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Yes I am finding this difficult to work around. But it is something to be
cautious of when using unpadded data. The reference functions are periods,
and if a trading day is not represented on that chart, then it just keeps
counting the next one. So 2 different stocks could have different dates with
the same ref function.
I guess one way would be to maybe reference a foreign chart that always has
movement on every trading day, like an index. This would give a steady base
to check against.
Maybe a suggestion to Tomasz if it can be added for AA etc to have a
differential between trading days, and quotations within the actual AFL
codes. Like SetOption("days") meaning weekdays, and "quotes" for actual
traded days for that chart. Any thoughts on this?
Cheers,
Graham
http://groups.msn.com/ASXShareTrading
http://groups.msn.com/FMSAustralia
-----Original Message-----
From: Marek Chlopek [mailto:mchlopek@xxxxxxx]
Sent: Tuesday, 27 May 2003 6:04 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] AA range settings
Hi Graham,
Filter=1;
AddColumn(C,"",1.2);
AddColumn(DateNum(),"today",1);
AddColumn(Ref(DateNum(),-5),"5 period",1);
Buy=Sell=0;
Produces:
WIG20 03-05-26 1178.76 1030526 1030519
regardless of days/trading days setting (and it is 7 day difference!!!).
I think this is related to Ref function and the reason it looks back by Date
field (==quotation dates) not calendar (in fact it is true for EOD date, the
parameter in Ref() is related to number of bars).
>From Ref() in HELP:
"References a previous or subsequent element in a ARRAY. A positive period
references "n" periods in the future; a negative period references "n"
periods ago."
This is interesting. Thank you for pointing this out.
CU,
Marek
> -----Original Message-----
> From: Graham [mailto:gkavanagh@xxxxxxxxxxxxx]
> Sent: Tuesday, May 27, 2003 11:45 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] AA range settings
>
>
> Thanks Marek
> I understand the difference if you choose n=5 in the range.
> I guess I didn't explain it fully. I am exploring with n=1. I would have
> expected the difference between days and quotations to be still different.
> This is why I had the ref(x,-5)
> As a easy example if I want to just reference something over the
> past 5 days
> I have to keep in mind that it is actually referencing the last 5
> quotations
> regardless of the range setting. This can make a big difference
> to the way I
> would write the explorations
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
> -----Original Message-----
> From: Marek Chlopek [mailto:mchlopek@xxxxxxx]
> Sent: Tuesday, 27 May 2003 5:12 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] AA range settings
>
> Graham,
> DataNum() IMO should give always the same value as it is related
> strictly to
> calendar not to trading days.
> Explore this simple code in AA and you will find differences between days
> and quotations (5-day period starts 22/05 and 5-trading/quotation
> day period
> starts 20/05).
>
> Filter=1;
> AddColumn(C,"",1.2);
> Buy=Sell=0;
>
> All the best,
> Marek
>
> -----Original Message-----
> From: Graham [mailto:gkavanagh@xxxxxxxxxxxxx]
> Sent: Tuesday, May 27, 2003 11:05 AM
> To: AB yahoo group
> Subject: [amibroker] AA range settings
>
>
> I am currently checking the use using "n last quaotations" and "n
> last days"
> in the AA window and I am not certain if they are different.
> With padded data, ie no zero trade holes, then it should make
> absolutely no
> difference as every weekday is filled in.
> But with unpadded data, ie zero trade days are excluded, I expected there
> to be a difference. But I have done a quick check using datenum()
> to make it
> easy and with 5 days and 5 quotations the results were the same for each,
> even if some days were not included.
> An example
> Today = 1030527
> 5 days ago 1030520
> If a day was not included both runs gave the same day, eg 1030519
> if one day
> no there.
> I would have expected that using 5 quotations would give me the
> 1030519, but
> 5 days would have been 1030520 as this is 5 trading days ago regardless of
> whether that stock traded or not during that period.
> Am I doing something wrong, can anyone advise me before I check
> with Tomasz
> and possibly waste his time.
>
> What I used was very simple
> Filter=1;
> AddColumn(DateNum(),"today",1);
> AddColumn(Ref(DateNum(),-5),"5 period",1);
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
>
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