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Hi Thomasz,
Thanks for this release. Wud like to know if I can control the
number of position based on certain condition (of couse it must be within the
capital) ? e.g. Let's say I have 3 conditions in my system which when condition
A and B occur, I want to double my position as it has a higher probability to
make money and when condition A and C occur, I want to half my position as it
has a lower probability to make money. Other time, I just put in a "normal"
position. It is something like dynamic position size for example when there is
high volatility I do not want to put in all positions where my capital can
afford because if I were wrong then the high volatility would have stop me
out.
Thanks
KK
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Friday, September 26, 2003 2:51
AM
Subject: [amibroker] AmiBroker 4.42.0
BETA released
Hello,
A new beta version (4.42.0) of AmiBroker has just been
released.
It is available for registered users only from the members
area at:
<FONT
size=2>http://www.amibroker.com/members/bin/ab4420beta.exe
If you forgot your user name / password to the members
area
you can use automatic reminder service at: <A
href=""><FONT
size=2>http://www.amibroker.com/login.html
CHANGES FOR VERSION 4.42.0 (as compared to
4.41.2)
first (incomplete) early beta version of the portfolio backtester
(see documentation
below)
fixed plot of Null arrays using styleArea
fixed display problem with % progress in single-stock optimization
other minor fixes
Best regards,Tomasz
Janeczkoamibroker.com
AmiBroker 4.42.0 Beta Read Me
September 25, 2003 20:36
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 4.42.0 beta" written in the
About box.
See CHANGE LOG below for detailed list of changes.
HELP ON NEW FEATURES
New portfolio backtester
IMPORTANT: Since the new backtester is not yet
complete and I am still working on it please accept that until it is
finished I will essentially provide no technical support for it. The only
exceptions are bugs you may find. If you think that there is a bug please
report it to bugs@xxxxxxxxxxxxx with
all details you can give including: the formula, HTML report generated by
AmiBroker, trade list or detailed log, etc.
From version 4.42.0 BETA through some future betas there will be TWO
backtesters. The OLD one that is triggered by pressing "Backtest" or
"Optimize" button in the Automatic Analysis window. And NEW one,
portfolio-level backtester that is triggered by pressing "Portfolio Test"
button in Automatic Analysis window.
Old backtester is untouched and it works exactly the same way as in
pre-4.42 versions. I have decided to leave it for a while so you can
continue using old your own formulas, results, etc while checking out new
backtester.
New backtester is NOT COMPLETE yet, but already provides substantial amount
of functionality to make it worthwhile to check it out.
New backtester works in TWO modes:
Regular mode: evaluates ordinary buy/sell/short/cover signals as the old
backester but on the PORTFOLIO level
Ranking/scoring mode: uses user-defined score to rank securities and
enter trades in highest scored securities. Buy/sell/short/cover signals are
IGNORED in that mode.
Ranking/scoring functionality has been partially inspired by Fred Tonetti's
PortfolioTrader (PT), however it is different in some details (see below). The
software implementation is on the other hand completely different to make the
portfolio testing part as fast as other parts of AmiBroker. Since PT already
got some attention I thought that it will be good thing for the users to make
porting from PT as easy as possible. Thank-yous go to Fred and Dale for their
work on PT.
Regular mode
This mode is default one. Everything works as in old backtester with the
exception that test is performed on portfolio. IMPORTANT: to
enable more than one symbol to be traded you have to add PositionSize variable
to your formula, so less than 100% of funds are invested in single
security:
PositionSize = -25; // invest 25% of portfolio equity in single
security
or
PositionSize = 5000; // invest $5000 into single security
Ranking/Scoring mode
This mode uses user-defined score to rank securities and enter trades in
highest scored securities. Buy/sell/short/cover signals are IGNORED in that
mode.
To enter this mode you have to include PositionScore variable in your
formula. Once you include PostionScore variable, buy/sell/short/cover
variables will have NO EFFECT on results.
A simple ranking / scoring formula (actually Fred's PT 'Sample' formula
ported to new backtester):
SOV1=21;
BBandWid = 2;BBAvg = MA(Close, SOV1);UBBand = BBandTop(Close,
SOV1, BBandWid);LBBand = BBandBot(Close, SOV1, BBandWid);rScore = 50 -
100 * (Close - LBBand) / (UBBand - LBBand);
PositionSize = -25; // invest 25% of equity in single
securityPositionScore = rScore; // PositionScore has the same meaning as
rScore in PT
Exactly as in PT all securities will be scored, based on a separate user
supplied PositionScore variable but only the top candidates as defined by the
value of MaxRanked will be kept as securities to be potentially traded. The
results of scoring are evaluated and ranked as follows:
The higher the positive number the better the long candidate.
The lower the negative number the better the short candidate.
Zero is treated as having disqualified a particular security for a
particular bar.
In terms of choosing between long and short candidates the absolute
value of the score will determine which is to be the higher
ranking score.
Things NOT IMPLEMENTED yet in new portfolio backtester, to be done
soon
built-in stops in scoring/ranking mode. (stops in regular mode work
already)
futures support (point value, margin deposit, ticksize)
calculation of interest earnings
pyramiding
intra-bar detailed timing
OLE interface
more statistics (RRR, Sharpe ratio, Ulcer index, etc...)
optimization
etc...
Automatic Analysis Settings - Portfolio page
- Max. traded - the maximum number of simultaneously open positions.
Suggestions for better name welcome.
- Max. ranked - (SCORING/RANKING mode only!!!) the maximum number of
securities that will be ranked. When MaxRanked is greater than MaxTraded once
a position is taken in a security it will not be exited until the ranking of
that security drops below MaxRanked. Suggestions for better name welcome. This
name is good for PT users since they already know it but personally I have
mixed feelings about this name
- Max. tracked - (REGULAR mode only) the maximum number of
buy/sell/short/cover signals per single bar that AmiBroker will track. Should
be set to at least 2 * (Max. Traded) or more. Default of 100 should be fine
for most applications. May be removed in the future.
- Report mode - Trade list - shows regular trade list (as old backtester),
Detailed log - shows very detailed bar-by-bar log with rankings, each entry
and exit separately reported, etc.
- Min. shares - the minimum number of shares that are allowed to buy/short.
Backtester will not enter trades below that limit. Default = 1 is good for
stocks.
Known differencies between statistics produced by 'old' and 'new'
(portfolio) backtester
Old backtester
New (portfolio) backtester
System and trade drawdown calculations based on
Open/Close/H-L range (worst case) selectable in settings
Close price only (regardless of settings) - subject to change
Max. % trade drawdown
Calculated based on total equity
Calculated based on ACTUAL trade value at entry point.
Stats available
for all trades only
separately for long, short and all trades
Futures backtesting (MarginDeposit, TickSize, PointValue)
Supported
Not yet available
Interest earnings calculation
Supported
Not yet available
PositionSizing
Based on individual symbol equity
Based on portfolio equity.
PositionSize = -25;
will enter 25% of current porfolio equity
Trade statistics
Include only closed trades, open trade is reported separately
Include all trades (closed and those still open at the end of
analysis period)
Positions taken
Uses "Positions" selector in the Settings to include long, short or
both positions
Currently always works in both long and short mode but does not
complain about missing variables. So for long only system just use only
buy/sell variables, and for short only system use only short/cover
variables. May be changed in the future.
Multiple security testing
N independent accounts (multiple single equity)
Portfolio equity common to all symbols under
test
Known differencies between Fred's PT and new portfolio backtester working
in ranking mode
PT
New (portfolio) backtester
PositionSizing
Common to all symbols, settable via PT GUI
Settable individually from the formula level using PositionSize
variable. Examples:PositionSize =2000; // will enter positions
with equal size of 2000 and will grow the NUMBER of positions as equity
grows (similar to PT setting: Increase Position first)
PositionSize = -25; // will enter positions with 25% of current
portfolio equity (similar to PT setting: increase position size
first)
Calculation of initial position value
PT subtracts NTraded * commission from the equity and by number of
symbols to calculate new position value.
Example: Equity is 1000. MaxTraded is 4, Commission per trade is
1
PT will enter 4 positions with value of (1000- 4 * 1)/4 = 249
AB enters the position with the value specified by positionsize
variable if there are enough funds and adds commission on top of it,
otherwise shinks desired position.Example: Equity is 1000.
PositionSize = -25 (25% of equity available), Commission per trade is
1.
AmiBroker will enter 4 positions:
1. 1000 * 25% = 250. Commission $1. Available cash = 749. 2. 1000
* 25% = 250. Commission $1. Available cash = 548.3. 1000 * 25% =
250. Commission $1. Available cash = 2474. 1000 * 25% = 250 ->
not enough cash -> shrinking position to $246. Commission $1.
Available cash = 0.
Trade price
Open or Close
Entry price is controllable via
BuyPrice and ShortPrice variables (or AA settings)
in ranking mode exits are currently done on Close always. This will
be changed.
Exits by Stops, Trade delays
Available
Not yet available
Trade listing
Sorted by entry date
Sorted by EXIT date. Can be re-sorted by any other column available
in report by clicking on column header.
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 4.42.0 (as compared to
4.41.2)
first (incomplete) early beta version of the portfolio
backtester
fixed plot of Null arrays using styleArea
fixed display problem with % progress in single-stock optimization
other minor fixes
CHANGES FOR VERSION 4.41.2 (as compared to 4.41.1)
now Sum produces values for periods upto and including BarCount, so
Sum( array, BarCount ) gives the value instead of Null
fixed problem with saving parameters on exit when the user did not
specify default value for string parameter using ParamStr("name", "")
fixed 38-byte memory leak when returning values from user-defined
functions
real-time mode: after AFL syntax error commentary AFL editor is not
refreshed until error is fixed and user presses 'apply'
eSignal 1.6.0 plugin (available separately from<A
href="">
http://www.amibroker.com/bin/eSignal160.exe):
much quicker backfills
implemented force-reconnect feature in eSignal plugin
fixed minor timing issue in eSignal plugin
implemented workaround to invalid tick numbers sent sometimes by
eSignal's data manager.
thanks to all users for reporting errors and helping ironing out
outstanding issues.
CHANGES FOR VERSION 4.41.1 (as compared to 4.41.0)
fixed chart refresh locking that happened when user was drawing some
object and abandonend it by pressing ESC key.
View->Refresh and View->Refresh All menus now reset internal
chart refresh lock flag just in case.
plugin status is refreshed more often
maximum number of chart sheets increased to 60 (Caveat: when you
increase the number of sheets you would not be able to use the layouts with
OLDER versions of the software)
TimeFrameSet() now affects result of Interval() AFL function.
TimeFrameRestore() resets it back.
Plot() makes copies of OHL arrays when styleCandle or styleBar is used
so statements likeSetForeign("AAPL");Plot( C, "Price",
colorYellow, styleCandle );SetForeign("MSFT");Plot( C, "Price 2",
colorBlue, styleCandle );plot correctly. Previously one would
need to use PlotOHLC() or PlotForeign()
separate heap for syntax tree walker implemented, so larger AFL
programs like PortfolioTrader should execute faster while retaining the
speed improvement gained in 4.40.4 for small formulas.
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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