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Hi Tomasz,
Thank you very much on this new feature. This will definitely
help in my analysis. I'm waiting patiently for the money management for the back
testing in v4.5 which will be very helpful in simulate more complex position
handling.
Many thanks
KK
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, September 03, 2003 3:02
AM
Subject: [amibroker] AmiBroker 4.41 BETA
released
Hello,A new beta version (4.41.0) of AmiBroker has
just been released.It is available for registered users only from the
members area at:<A
href=""><FONT
size=2>http://www.amibroker.com/members/bin/ab4410beta.exe<FONT
size=2>If you forgot your user name / password to the members areayou can
use automatic reminder service at: <A
href=""><FONT
size=2>http://www.amibroker.com/login.htmlThe
highlight of this new version is multiple time frame support in
AFL.
The instructions are available below and in the "ReadMe"
file
( Help->Read Me menu from AmiBroker
)
Best regards,Tomasz
Janeczkoamibroker.com
AmiBroker 4.41.0 Beta Read Me
September 2, 2003 20:49
THIS IS A BETA VERSION OF THE SOFTWARE. EXPECT BUGS !!!
Backup your data files and entire AmiBroker folder
first!
INSTALLATION INSTRUCTIONS
IMPORTANT: This archive is update-only. You have to install full
version 4.40 first.
Just run the installer and follow the instructions.
Then run AmiBroker. You should see "AmiBroker 4.41.0 beta" written in the
About box.
See CHANGE LOG below for detailed list of changes.
HELP ON NEW FEATURES
Multiple time frame support
Release 4.41 brings ability to use multiple time frames (bar intervals) in
single formula. The time frame functions can be divided into 3 functional
groups:
switching time frame of build-in O, H, L, C, V, OI, Avg arrays:
TimeFrameSet, TimeFrameRestore
compressing/expanding single arrays to/from specified interval:
TimeFrameCompress, TimeFrameExpand
immediate access to price/volume arrays in different time frame:
TimeFrameGetPrice
First group is used when your formula needs to perform
some calculations on indicators in different time frame than currently
selected one. For example if you need to calculate 13-bar moving average on 5
minute data and 9 bar exponential avarage from hourly data while current
interval is 1 minute you would write:
TimeFrameSet( in5Minute ); // switch to 5 minute
frame
/* MA now operates on 5 minute data, ma5_13 holds time-compressed 13
bar MA of 5min bars */
ma5_13 = MA( C, 13 );
TimeFrameSet( inHourly ); // switch now
to hourly
mah_9 = EMA( C, 9 ); // 9 bar moving average from hourly
data
TimeFrameRestore(); // restore time frame to
original
Plot( Close, "Price", colorWhite, styleCandle );
// plot expanded average
Plot( TimeFrameExpand( ma5_13, in5Minute), "13 bar
moving average from 5 min bars", colorRed );Plot(
TimeFrameExpand( mah_9, inHourly), "9 bar moving average from
hourly bars", colorRed );
TimeFrameSet( interval ) - replaces
current built-in price/volume arrays: open, high, low, close, volume, openint,
avg with time-compressed bars of specified interval once you switched to a
different time frame all calculations and built-in indicators operate on
selected time frame. To get back to original interval call TimeFrameRestore()
funciton. Interval is time frame interval in seconds. For example: 60 is one
minute bar. You should use convenient constants for common intervals:
in1Minute, in5Minute, in15Minute, inHourly, inDaily, inWeekly, inMonthly.
TimeFrameRestore() - restores price arrays replaced by
SetTimeFrame.Note that only OHLC, V, OI and Avg built-in variables are
restored to original time frame when you call TimeFrameRestore().All other
variables created when being in different time frame remain compressed. To
de-compress them to original interval you have to use TimeFrameExpand.
Once you switch the time frame using TimeFrameSet, all AFL functions
operate on this time frame until you switch back the time frame to original
interval using TimeFrameRestore or set to different interval again using
TimeFrameSet. It is good idea to ALWAYS call TimeFrameRestore when you are
done with processing in other time frames.
When time frame is switched to other than original interval the results of
all functions called since TimeFrameSet are time-compressed too. If you want
to display them in original time frame you would need to 'expand' them as
described later. Variables created and assigned before call to TimeFrameSet()
remain in the time frame they were created. This behaviour allows mixing
unlimited different time frames in single formula.
Please note that you can only compress data from shorter interval to longer
interval. So when working with 1-minute data you can compress to 2, 3, 4, 5,
6, ....N-minute data. But when working with 15 minute data you can not get
1-minute data bars. In a similar way if you have only EOD data you can not
access intraday time frames.
Second group: TimeFrameCompress/TimeFrameExpand allow to
compress and expand single arrays to / from different time frames. Especially
worth mentioning is TimeFrameExpand that is used to decompress array variables
that were created in different time frame. Decompressing is required to
properly display the array created in different time frame. For example if you
want to display weekly moving average it must be 'expanded' so the data of one
weekly bar covers five daily bars (Monday-Friday) of corresponding week.
TimeFrameExpand( array, interval, mode = expandLast ) -
expands time-compressed array from 'interval' time frame to base time frame
('interval' must match the value used in TimeFrameCompress or
TimeFrameSet)Available modes:expandLast - the compressed value is
expanded starting from last bar within given period (so for example weekly
close/high/low is available on Friday's bar)expandFirst - the compressed
value is expanded starting from first bar within given period (so for example
weekly open is available from Monday's bar)expandPoint - the resulting
array gets not empty values only for the last bar within given period (all
remaining bars are Null (empty)).
Caveat: expandFirst used on price different than open may look into the
future. For example if you create weekly HIGH series, expanding it to daily
interval using expandFirst will enable you to know on MONDAY what was the high
for entire week.
TimeFrameCompress is provided for completeness and it can be used when you
want to compress single array without affecting built-in OHLC,V arrays. If you
call TimeFrameCompress it does not affect results of other functions.
wc = TimeFrameCompress( Close, inWeekly );
/* now the time frame is still unchanged (say daily) and our MA will
operate on daily data */
dailyma = MA( C, 14 );
/* but if we call MA on compressed array, it will give MA from other
time frame */
weeklyma = MA( wc, 14 ); // note that argument is time-compressed
array
Plot( dailyma, "DailyMA", colorRed );
weeklyma = TimeFrameExpand( weeklyma, inWeekly ); // expand for
display
Plot( weeklyma, "WeeklyMA", colorBlue );
During this formula the time frame remained at original setting we only
compressed single array.
TimeFrameCompress( array, interval, mode = compressLast
)- compresses single array to given interval using given compression mode
available modes:compressLast - last (close) value of the array within
intervalcompressOpen - open value of the array within
intervalcompressHigh - highest value of the array within
intervalcompressLow - lowest value of the array within
intervalcompressVolume - sum of values of the array within
interval
graph0 = TimeFrameExpand( TimeFrameCompress( Close, inWeekly,
compressLast ), inWeekly, expandLast );graph1 = TimeFrameExpand(
TimeFrameCompress( Open, inWeekly, compressOpen ), inWeekly, expandFirst
);
Third group consist of just one useful function:
TimeFrameGetPrice which allows to reference price and volume from other time
frames without switching /compressing/expanding time frames. Just one function
call to retrieve price from higher time frame. It allows also to reference not
only current but past bars from different time frames.
TimeFrameGetPrice( pricefield, interval, shift = 0, mode =
expandFirst );- references OHLCV fields from other time frames. This works
immediatelly without need to call TimeFrameSet at all.Price field is one
of the following: "O", "H", "L", "C", "V", "I" (open interest). Interval is
bar interval in seconds. shift allows to reference past (negative values) and
future (positive values) data in higher time frame. For example -1 gives
previous bar's data (like in Ref function but this works in higher time
frame).
Examples:
TimeFrameGetPrice( "O", inWeekly, -1 ) - gives you previous
week OPEN priceTimeFrameGetPrice( "C", inWeekly, -3 ) - gives
you weekly Close price 3 weeks agoTimeFrameGetPrice( "H", inWeekly,
-2 ) - gives you weekly High price 2 weeks
agoTimeFrameGetPrice( "O", inWeekly, 0 ) - gives you this
week open price.
TimeFrameGetPrice( "H", inDaily, -1 ) - gives previous day
high when working on intraday data
Shift works as in Ref() function but it is applied to compressed time
frame.
Note these functions work like these 3 nested
functionsTimeFrameExpand( Ref( TimeFrameCompress( array, interval,
compress(depending on field used) ), shift ), interval, expandFirst
)therefore if shift = 0 compressed data may look into the future (
weekly high can be known on monday ). If you want to write a trading system
using this function please make sure to reference PAST data by using negative
shift value.The only difference is that TimeFrameGetPrice is 2x faster
than nested Expand/Compress.
Note on performance of TimeFrame functions:a)
Measurements done on Athlon 1.46GHz, 18500 daily bars compressed to weekly
time frameTimeFrameGetPrice( "C", inWeekly, 0 ) - 0.0098 sec (9.8
milliseconds)TimeFrameSet( inWeekly ) - 0.012 sec (12
milliseconds)TimeFrameRestore( ) - 0.006 sec (6
milliseconds)TimeFrameCompress( Close, inWeekly, compressLast ); -
0.0097 sec (9.7 milliseconds)TimeFrameExpand( array, inWeekly,
expandLast ); - 0.0098 sec (9.8 milliseconds)
b) Measurements done on Athlon 1.46GHz, 1000 daily bars compressed to
weekly time frameall functions below 0.0007 sec (0.7
millisecond)
EXAMPLES
EXAMPLE 1: Plotting weekly MACD and cross arrows from daily data
TimeFrameSet( inWeekly );m = MACD(12, 26 ); // MACD from WEEKLY
dataTimeFrameRestore();
m1 = TimeFrameExpand( m, inWeekly );
Plot( m1, "Weekly MACD", colorRed );PlotShapes( Cross( m1, 0 )
* shapeUpArrow, colorGreen );PlotShapes( Cross( 0, m1 ) * shapeDownArrow,
colorGreen );
EXAMPLE 2: weekly candlestick chart overlaid on line daily price
chart
wo = TimeFrameGetPrice( "O", inWeekly, 0, expandPoint );wh
= TimeFrameGetPrice( "H", inWeekly, 0, expandPoint );wl =
TimeFrameGetPrice( "L", inWeekly, 0, expandPoint );wc = TimeFrameGetPrice(
"C", inWeekly, 0, expandPoint );
PlotOHLC( wo, wh, wl, wc, "Weekly Close", colorWhite, styleCandle
);Plot( Close, "Daily Close", colorBlue );
EXAMPLE 3: Simplified Triple screen system
/* switch to weekly time frame */TimeFrameSet( inWeekly
);whist = MACD( 12, 26 ) - Signal( 12, 26, 9 );wtrend = ROC( whist, 1
); // weekly trend - one week change of weekly macd
histogramTimeFrameRestore();
/* expand calculated MACD to daily so we can use it with daily
signals */wtrend = TimeFrameExpand( wtrend, inWeekly );
/* elder ray */bullpower= High -
ema(Close,13);bearpower= Low - ema(Close,13);
Buy = wtrend > 0 /* 1st screen: positive weekly trend
*/ANDbearpower < 0 and bearpower > Ref( bearpower, -1 ) /* 2nd
screen bear power negative but rising */ANDH > Ref( H, -1 ); /* 3rd
screen, if prices make a new high */
BuyPrice = Ref( H, -1 ); // buy stop level;
Sell = 0 ; // exit only by stopsApplyStop( stopTypeProfit,
stopModePercent, 30, True );ApplyStop( stopTypeTrailing, stopModePercent,
20, True );
CHANGE LOG
CHANGES FOR VERSION 4.41.0 (as compared to 4.40.4)
legacy 'stoch()' function removed. Use StochK and StochD instead.
weekly / monthly charts are not affected by intraday compression
settingsin preferences any more and always use last available day date for
time stamp of time-compressed bar.
Pref: Misc: auto-hide timeout field: added check for allowed values
from 1...32
TimeFrameSet( interval ) function implemented-
replaces current price/volume arrays: open, high, low, close, volume,
openint, avg with time-compressed bars of specified interval once you
switched to a different time frame all calculations and built-in indicators
operate on selected time frame. To get back to original interval call
TimeFrameRestore() funciton.
TimeFrameRestore()- restores price arrays replaced
by SetTimeFrame.
Note that only OHLC, V, OI and Avg built-in variables are restored to
original time frame when you call TimeFrameRestore(). All other variables
created when being in different time frame remain compressed. To de-compress
them to original interval use TimeFrameExpand
TimeFrameCompress( array, interval, mode =
compressLast )- compresses single array to given interval using given
mode, available modes:compressLast - last (close) value of the array
within intervalcompressOpen - open value of the array within
intervalcompressHigh - highest value of the array within
intervalcompressLow - lowest value of the array within
intervalcompressVolume - sum values of the array within
interval
TimeFrameExpand( array, interval, mode = expandLast
)- expands time-compressed array from 'interval' time
frame('interval' must match the value used in TimeFrameCompress or
TimeFrameSet)Available modes:
expandLast - the compressed value is expanded starting from last bar
within given period (so for example weekly close/high/low is available on
Friday's bar)
expandFirst - the compressed value is expanded starting from first
bar within given period(so for example weekly open is available from
Monday's bar)
expandPoint - the resulting array gets not empty values only for the
last bar within given period (all remaining bars are Null
(empty))Caveat: expandFirst used on price different than open may look
into the future.For example if you create weekly HIGH series,
expanding it to daily interval using expandFirst will enable you to know
on MONDAY what was the high for entire week.graph0 =
TimeFrameExpand( TimeFrameCompress( Close, inWeekly, compressLast ),
inWeekly, expandLast );graph1 = TimeFrameExpand( TimeFrameCompress(
Open, inWeekly, compressOpen ), inWeekly, expandFirst
);
TimeFrameGetPrice( pricefield, interval, shift = 0,
mode = expandFirst );- references OHLCV fields from other time
frames.This works immediatelly without need to call
TimeFrameSetTimeFrameGetPrice( "O", inWeekly, -1 )
- gives you previous week OPEN priceTimeFrameGetPrice( "C",
inWeekly, -3 ) - gives you weekly Close price 3 weeks
agoTimeFrameGetPrice( "H", inWeekly, -2 ) - gives you
weekly High price 2 weeks agoTimeFrameGetPrice( "O", inWeekly, 0
) - gives you this week open price.TimeFrameGetPrice( "H",
inDaily, -1 ) - gives previous day high when working on intraday
dataPrice field is one of the following"O", "H", "L", "C",
"V", "I" (open interest)Shift works as in Ref() function but it is
applied to compressed time frame.Note these functions work like these 3
nested functionsTimeFrameExpand( Ref( TimeFrameCompress( array,
interval, compress(depending on field used) ), shift ), interval,
expandFirst )therefore if shift = 0 compressed data may look into
the future ( weekly high can be known on monday ). If you want to write a
trading system using this function please make sure to reference PAST data
by using negative shift value.The only difference is that
TimeFrameGetPrice is 2x faster than nested Expand/Compress.
new interval / timeframe constants:in1Minute =
60in5Minute = 5 * 60 in15Minute =
15 * 60 inHourly = 3600 inDaily =
24 * 3600inWeekly = 5 * 24 * 3600
inMonthly = 25 * 24 * 3600
compressLast = 0
compressOpen = 1 compressHigh = 2
compressLow = 3 compressVolume = 4
expandLast = 0 expandFirst = 1
expandPoint = 2
SetForeign( 'ticker' )- replaces current
price/volume arrays with those of foreign security, returns True if ticker
exists, False otherwise.If ticker does not exist (and function returns
false) price arrays are not changed at all.Equivalent to the
following sequence:C = Foreign( "ticker", "C" );O = Foreign(
"ticker", "O" );H = Foreign( "ticker", "H" );L = Foreign( "ticker",
"L" );V = Foreign( "ticker", "V" );OI = Foreign( "ticker", "I"
);Avg = ( C + H + L )/3;but 6x faster (SetForeign takes
about the same time as single foreign). To restore original prices
callRestorePriceArrays();EXAMPLE:SetForeign( "MSFT"
);dm = MACD(); // dm holds MACD of MSFT regardless of currently selected
symbolRestorePriceArrays();Plot( dm, "MACD of MSFT", colorRed
);Plot( MACD(), "MACD of " + Name(), colorBlue );
RestorePriceArrays();restores arrays overwritten
by SetForeign/TimeFrameSet
HOW TO REPORT BUGS
If you experience any problem with this beta version please send detailed
description of the problem (especially the steps needed to reproduce it) to <A
href="">bugs@xxxxxxxxxxxxx Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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