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<SPAN
class=426523714-25092003>thanks, my error, as usual.
<SPAN
class=426523714-25092003>
<SPAN
class=426523714-25092003>now to investigate whether there's anything profitable
left in any variation of the trading systems I've been looking at (:-(. glad I
looked closely before putting real money down...
<SPAN
class=426523714-25092003>
<SPAN
class=426523714-25092003>dave
<SPAN
class=426523714-25092003>
<BLOCKQUOTE
>
You should RE-READ the
docs. Especially the following bits:
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 )<FONT color=#ff0000
size=3>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.
Best regards,Tomasz
Janeczkoamibroker.com
----- Original Message -----
From: "Dave Merrill" <<A
href="">dmerrill@xxxxxxx<FONT
size=2>>
To: "AmiBroker" <<A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, September 25, 2003 4:12 PM
Subject: [amibroker] weekly prices look into the
future?
> I'm using the following
to get a weekly price:> c_w = TimeFrameGetPrice("C",
inWeekly);> > if I raise a friday's price by a factor of 10, not
only does the weekly> price on that day go up, but so do the weekly
prices for every day EARLIER> that week. monday's weekly price depends
on the close THE FOLLOWING FRIDAY.> > if weekly price figures
depend on data for the rest of the days *afterwards*> in that week,
they're effectively looking into the future.> > this is a huge
no-no for backtesting, and, unfortunately, may be the reason> some
daily/weekly divergences I've been looking at backtest so well.>
> comments?> > Dave Merrill> > >
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