous days price action. 
In the case of Buy Limit 
orders, I usually determine the Limit price<FONT 
face="Courier New">from previous days Close, and to my surprise, I very often 
get actualexecutions at OPEN the 
following day which are significantly less than<FONT 
face="Courier New">previous days close (my limit order) and have experienced 
positivetrading system outcomes as 
a result (my primary trading system is a<FONT 
face="Courier New">pullback system). Also, when this occurs it is not unusual 
for theOPEN to be the low for the 
day!You can setup your 
backtest's for this condition, and depending upon<FONT 
face="Courier New">your trading system you will observe backtest results that 
mirror whatI have encountered in 
actual trades.Logically, I 
thought that MM's would look at limit orders at open 
andtake them out before gapping 
down, but that has not been my actual<FONT 
face="Courier New">trading experience with these orders (either NYSE or 
NASD).My point is that while 
you may not want to trade the OPEN with market<FONT 
face="Courier New">orders... the OPEN is not necessarily your enemy either... it 
can beyour friend when your trading 
system picks out pullbacks that are<FONT 
face="Courier New">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<FONT 
face="Courier New">Price = Open on the evening before the trade... here is a 
code snipetthat should come 
close:(b is the boolean BUY 
trigger variable)b = BUY 
CONDITION SETUPPctRisk = C - (L - 
0.1) / C;TargetPrice = 
HHV(C,10);PctGain = (TargetPrice - 
C) / C;b = b AND PctGain >= 
0.12;    // At least 12% Profit 
potentialBuyPrice = 
Min(Ref(C,-1),O); // Lessor of Previous Close or Todays 
openb = b AND BuyPrice > 
L;Buy = 
b;That should do it, if I have 
not mis-understood what you are asking for.<FONT 
face="Courier New">OR simply code BuyPrice = O;<FONT 
face="Courier New">Phsst--- In 
amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> 
wrote:> 
Dale,> <FONT 
face="Courier New">> Often I just guess <G><FONT 
face="Courier New">> > 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<FONT 
face="Courier New">> 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,<FONT 
face="Courier New">one for> the 
high price, one for the closing price and one for volume 
(seethe 
rows> labeled 1-5 below) and one 
for open interest. These can be<FONT 
face="Courier New">referenced in AFL<FONT 
face="Courier New">> 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<FONT 
face="Courier New">based on> 
them then it is an array.  In your example you used Status 
todetermine 
what> AB was doing (Scan, 
Explore etc) Since this state is not stored nor<FONT 
face="Courier New">> calculated from the six arrays you must  use 
lastvalue() .> 
> " One more thing: Do you use 
Amibroker to signal trades with delay =<FONT 
face="Courier New">1 and> Price 
= Open?  On the evening before the trade do you use plots 
totell you<FONT 
face="Courier New">> 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<FONT 
face="Courier New">know but> for 
what it is worth I do use delay=1 and Price=Open for 
evaluationand 
back> testing in AA, although in 
practice I seldom actual buy the open. I have<FONT 
face="Courier New">> been burned too many times by this fickle market. 
Instead I wait 30<FONT 
face="Courier New">minutes> to 
let the dust settle. Interday I plot actual signals based on 
highor 
low.> 
(delay=o)> 
> 
Regards,> 
> 
jayson> 
> <FONT 
face="Courier New">> > 
> <FONT 
face="Courier New">> > 
> 
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!> <FONT 
face="Courier New">> > Have I 
tried it? NO but looks like that is the magic answer!!!<FONT 
face="Courier New">> > 
> <FONT 
face="Courier New">> I get totally wrapped around the axle to this day on 
what is anarray 
and> what is not an 
array.> 
> <FONT 
face="Courier New">> > If you 
have the time could you explain how this works at the<FONT 
face="Courier New">individual bar<FONT 
face="Courier New">> level? If not I understand and really appreciate this!! 
It justmight 
help> the little light go on in 
my head (yea, right!).> 
> <FONT 
face="Courier New">> > 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<FONT 
face="Courier New">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?> <FONT 
face="Courier New">> > 
> Thanks Jason!  You are 
great to be here help us as much as you do!<FONT 
face="Courier New">> > 
> <FONT 
face="Courier New">> d> 
> <FONT 
face="Courier New">> > 
-----Original Message-----> 
From: Jayson [mailto:jcasavant@xxxx]<FONT 
face="Courier New">> Sent: Monday, March 17, 2003 3:56 
PM> To: 
amibroker@xxxxxxxxxxxxxxx> 
Subject: RE: [amibroker] Code challenge - gurus on your 
toes!> <FONT 
face="Courier New">> > 
> Dale have you tried 
lastvalue(tmpdelay)> 
> <FONT 
face="Courier New">> > 
> <FONT 
face="Courier New">> tmpDelay = IIf(Status("action") == 5, 1, 
0);> <FONT 
face="Courier New">> tmpdelay=LastValue(tmpdelay);<FONT 
face="Courier New">> > 
> <FONT 
face="Courier New">> I think this needs to be a fixed 
number..> 
> <FONT 
face="Courier New">> > 
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!<FONT 
face="Courier New">> > 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<FONT 
face="Courier New">> tester/optimizer or not.<FONT 
face="Courier New">> > Here's 
a feeble attempt that doesn't work:<FONT 
face="Courier New">> > 
tmpDelay = IIf(Status("action") == 5, 1, 0);<FONT 
face="Courier New">> 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)<FONT 
face="Courier New">> > 
d> <FONT 
face="Courier New">> > 
> Send BUG REPORTS to 
bugs@xxxx> Send SUGGESTIONS to 
suggest@xxxx> 
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