|
PureBytes Links
Trading Reference Links
|
Juan,
Here is a better version...
Tested it somewhat but I don't have the data to do a full check...
Try it and let me know...
Walt
/*********************************************/
// for intraday charts
//this assumes that the the last quote is yesterday & the first quote
is today
//lb_gapClo = 1 when gap has been closed...
// Walt Schwarz 6/12/2003
// Lb_gapInPlay = 1 when gap is not resolved
// Lb_gapInPlay = 0 when No gap or gap has been resolved
ln_YestClose=0;
ln_TodayOpen=0;
Lb_test=0;
Ldt_dates=DateNum();
lb_dayChg=(DateNum() != Ref(DateNum(),-1)) & (0 != Ref(Close,-1) );
lb_hasGap = IIf(lb_dayChg & GapUp(),1,IIf(lb_dayChg & GapDown(),-
1,0));
ln_YestClose=ValueWhen(lb_hasGap!=0,Ref(Close,-1));
ln_TodayOpen=ValueWhen(lb_hasGap!=0,Close);
ln_gapDate=ValueWhen(lb_hasGap!=0,DateNum());
ln_diff=ln_TodayOpen-ln_yestClose;
Lb_test=((ln_diff > 0 & Close<=ln_yestClose)|(ln_diff < 0 &
Close>=ln_yestClose));
Lb_test2=Cross(Lb_test,0) ;
Lb_gapInPlay=IIf(IsEmpty(ValueWhen(Lb_test2!=Lb_test,Lb_test2)),1,0)&
Ldt_dates==ln_gapDate;
//Lb_gapInPlay = 1 when gap is not resolved
Plot(0,"Gap Closed",colorRed,styleLine);
Plot(Lb_gapInPlay,"YC="+WriteVal(ln_YestClose,8.2)+" TO="+WriteVal
(ln_TodayOpen)+" Gap Date="+WriteVal
(ln_gapDate,8.0,False),colorBlue,styleHistogram);
--- In amibroker@xxxxxxxxxxxxxxx, "hairy_mug" <WSCHWARZ@xxxx> wrote:
> Yes Juan,
> The blue will display all day to indicate there
> was a gap since it shows weather the gap price was set;
ln_todayOpen>0
>
> The Lb_gapClo is the real indicator; gap open (=0) or gap resolved
> (=1)
>
> I was just showing colors so you could see conditions...
>
> I'm working on an esoteric "curve-fit" system whereby I match
> the rsi produced by a combination of sines to the RSI of the stock
> and then trade on the sine, not the stock price. Some interesting
> progress so far... Lots of loops though and not for the "faint of
> computer power" :-)
>
> I am finding 5 minutes is good BUT grouping five 1 minute bars
gives
> me more information than 1 bar every five minutes.
>
> Walt
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "emarco" <emarco@xxxx> wrote:
> > Walt,
> >
> > thank you very much!!
> > I probably found some bugs in the indicator.Look at the pic I
sent
> you ...the gap is closed and the blue lines show up.
> >
> > I think 5 to 10 minutes is a balanced timeframe in regards to
> slippage, commisions, noise in indicators. Anyway, perhaps you can
> fine tune your entry with lower timeframe (ie, 1 minute). My idea
is
> to look for very high prob trades ( return expectancy >0) in a
bunch
> of "range" and "trend" systems. They trade rarely. But if you
combine
> the best ones...looks good. I finished a new system today, but i
have
> to code it..... perhaps i would ask for more help.
> > What kind of systems do u develop.....trend , range or?? Any
> insights to share?
> > I used MS as my first soft, NOT good as I thought. There is no
> flexibility and the language is very tough. Amibroker is one of the
> best or the best. I never tried TS nor Ensign...have you? Wealthlab
> very difficult...and I think that's all there are no other well
known
> soft.
> >
> >
> > Here;s what I was coding for gaps.....does not work....but
perhaps
> it can be "fixed" easily.
> >
> > x1 = IIf(GapUp(),1,IIf(GapDown(),-1,0));
> >
> > x2 = IIf(x1!=0,Date(),0);
> >
> > x3 = IIf(TimeNum()=93000 AND x1!=0,Ref(High,-1),IIf(x2=Date(),Ref
> (x3,-1),0);
> >
> > x4= IIf(TimeNum()=93000 AND x1!=0,Ref(Low,-1),IIf(x2=Date(),Ref
(x4,-
> 1),0);
> >
> >
> > Thanks
> >
> > Juan
> >
> >
> > ----- Original Message -----
> > From: walt
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Friday, June 13, 2003 1:13 AM
> > Subject: RE: [amibroker] Gaps
> >
> >
> > Here you are Juan;
> >
> > This will show blue when there is a gap and green when gap is
> resolved...
> > It will only work for intraday charts and you have to catch the
> last quote of the previous day.
> >
> > BTW; Why did you pick 10 minute intervals?
> >
> > Walt
> >
> >
> > //*********************************************
> > // for intraday charts
> > //this assumes that the the last quote is yesterday & the first
> quote is today
> > //lb_gapClo = 1 when gap has been closed...
> > // Walt Schwarz 6/12/2003
> > // blue shows when there is a gap, green when gap is resolved
> > ln_YestClose=0;
> > ln_TodayOpen=0;
> > Lb_test=0;
> > lb_dayChg=(DateNum() != Ref(DateNum(),-1)) & (0 != Ref(Close,-
> 1) );
> > lb_hasGap = IIf(lb_dayChg & GapUp(),1,IIf(lb_dayChg & GapDown
(),-
> 1,0));
> > ln_YestClose=ValueWhen(lb_hasGap!=0,Ref(Close,-1));
> > ln_TodayOpen=ValueWhen(lb_hasGap!=0,Close);
> > ln_diff=ln_TodayOpen-ln_yestClose;
> > Lb_test=((ln_diff > 0 & Close<=ln_yestClose)|(ln_diff < 0 &
> Close+.05>=ln_yestClose));
> > Lb_test2=ValueWhen(ExRem(Lb_test,0),Lb_test);
> > Lb_gapClo=IIf(IsEmpty(ValueWhen(ExRem
(Lb_test2,0),Lb_test2)),0,1);
> >
> > Plot(Lb_gapClo,"Gap Closed",colorGreen,styleHistogram);
> > Plot(ln_todayOpen>0,"YC="+WriteVal(ln_YestClose,8.2)+"
> TO="+WriteVal(ln_TodayOpen),IIf
> (lb_gapClo,colorGreen,colorBlue),styleHistogram);
> >
> >
> > -----Original Message-----
> > From: emarco [mailto:emarco@x...]
> > Sent: Thursday, June 12, 2003 8:20 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Gaps
> >
> >
> > thanks buddy!
> > Since have you been developing systems?
> > What do u trade?
> > Regards
> >
> > Juan
> > ----- Original Message -----
> > From: walt
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Thursday, June 12, 2003 9:14 PM
> > Subject: RE: [amibroker] Gaps
> >
> >
> > I'm working on something...
> > The gap should only be checked when the day changes from
one
> day to the next.
> > I also want to keep track of an open gap so I'll keep
you "in
> the loop"...
> >
> > Walt
> > -----Original Message-----
> > From: emarco [mailto:emarco@x...]
> > Sent: Thursday, June 12, 2003 7:58 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Gaps
> >
> >
> > 10 minute
> > can u help me?
> > thxs
> >
> > jb
> > ----- Original Message -----
> > From: walt
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Thursday, June 12, 2003 8:19 PM
> > Subject: RE: [amibroker] Gaps
> >
> >
> > What time frame is your chart? 1 minute?
> > -----Original Message-----
> > From: emarco [mailto:emarco@x...]
> > Sent: Thursday, June 12, 2003 6:26 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Gaps
> >
> >
> > thnks!!
> >
> > is there any way to keep the gap true value until it
> closes the gap. If during the day is not close, change to false gap
> value?
> >
> > thnks again
> >
> > ----- Original Message -----
> > From: Bob Jagow
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Thursday, June 12, 2003 7:09 PM
> > Subject: RE: [amibroker] Gaps
> >
> >
> > You have to assign IIF, Juan.
> > x = IIf(GapUp(),1,IIf(GapDown(),-1,0));
> >
> > Plot(x,"Gaps",1,5);
> >
> > -----Original Message-----
> > From: emarco [mailto:emarco@x...]
> > Sent: Thursday, June 12, 2003 2:19 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Gaps
> >
> >
> > hello,
> >
> > 1) I am trying to identify gaps in my
> system. Why i can't plot "x"?
> >
> > IIf(GapUp(),x=1,IIf(GapDown(),x=-1,x=0));
> >
> > Plot(x,"Gaps",1,3);
> >
> >
> >
> > 2) is there any way to:
> >
> > a) identify only 4:10PM to 9:30 AM gaps.
> >
> > b) keep the gap true value until it closes
the
> gap. If during the day is not close, change to false gap value.
> >
> > Thanks
> >
> >
> >
> > Juan
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > (Web page:
> http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the
Yahoo!
> Terms of Service.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > (Web page:
> http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo!
> Terms of Service.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > (Web page:
> http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo!
> Terms of Service.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > (Web page:
> http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo!
Terms
> of Service.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > (Web page:
http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms
of
> Service.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
> >
> >
> > Yahoo! Groups Sponsor
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/Lj3uPC/Me7FAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|