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Hi Dimitris,
I read the messages you referenced and I have
filed it with my "best indicators" section. Thank
you!
Best,
Colin
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
DIMITRIS
TSOKAKIS
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, October 20, 2003 3:34
PM
Subject: [amibroker] Re: AmiBroker 4.45.0
BETA released
Colin,The new TimeFrame functions are very
important.I was using long time ago the daily vs weekly Stochastic
divergence and it was quite painful to use the results.Now it is an
excellent one-code story.See, for example,<A
href="">http://groups.yahoo.com/group/amibroker/message/47028<A
href="">http://groups.yahoo.com/group/amibroker/message/47031The
premature exits [especially for futures trading] are precious...Dimitris
Tsokakis--- In amibroker@xxxxxxxxxxxxxxx, "Colin Quinney"
<crquin@xxxx> wrote:> 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@xxxx>> 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@xxxx>> > 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:> > > >
<A
href="">http://www.amibroker.com/members/bin/ab4450beta.exe>
> > > and> > > > <A
href="">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:> > > <A
href="">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 <A
href="">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> > > <A
href="">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@xxxx>
> > Send SUGGESTIONS to suggest@xxxx> > >
-----------------------------------------> > > Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx> > >
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> >> > >> > >> >>
>> > Send BUG REPORTS to bugs@xxxx> > Send SUGGESTIONS
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