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thxs Waltz
Does not work for me. Here's the
code. Thxs again.
regards
Juan
/*********************************************/
// 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 <FONT
size=1>
ln_YestClose=0;
ln_TodayOpen=0;
Lb_test=0;
Ldt_dates=DateNum();
lb_dayChg=(DateNum() != <FONT
color=#0000ff>Ref(DateNum(),-<FONT
color=#ff00ff>1)) & (0 != <FONT
color=#0000ff>Ref(Close,-1)
);
lb_hasGap = IIf(lb_dayChg & <FONT
color=#0000ff>GapUp(),1,<FONT
color=#0000ff>IIf(lb_dayChg & <FONT
color=#0000ff>GapDown(),-
1,<FONT
color=#ff00ff>0));
ln_YestClose=<FONT
color=#0000ff>ValueWhen(lb_hasGap!=0,<FONT
color=#0000ff>Ref(Close,-<FONT
color=#ff00ff>1));
ln_TodayOpen=<FONT
color=#0000ff>ValueWhen(lb_hasGap!=<FONT
color=#ff00ff>0,Close);
ln_gapDate=ValueWhen(lb_hasGap!=<FONT
color=#ff00ff>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,<FONT
color=#ff00ff>0) ;
Lb_gapInPlay=IIf(<FONT
color=#0000ff>IsEmpty(<FONT
color=#0000ff>ValueWhen(Lb_test2!=Lb_test,Lb_test2)),<FONT
color=#ff00ff>1,0)&
Ldt_dates==ln_gapDate;
Buy = <FONT
color=#0000ff>Cross(ADX(<FONT
color=#ff00ff>14),20) AND <FONT
color=#0000ff>PDI(14)><FONT
color=#0000ff>MDI(14)
AND Lb_gapInPlay=<FONT
face="Courier New" color=#ff00ff>0;
Sell = Cross(
MA(Close,<FONT
color=#ff00ff>20),Close) OR <FONT
color=#0000ff>ADX(14)<<FONT
color=#ff00ff>20 OR IIf(<FONT
color=#0000ff>MA(Close,<FONT
color=#ff00ff>20)>=Low AND <FONT
color=#0000ff>Ref(MA(Close,<FONT
color=#ff00ff>20),-1)>=<FONT
color=#0000ff>Ref(Low,-1),<FONT
color=#ff00ff>1,0) OR <FONT
color=#0000ff>IIf(ADX(<FONT
color=#ff00ff>14)>20 AND <FONT
color=#0000ff>ADX(14) < <FONT
color=#0000ff>Ref(ADX(<FONT
color=#ff00ff>14),-1)<FONT
face="Courier New">,1<FONT
face="Courier New">,0<FONT
face="Courier New">) OR <FONT face="Courier New"
color=#0000ff>IIf(Lb_gapInPlay==<FONT
color=#ff00ff>1, ApplyStop<FONT
face="Courier New">(0<FONT
face="Courier New">,2<FONT
face="Courier New">,<FONT face="Courier New"
color=#0000ff>ATR(<FONT
face="Courier New" color=#ff00ff>20<FONT
face="Courier New">)/<FONT face="Courier New"
color=#ff00ff>2,1)<FONT
face="Courier New">,0<FONT
face="Courier New">);
Buy=<FONT
color=#0000ff>ExRem(Buy,Sell);
Sell=<FONT
color=#0000ff>ExRem(Sell,Buy);
Short = <FONT
color=#0000ff>Cross(ADX(<FONT
color=#ff00ff>14),20) AND <FONT
color=#0000ff>PDI(14)<<FONT
color=#0000ff>MDI(14)
AND Lb_gapInPlay=<FONT
color=#ff00ff>0;
Cover = <FONT
color=#0000ff>Cross(Close,<FONT
color=#0000ff>MA(Close,20)) OR
ADX(14)<<FONT
color=#ff00ff>20 OR IIf(<FONT
color=#0000ff>MA(Close,<FONT
color=#ff00ff>20)<=High AND <FONT
color=#0000ff>Ref(MA(Close,<FONT
color=#ff00ff>20),-1)<=<FONT
color=#0000ff>Ref(High,-1),<FONT
color=#ff00ff>1,0) OR <FONT
color=#0000ff>IIf(ADX(<FONT
color=#ff00ff>14)>20 AND <FONT
color=#0000ff>ADX(14) < <FONT
color=#0000ff>Ref(ADX(<FONT
color=#ff00ff>14),-1),<FONT
color=#ff00ff>1,0)
OR IIf(Lb_gapInPlay==<FONT
color=#ff00ff>1, ApplyStop(<FONT
color=#ff00ff>0,2,<FONT
color=#0000ff>ATR(20)/<FONT
color=#ff00ff>2,1),<FONT
color=#ff00ff>0);
Short=<FONT
color=#0000ff>ExRem(Short,Cover);
Cover=<FONT
color=#0000ff>ExRem(Cover,Short);
PositionValue = MarginDeposit = <FONT
color=#ff00ff>1;
PositionSize = <FONT
color=#ff00ff>1;
PointValue = <FONT
color=#ff00ff>50;
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
walt
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, June 13, 2003 9:36 PM
Subject: RE: [amibroker] Re: Gaps
(Fixed)
<FONT face=Arial color=#0000ff
size=2>Almost right... But it should be:
<FONT face=Arial color=#0000ff
size=2>
<SPAN
class=328523000-14062003>
stop=iif(Lb_gapInPlay==1,
applystop,0)
<FONT
face="Courier New">
(use
two equal signs)This will
assign the value of "applystop" to stop when the gap
is there
<FONT face=Arial color=#0000ff
size=2> BUT if there is no gap today or the gap is completed, "stop"
will be 0...
<FONT face=Tahoma
size=2>-----Original Message-----From: emarco
[mailto:emarco@xxxxxxxxxxxxxxx]Sent: Friday, June 13, 2003 8:27
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: Gaps
(Fixed)Walt,
How do I use the Lb_gapInPlay variable in a true/ false condition inmy
system?stop=iif(Lb_gapInPlay=1, applystop,0)can u help
me?thxsJuan----- Original Message ----- From:
"hairy_mug" <WSCHWARZ@xxxxxxxxxxxxx>To:
<amibroker@xxxxxxxxxxxxxxx>Sent: Friday, June 13, 2003 12:34
PMSubject: [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@xxxx]> > > 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@xxxx]> >
> 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@xxxx]> >
>
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@xxxx]> >
>
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> >
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