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Colin,
Timeframes allow you to collect data in one time frame (1 min for example)
and view data in a different time frame(15min,60 min etc). Many traders look
for indicators/price patterns to occur in more than one time frame. For
instance you may see that a pattern is emerging in your eod data but when
viewed in a weekly chart you clearly see that the suspected pattern is in
fact part of a larger pattern which indicates something entirely different.
Timeframes allows you to view a 1 min chart of price and offer you signals
based on the 60 min RSI for example. One of my chart layouts shows 5 min,
15min and 60 min price all on one page. It can be very interesting...
Regards,
Jayson
-----Original Message-----
From: Colin Quinney [mailto:crquin@xxxxxxxxxx]
Sent: Monday, October 20, 2003 10:18 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: AmiBroker 4.45.0 BETA released
Hi Tomasz,
I'm just monitoring this list (among others) with the thought in mind of one
day trying Amibroker and so far I like what I see here, and now I am
suddenly curious about this thing called Time Frame Functions. TJ's response
inspired me to do a Google search, and Wealth Lab referred to "Time Frame
Functions" as:
"You can now create Compressed Time Interval scripts. For example, obtain
the 15 minute RSI from a 1 minute chart, or the 60 minute MACD from a 5
minute chart. The new Time Frame functions are: SetScaleCompressed,
GetIntradayBar, and IntradayFromCompressed."
That explanation is still kinda foggy to me, and clarity is requested, but
surely perhaps I should really be first asking to what advantage do Time
Frame Functions offer a trader? Thanks very much.
Best Regards,
Colin Quinney
----- Original Message -----
From: "Tomasz Janeczko" <amibroker@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, October 19, 2003 2:02 PM
Subject: Re: [amibroker] Re: AmiBroker 4.45.0 BETA released
> For what is worth: Time Frame functions are here for more than one month
since release 4.41.0
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "nkis22" <nkishor@xxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, October 19, 2003 7:02 PM
> Subject: [amibroker] Re: AmiBroker 4.45.0 BETA released
>
>
> > Time Frame Functions! Wow!!!!!!!!!!!!!!!!!!
> > thanks TJ
> > nand
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> > wrote:
> > >
> > > Hello,
> > >
> > > A new beta version (4.45.0) of AmiBroker has just been released.
> > >
> > > It is available for registered users only from the members area at:
> > > http://www.amibroker.com/members/bin/ab4450beta.exe
> > > and
> > > http://www.amibroker.net/members/bin/ab4450beta.exe
> > >
> > > (File size: 510 416 bytes, 510 KB)
> > >
> > > If you forgot your user name / password to the members area
> > > you can use automatic reminder service at:
> > http://www.amibroker.com/login.html
> > >
> > > The 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 )
> > >
> > > CHANGES FOR VERSION 4.45.0 (as compared to 4.44.1)
> > >
> > > a.. score of 999999 is no longer recognized. Use constant
> > scoreNoRotate instead.
> > >
> > > b.. UI simplification:
> > > Rotational mode: separate settings for rotational mode trade
> > price and delay and worst rank held have been removed.
> > > Rotational mode now uses buy price and buy delay settings
> > from "Trade" tab. You can also set delay from the code SetTradeDelays
> > ( 1, 1, 1, 1 ); will give you one bar delay. To set 'worst rank held'
> > use SetOption function in your formula:
> > > SetOption("WorstRankHeld", 5 );
> > >
> > > c.. stops implemented in rotational trading mode (limitation:
> > stops in rotational mode can only be static, they can not change
> > > 'stop amount' from symbol to symbol or from bar to bar like in
> > regular mode)
> > >
> > > d.. re-entry delay implemented for all kind of stops
> > >
> > > e.. user interface added in the settings for n-bar stops
> > >
> > > f.. ApplyStop function now takes 6 parameters:
> > > ApplyStop( Type, Mode, Amount, ExitAtStop = True, Volatile =
> > False, ReentryDelay = 0 )
> > >
> > > g.. rotational mode docs moved to this page
> > >
> > > h.. fixed bug in RestorePriceArrays();
> > > (sorry but support for adjusted close in importer is delayed and
> > will appear in next beta)
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > Hope this helps.
> > >
> > > AmiBroker 4.45.0 Beta Read Me
> > > October 19, 2003 14:20
> > >
> > > 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 4.45.0 beta" written
> > in the About box.
> > >
> > > See CHANGE LOG below for detailed list of changes.
> > >
> > > HELP ON NEW FEATURES
> > > New backtest report
> > > New report is hugely enhanced compared to old one. It includes
> > separate statistics for all, long and short sides as well as large
> > number of new metrics. You can get short help on given figure by
> > hovering your mouse over given field name. You will see the
> > description in the tooltip. Short explanations are provided also
> > below:
> > >
> > > Exposure % - modified since last release -'Market exposure of the
> > trading system calculated on bar by bar basis. Sum of bar exposures
> > divided by number of bars. Single bar exposure is the value of open
> > positions divided by portfolio equity.
> > >
> > > Net Risk Adjusted Return % - Net profit % divided by Exposure %
> > >
> > > Annual Return % - Compounded Annual Return % (CAR)
> > >
> > > Risk Adjusted Return % - Annual return % divided by Exposure %
> > >
> > > Avg. Profit/Loss - (Profit of winners + Loss of losers)/(number of
> > trades)
> > >
> > > Avg. Profit/Loss % - '(% Profit of winners + % Loss of losers)/
> > (number of trades)
> > >
> > > Avg. Bars Held - sum of bars in trades / number of trades
> > >
> > > Max. trade drawdown - The largest peak to valley decline
> > experienced in any single trade
> > >
> > > Max. trade % drawdown - The largest peak to valley percentage
> > decline experienced in any single trade
> > >
> > > Max. system drawdown - The largest peak to valley decline
> > experienced in portfolio equity
> > >
> > > Max. system % drawdown - The largest peak to valley percentage
> > decline experienced in portfolio equity
> > >
> > > Recovery Factor - Net profit divided by Max. system drawdown
> > >
> > > CAR/MaxDD - Compound Annual % Return divided by Max. system %
> > drawdown
> > >
> > > RAR/MaxDD - Risk Adjusted Return divided by Max. system % drawdown
> > >
> > > Profit Factor - Profit of winners divided by loss of losers
> > >
> > > Payoff Ratio - Ratio average win / average loss
> > >
> > > Standard Error - Standard error measures chopiness of equity line.
> > The lower the better.
> > >
> > > Risk-Reward Ratio - Measure of the relation between the risk
> > inherent in a trading the system compared to its potential gain.
> > Higher is better. Calculated as slope of equity line (expected annual
> > return) divided by its standard error.
> > >
> > > Ulcer Index - Square root of sum of squared drawdowns divided by
> > number of bars
> > >
> > > Ulcer Performance Index - (Annual profit - Tresury notes
> > profit)/Ulcer Index'>Ulcer Performance Index. Currently tresury notes
> > profit is hardcoded at 5.4. In future version there will be user-
> > setting for this.
> > >
> > > Sharpe Ratio of trades - Measure of risk adjusted return of
> > investment. Above 1.0 is good, more than 2.0 is very good. More
> > information http://www.stanford.edu/~wfsharpe/art/sr/sr.htm .
> > Calculation: first average percentage return and standard deviation
> > of returns is calculated. Then these two figures are annualized by
> > multipling them by ratio (NumberOfBarsPerYear)/
> > (AvgNumberOfBarsPerTrade). Then the risk free rate of return is
> > subtracted (currently hard-coded 5) from annualized average return
> > and then divided by annualized standard deviation of returns.
> > >
> > > K-Ratio - Detects inconsistency in returns. Should be 1.0 or more.
> > The higher K ratio is the more consistent return you may expect from
> > the system. Linear regression slope of equity line multiplied by
> > square root of sum of squared deviations of bar number divided by
> > standard error of equity line multiplied by square root of number of
> > bars. More information: Stocks & Commodities V14:3 (115-118):
> > Measuring System Performance by Lars N. Kestner
> > >
> > > Optimization in new portfolio backtester
> > >
> > > From version 4.43.0 BETA AmiBroker is able to perform optimizations
> > on portfolio level. The portfolio optimization uses familar function
> > Optimize and allows upto 10 variables to be optimized. You are able
> > not only to optimize parameters of indicators but you can also
> > optimize portfolio-level settings like maximum number of open
> > positions, portfolio level position sizing, etc. These settings are
> > available via SetOption() function. New fields accepted by SetOption
> > include: SetOption("MaxOpenPositions"), SetOption("MinShares"). More
> > are on the way.
> > >
> > > Also the portfolio optimizer gives much more statistics than old
> > one including metrics like Sharpe ratio, Risk Reward ratio, etc.
> > >
> > > New portfolio backtester
> > > IMPORTANT: Since the new backtester is not yet complete. If you
> > think that there is a bug please report it to bugs@xxxx 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
> > BackTest" or "Portfolio Optimize" 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 on PORTFOLIO LEVEL, it means that there is
> > single portfolio equity and position sizing refers to portfolio
> > equity. Portfolio equity is equal to available cash plus sum of all
> > simultaneously open positions at given time.
> > >
> > > 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
> > >
> > > You can use new PositionScore variable to decide which trades
> > should be entered if there are more entry signals on different
> > securities than maximum allowable number of open positions or
> > available funds. In such case AmiBroker will use the absolute value
> > of PositionScore variable to decide which trades are preferred. See
> > the code below. It implements simple MA crossover system, but with
> > additional flavour of preferring entering trades on symbols that have
> > low RSI value. If more buy signals occur than available cash/max.
> > positions then the stock with lower RSI will be preferred. You can
> > watch selection process if you backtest with "Detailed log" report
> > mode turned on.
> > >
> > > The code below includes also the example how to find optimum number
> > of simultaneously open positions using new Optimization in Porfolio
> > mode.
> > >
> > > /*****
> > > ** REGULAR PORTFOLIO mode
> > > ** This sample optimization
> > > ** finds what is optimum number of positions open simultaneously
> > > **
> > > ****/
> > >
> > > SetOption("InitialEquity", 20000 );
> > > SetTradeDelays(1,1,1,1);
> > > RoundLotSize = 1;
> > >
> > > posqty = Optimize("PosQty", 4, 1, 20, 1 );
> > > SetOption("MaxOpenPositions", posqty);
> > >
> > > // desired position size is 100% portfolio equity
> > > // divided by PosQty positions
> > >
> > > PositionSize = -100/posqty;
> > >
> > > // The system is very simple...
> > > // MA parameters could be optimized too...
> > > p1 = 10;
> > > p2 = 22;
> > > // simple MA crossover
> > > Short=Cross( MA(C,p1) , MA(C,p2) );
> > > Buy=Cross( MA(C,p2) , MA(C,p1) );
> > > // always in the market
> > > Sell=Short;
> > > Cover=Buy;
> > >
> > > // now additional score
> > > // that is used to rank equities
> > > // when there are more ENTRY signals that available
> > > // positions/cash
> > > PositionScore = 100-RSI(); // prefer stocks that have low RSI;
> > >
> > >
> > >
> > > Things NOT IMPLEMENTED yet in new portfolio backtester, to be done
> > soon
> > > a.. built-in stops in rotational trading mode. (stops in regular
> > mode work already)
> > > b.. futures support (point value, margin deposit, ticksize)
> > > c.. calculation of interest earnings
> > > d.. pyramiding
> > > e.. intra-bar detailed timing
> > > f.. OLE interface
> > > g.. etc...
> > > Automatic Analysis Settings - Portfolio page
> > > - Max. Open Positions (previously known as "Max. traded") - the
> > maximum number of simultaneously open positions. .Settable also using
> > SetOption("MaxOpenPositions", number ) function.
> > >
> > > - Max. # of signals tracked per bar- the maximum number of
> > buy/sell/short/cover signals per single bar that AmiBroker will
> > track. Should be set to at least 2 * (Max. Open Positions) or more.
> > Default of 100 should be fine for most applications. May be removed
> > in the future. Settable also using SetOption("MaxTracked", number )
> > function.
> > >
> > > - Report mode - Trade list - shows regular trade list (as old
> > backtester), Detailed log - shows very detailed bar-by-bar log with
> > scores, 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). Any open trades are closed out
> > at 'close' price always.
> > > Positions taken Uses "Positions" selector in the Settings to
> > include long, short or both positions From version 4.43.0 portfolio
> > backtest behaves the same (uses "positions" selector)
> > > Exposure calculated regardless of position size (no matter on
> > what is position size if trade is taken for particular bar it assumes
> > 100% exposure at that bar) calculations include now (in 4.43.0) the
> > total amount of open positions compared to total portfolio equity.
> > Exposure is calculated on bar by bar basis so if only 50% funds are
> > in open trade, then exposure for this bar is 0.5. Then individual bar
> > exposures are summed up and divided by number of bars to produce
> > exposure figure. This way true market exposure is calculated.
> > > Multiple security testing N independent accounts (multiple
> > single equity) Portfolio equity common to all symbols under test
> > >
> > >
> > >
> > >
> > >
> > > 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:
> > >
> > > 1.. switching time frame of build-in O, H, L, C, V, OI, Avg
> > arrays: TimeFrameSet, TimeFrameRestore
> > > 2.. compressing/expanding single arrays to/from specified
> > interval: TimeFrameCompress, TimeFrameExpand
> > > 3.. 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 interval
> > > compressOpen - open value of the array within interval
> > > compressHigh - highest value of the array within interval
> > > compressLow - lowest value of the array within interval
> > > compressVolume - 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 price
> > > TimeFrameGetPrice( "C", inWeekly, -3 ) - gives you weekly Close
> > price 3 weeks ago
> > > TimeFrameGetPrice( "H", inWeekly, -2 ) - gives you weekly High
> > price 2 weeks ago
> > > TimeFrameGetPrice( "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 functions
> > > TimeFrameExpand( 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 frame
> > >
> > > TimeFrameGetPrice( "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 data
> > > TimeFrameRestore();
> > > 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 histogram
> > > TimeFrameRestore();
> > > /* 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 */
> > > AND
> > > bearpower < 0 and bearpower > Ref( bearpower, -1 ) /* 2nd screen
> > bear power negative but rising */
> > > AND
> > > H > Ref( H, -1 ); /* 3rd screen, if prices make a new high */
> > > BuyPrice = Ref( H, -1 ); // buy stop level;
> > > Sell = 0 ; // exit only by stops
> > > ApplyStop( stopTypeProfit, stopModePercent, 30, True );
> > > ApplyStop( stopTypeTrailing, stopModePercent, 20, True );
> > >
> > > CHANGE LOG
> > >
> > > CHANGES FOR VERSION 4.45.0 (as compared to 4.44.1)
> > >
> > > a.. score of 999999 is no longer recognized. Use constant
> > scoreNoRotate instead.
> > >
> > > b.. UI simplification:
> > > Rotational mode: separate settings for rotational mode trade
> > price and delay and worst rank held have been removed.
> > > Rotational mode now uses buy price and buy delay settings
> > from "Trade" tab. You can also set delay from the code SetTradeDelays
> > ( 1, 1, 1, 1 ); will give you one bar delay. To set 'worst rank held'
> > use SetOption function in your formula:
> > > SetOption("WorstRankHeld", 5 );
> > >
> > > c.. stops implemented in rotational trading mode (limitation:
> > stops in rotational mode can only be static, they can not change
> > > 'stop amount' from symbol to symbol or from bar to bar like in
> > regular mode)
> > >
> > > d.. re-entry delay implemented for all kind of stops
> > >
> > > e.. user interface added in the settings for n-bar stops
> > >
> > > f.. ApplyStop function now takes 6 parameters:
> > > ApplyStop( Type, Mode, Amount, ExitAtStop = True, Volatile =
> > False, ReentryDelay = 0 )
> > >
> > > g.. rotational mode docs moved to this page
> > >
> > > h.. fixed bug in RestorePriceArrays();
> > > CHANGES FOR VERSION 4.44.1 (as compared to 4.44.0)
> > >
> > > a.. fixed problem with rotational mode, trading price: open
> > > CHANGES FOR VERSION 4.44.0 (as compared to 4.43.2)
> > >
> > > a.. fixed crash with 'detail mode' and large number of open
> > positions/ranks used
> > >
> > > b.. max. in-memory cache size can be set now to 20000 (please
> > note that this large cache requires lots of RAM (more than 512MB))
> > >
> > > c.. listview copy to clipboard feature now copies also column
> > header names
> > >
> > > d.. SetForeign( ticker, fixup = True, tradeprices = False) and
> > > RestorePriceArrays( tradeprices = False )
> > > have new flag now: tradeprices (False by default)
> > > when tradeprices is set to TRUE, then not only OHLC, V, OI, Avg
> > arrays are set to foreign symbol values, but also BuyPrice,
> > SellPrice, ShortPrice, CoverPrice, PointValue, TickSize,
> > RoundLotSize, MarginDeposit variables are set to correspond to
> > foreign security.
> > > This allows Equity() to work well with SetForeign.
> > > Example:
> > > // your rules
> > > buy = ...
> > > sel = ...
> > > SetForeign("MSFT", True, True );
> > > e = Equity(); // backtest on MSFT
> > > RestorePriceArrays( True ); // <- should match parameter used in
> > SetForeign
> > >
> > > e.. Name(), FullName(), GetExtraData() work well with SetForeign
> > () (i.e. give foreign name/data instead of currently selected)
> > >
> > > f.. SetOption("PriceBoundChecking", False ); - disables checking
> > and adjusting buyprice/sellprice/coverprice/shortprice arrays to
> > current symbol High-Low range.
> > >
> > > g.. % profit added to detailed log mode
> > >
> > > h.. fixed bug in portfolio backtester occuring when 'allow same
> > bar exit' was turned off and 'immediate stops' was turned on 2 buys
> > and 2 sells occurred the in 2 bars in row
> > >
> > > i.. Auto Analysis/Settings,setting modified "portfolio report
> > mode: trade list/detailed log" moved to "report" tab
> > >
> > > j.. Auto Analysis/Settings, rotational mode: added selection of
> > trade price and trade delay to portfolio settings page
> > >
> > > k.. Auto Analysis/Settings, portfolio backtester (both regular
> > and rotational modes): added ability to pad and align all symbols to
> > reference symbol. Note: by default this setting is OFF. Use
> > responsibly. It may slow down backtest and introduce some slight
> > changes to indicator values when your data has holes and holes are
> > filled with previous bar data. The feature is intended to be used
> > ONLY when your system uses general market timing (generates global
> > signals based on data and/or indicators calculated using Foreign
> > from 'reference' symbol). Note 2: if reference symbol does not exist,
> > data won't be padded.
> > >
> > > l.. Auto Analysis/Settings, report tab: added ability to define
> > risk-free rates for Sharpe and Ulcer Performance Index calculations.
> > >
> > > CHANGES FOR VERSION 4.43.2 (as compared to 4.43.0)
> > > a.. backtester generates now error message when someone attempts
> > to use buy/sell/short/cover signals in rotational mode
> > > b.. column headings fixed in AA porfolio backtest report
> > > CHANGES FOR VERSION 4.43.0 (as compared to 4.42.0)
> > >
> > > a.. Portfolio Optimize mode added
> > > b.. in regular backtest mode now it is possible to specify the
> > score of the symbol (on bar-by-bar basis) via PositionScore variable.
> > In this mode the score is used only at trade ENTRY to decide which
> > securities should be traded in case when there are more simultaneous
> > entry signals than max. allowable positions or available funds.
> > AmiBroker will 'prefer' securities with higher absolute value of the
> > score. If PositionScore is not used then it is assumed to be 1 for
> > all securities.
> > > NOTE: regular mode must be used for all your backtesting except
> > the cases when you want rotational-trading (fund switching). Only
> > regular mode uses buy/sell/short/cover signals.
> > >
> > > c.. rotational-trading mode must now be turned on by calling new
> > EnableRotationalTrading() function at the top of your formula.
> > > AA / Settings / Portfolio:
> > > 1. Max. Traded renamed to more meaningfull "Max. Open Positions" -
> > defines the maximum number of positions (trades) that can be open
> > simultaneously (at any time)
> > > 2. Max. Ranked renamed to more meaningfull "Worst Rank Held"
> > (rotational trading mode only) - must be equal or greater than max.
> > open positions, if it is greater than Max. open positions then once a
> > position is taken in a security it will not be exited until the
> > ranking of that security drops below "Worst Rank Held"
> > >
> > > d.. "Allow same day exit (single bar trade)" now affects
> > Portfolio test too.
> > >
> > > e.. SetOption() calls affect Portfolio backtest now added:
> > > SetOption("MaxOpenPositions")
> > > SetOption("WorstRankHeld")
> > > SetOption("MinShares")
> > >
> > > f.. fixed Avg Profit/Loss figures in "all trades" section of
> > portfolio report
> > >
> > > g.. added average PERCENT profit/loss figures
> > >
> > > h.. internal accuracy of calculations of LinearReg, LinRegSlope,
> > LinRegIntercept, StdErr, TSF raised from 32 bit floating point to 64
> > bit floating point
> > >
> > > i.. fix: rotational trading mode does not enter position when
> > score is 999999
> > >
> > > j.. fixed column setup in AA
> > >
> > > k.. other minor fixes
> > >
> > > l.. as a temporary solution for people using Rx new version now
> > uses HTMLView2.exe (that is shipped with the beta) to display the
> > portfolio report.
> > >
> > > CHANGES FOR VERSION 4.42.0 (as compared to 4.41.2)
> > > a.. first (incomplete) early beta version of the portfolio
> > backtester
> > > b.. fixed plot of Null arrays using styleArea
> > > c.. fixed display problem with % progress in single-stock
> > optimization
> > > d.. other minor fixes
> > >
> > > CHANGES FOR VERSION 4.41.2 (as compared to 4.41.1)
> > >
> > > a.. now Sum produces values for periods upto and including
> > BarCount, so Sum( array, BarCount ) gives the value instead of Null
> > > b.. fixed problem with saving parameters on exit when the user
> > did not specify default value for string parameter using ParamStr
> > ("name", "")
> > > c.. fixed 38-byte memory leak when returning values from user-
> > defined functions
> > > d.. real-time mode: after AFL syntax error commentary AFL editor
> > is not refreshed until error is fixed and user presses 'apply'
> > >
> > > e.. eSignal 1.6.0 plugin
> > > (available separately from
> > http://www.amibroker.com/bin/eSignal160.exe):
> > > a.. much quicker backfills
> > > b.. implemented force-reconnect feature in eSignal plugin
> > > c.. fixed minor timing issue in eSignal plugin
> > > d.. 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)
> > > a.. fixed chart refresh locking that happened when user was
> > drawing some object and abandonend it by pressing ESC key.
> > > b.. View->Refresh and View->Refresh All menus now reset internal
> > chart refresh lock flag just in case.
> > > c.. plugin status is refreshed more often
> > >
> > > d.. 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)
> > > e.. TimeFrameSet() now affects result of Interval() AFL function.
> > TimeFrameRestore() resets it back.
> > > f.. Plot() makes copies of OHL arrays when styleCandle or
> > styleBar is used so statements like
> > > SetForeign("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()
> > >
> > > g.. 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)
> > >
> > > a.. legacy 'stoch()' function removed. Use StochK and StochD
> > instead.
> > > b.. 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.
> > > c.. Pref: Misc: auto-hide timeout field: added check for allowed
> > values from 1...32
> > >
> > >
> > > d.. 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.
> > >
> > > e.. 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
> > >
> > > f.. TimeFrameCompress( array, interval, mode = compressLast )
> > > - compresses single array to given interval using given mode,
> > available modes:
> > > compressLast - last (close) value of the array within interval
> > > compressOpen - open value of the array within interval
> > > compressHigh - highest value of the array within interval
> > > compressLow - lowest value of the array within interval
> > > compressVolume - sum values of the array within interval
> > >
> > > g.. 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:
> > >
> > > a.. 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)
> > > b.. expandFirst - the compressed value is expanded starting
> > from first bar within given period
> > > (so for example weekly open is available from Monday's bar)
> > >
> > > c.. 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 );
> > >
> > > h.. TimeFrameGetPrice( pricefield, interval, shift = 0, mode =
> > expandFirst );
> > > - references OHLCV fields from other time frames.
> > > This works immediatelly without need to call TimeFrameSet
> > >
> > > TimeFrameGetPrice( "O", inWeekly, -1 ) - gives you previous week
> > OPEN price
> > > TimeFrameGetPrice( "C", inWeekly, -3 ) - gives you weekly Close
> > price 3 weeks ago
> > > TimeFrameGetPrice( "H", inWeekly, -2 ) - gives you weekly High
> > price 2 weeks ago
> > > TimeFrameGetPrice( "O", inWeekly, 0 ) - gives you this week open
> > price.
> > > TimeFrameGetPrice( "H", inDaily, -1 ) - gives previous day high
> > when working on intraday data
> > >
> > > Price 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 functions
> > > TimeFrameExpand( 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.
> > >
> > > i.. new interval / timeframe constants:
> > > in1Minute = 60
> > > in5Minute = 5 * 60
> > > in15Minute = 15 * 60
> > > inHourly = 3600
> > > inDaily = 24 * 3600
> > > inWeekly = 5 * 24 * 3600
> > > inMonthly = 25 * 24 * 3600
> > >
> > > compressLast = 0
> > > compressOpen = 1
> > > compressHigh = 2
> > > compressLow = 3
> > > compressVolume = 4
> > >
> > > expandLast = 0
> > > expandFirst = 1
> > > expandPoint = 2
> > >
> > > j.. 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 call
> > > RestorePriceArrays();
> > >
> > > EXAMPLE:
> > > SetForeign( "MSFT" );
> > > dm = MACD(); // dm holds MACD of MSFT regardless of currently
> > selected symbol
> > > RestorePriceArrays();
> > > Plot( dm, "MACD of MSFT", colorRed );
> > > Plot( MACD(), "MACD of " + Name(), colorBlue );
> > >
> > > k.. 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 bugs@xxxx
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
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> >
> >
> >
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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>
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