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Dimitris: yes, for an exploration.
I would like to select a date in the past and display all stocks that
had a breakout that day, when looking back, from that date, for n
lookback bars.
This merely sets the stage for backtesting (if it can be backtested)????
At the least, one can eyeball a visual backtest, meaning, that when
calling up the chart (for breakouts on Mar28 for example), one could see
the chart action following that date.
I still do not know enough about the Portfolio Tester to know if it can
analyze candidates from each date in the past, purchase those which mean
additional criteria (in addition to the breakout day) and then maintain
say 10 positions, and ignoring new candidates until one of the held
stocks is sold.....but that is getting ahead of the story.
Ken
-----Original Message-----
From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@xxxxxxxxx]
Sent: Thursday, October 02, 2003 11:53 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Dimitri - Channel ID:do you think...
Ken,
I am not sure I understand. Do you want an exploration as if the
Mar28 was the last trading bar [and ignore the stock history from
Mar29 till now?]?
Please advise.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> DT: very very interesting....
>
> I have long looked at candidates of a "Cooper" breakout, which is a
new
> high after a period of consolidation (and other conditions also).
>
> I never have had a chance for backtesting some of the parameters;
it was
> too tedious for a walk forward test (for me).
>
> This code can serve as the basis for backtesting a Cooper breakout.
>
> As a measure of consolidation, I have shortened the lookback period
and
> sorted by the difference in H1-L1. Low values are candidates with
small
> steady consolidations before the breakout.
>
> There are other conditions I will build in and share back, but.....
>
> I am not able to "lookback" at a previous date....If I set the date
for
> the exploration at some time in the past (with the range say From:
> Mar28; To:Mar28, I get nothing. I suspect is has to do with X1
value
> and the Cum function.
>
> How would you change this for backtesting or at the least for doing
an
> exploration at a date in the past.
>
> Thanks,
>
> Ken
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Thursday, October 02, 2003 8:56 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Dimitri - Channel ID:do you think...
>
> Paste in both AA and IB the
>
> Lookback=100;x1=LastValue(Cum(1));
> H1=LastValue(Ref(HHV(H,Lookback),-1));
> L1=LastValue(Ref(LLV(L,Lookback),-1));
> H1=IIf(Cum(1)>x1-Lookback,H1,-1e10);
> L1=IIf(Cum(1)>x1-Lookback,L1,-1e10);
> UpBreakout=Cross(H,H1);
> DownBreakout=Cross(L1,L);
> Plot(H1,"H1",colorYellow);
> Plot(L1,"L1",colorYellow);
> Plot(C,"Close",IIf(upbreakout OR
> downbreakout,colorRed,colorBlack),64);
> Filter=Upbreakout OR DownBreakout;//EXPLORE THE DATABASE FOR THE
N=1
> LAST QUOTATIONS
> AddColumn(Upbreakout,"UP",1.0);
> AddColumn(H,"H");
> AddColumn(H1,"H1");
> AddColumn(downbreakout,"DOWN",1.0);
> AddColumn(L,"L");
> AddColumn(L1,"L1");
>
> It will give you the last day breakouts.
> For any arrangements, just let me know.
> Dimitris Tsokakis
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gillesdeprez"
<gillesdeprez@xxxx>
> wrote:
> > Yes,a 100 bars would be perfect, can we use it as max in "param"?
I
> > would use 60 as default, what do you think?
> > Btw,2 points can define parallel lines (and an infinity as well),
> how
> > do you express the horizontality?
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx>
> > wrote:
> > > I need two points to define an horizontal channel, one high and
> one
> > > low.
> > > What would you prefer for the definition ?
> > > It could be, for example the highest and the lowest of the last
> 100
> > > bars.
> > > Describe your requirement with some more details and we shall
> give
> > it
> > > a try.
> > > Mitsos
> > > --- In amibroker@xxxxxxxxxxxxxxx, "gillesdeprez"
> > <gillesdeprez@xxxx>
> > > wrote:
> > > > Good afternoon, Dimitri!
> > > > Back in Belgium,and believe me the weather here is awful!!
> > > > Say, based on the formulas you've recently presented here,
> would
> > it
> > > > be possible to set up an horizontal channel breakout
> detection ,
> > > with
> > > > the looback and amplitude of the channel adjustable via the
> param
> > > > function? I didn't found anything like that in the library...
> > > > Have a nice day,
> > > > Friendly,
> > > > Gilles
>
>
>
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