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Of what I've seen it works great.......Thanks WALT!!
----- Original Message -----
From: "hairy_mug" <WSCHWARZ@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, June 13, 2003 12:34 PM
Subject: [amibroker] Re: Gaps (Fixed)
> 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
> > >
> > >
> > >
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