|
PureBytes Links
Trading Reference Links
|
<FONT face=Arial
color=#0000ff size=2>I'd suggest sending this to TJ
directly.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>I'm also very interested in what you discover. You're a few
weeks ahead of me on this.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: Herman van den Bergen
[mailto:psytek@xxxxxxxx] Sent: Wednesday, March 31, 2004 11:06
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: ApplyStop() in RT
This
being my first month in RT i am coming accross some questions that may be so
obvious that they are not answered anywhere,.like:
1)
is the ApplyStop() intended to be used in RT? If so, do the EOD arguments
still hold in an RT environment?
2)
is SetTradeDelays() intended to be used in RT?<SPAN
class=078045615-31032004> If so,
are the Delays now in RT bars or do they still reference EOD
bars?
3)
What other functions are there that make no sense in RT and should not be used
there?
<FONT face=Arial color=#0000ff
size=2>
I am
using some very simple systems to test things out practically and
may have to write my own stop-code to be sure it works as
intended. <FONT face=Arial
color=#0000ff size=2>This is no problem, but why do it the hard way if there
is an easier way?
<FONT face=Arial color=#0000ff
size=2>
This
is one of the burdens of translating EOD systems to RT, I
suppose I'll have to work through the entire code line by line
:-)
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Thanks,
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: Stephane Carrasset
[mailto:s.carrasset@xxxxxxxxxxx]Sent: Wednesday, March 31, 2004
10:51 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Re: ApplyStop() in RTHermann,if
I understand you, the applystops are not executed with minutes
Bars.Hum? I don't like applystop except for backtesting futures (
the amount of stops in point is easy to write).I copy a winning
system on the S&P ( winning on the paper,and backtest from 02/01 to
09/03), and the applystop are executed correctly. I don't trade the
S&P future.the settings are commission:
5/contractsfuture mode : checkactive stop immediately:checkallow
same bar exit:checkstephane//Title="AAZ long
Applystop";Tradezone = (TimeNum() >= 200500 AND TimeNum() <
214000);Horaire = (TimeNum() >= 163000 AND TimeNum() <
200500);PicHoraire= Hold(Horaire==0,2) AND Horaire;Hiday=
HHV(H,BarsSince(pichoraire)); LoDay= LLV(L,BarsSince(pichoraire));
Hiday= HHV(H,BarsSince(pichoraire)); LoDay=
LLV(L,BarsSince(pichoraire));Buystop=Ref(Hiday +
1.5,-1);Plot(Buystop,"",colorGreen,1);Sellstop=Ref(LoDay -
1.5,-1);Plot(Sellstop,"",colorGreen,1);Buy = H>=Buystop AND
Tradezone;Buy=Hold(Buy==0,2) AND Buy AND Tradezone ;Stoploss= 16
;Trailstop= 32 ; //O-63;Target= 20;Sell= TimeNum()
>220500;BuyPrice=Buystop;ApplyStop (stopTypeProfit,
stopModePoint, Target ,exitatstop=True,volatile=False,ReEntryDelay=1)
;ApplyStop (stopTypeLoss, stopModePoint, StopLoss,
exitatstop=True,volatile=False,ReEntryDelay=1) ; ApplyStop
(stopTypeTrailing, stopModePoint, Trailstop,
exitatstop=True,volatile=False,reentrydelay=1) ;/* le mode de
calcul du trailing est # de Rem.dll il est fonction de highest H -
valuewhen(Buy,value point)*/
Equity(1,0);Plot(Close,"close",IIf( Buy, colorGreen,
IIf(Sell , colorRed ,1
)),64);Plot(ValueWhen(Buy,BuyPrice),"BuyPrice",colorWhite,1);Plot(ValueWhen(Sell,SellPrice),"SellPrice",colorYellow,1);PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,C,-20);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,H,-20);Plot(ValueWhen(Buy,BuyPrice-StopLoss),"StopLoss",colorRed,1);Plot(HighestSince(Buy,
H -
ValueWhen(Buy,TrailStop)),"Trailing",colorGreen,1);Plot(ValueWhen(Buy,BuyPrice+Target),"Target",colorBlue,1);GraphXSpace=1;Title="AAZ
short Applystop";Sellstop=Ref(LoDay - 1.5,-1);
Plot(Sellstop,"",colorGreen,1);Short = L<=Sellstop AND
Tradezone;Short=Hold(Short==0,2) AND Short AND Tradezone
;Stoploss= 16 ;Trailstop= 32 ; //O-63;Target=
20;Cover= TimeNum()
>220500;ShortPrice=SellStop;ApplyStop (stopTypeProfit,
stopModePoint, Target ,exitatstop=True,volatile=False,ReEntryDelay=1)
;ApplyStop (stopTypeLoss, stopModePoint, StopLoss,
exitatstop=True,volatile=False,ReEntryDelay=1) ;ApplyStop
(stopTypeTrailing, stopModePoint, Trailstop,
exitatstop=True,volatile=False,reentrydelay=1)
;Equity(1,0);Plot(Close,"Close",IIf( Short, colorGreen,
IIf(Cover , colorRed ,1
)),64);Plot(ValueWhen(Short,ShortPrice),"ShortPrice",colorWhite,1);Plot(ValueWhen(Cover,CoverPrice),"CoverPrice",colorYellow,1);PlotShapes(IIf(Short,shapeDownArrow,shapeNone),colorBlue,0,C,-10);
PlotShapes(IIf(Cover,shapeUpArrow,shapeNone),colorYellow,0,C,-10);Plot(ValueWhen(Short,ShortPrice+StopLoss),"StopLoss",colorRed,1);Plot(LowestSince(Short,
L +
ValueWhen(Short,TrailStop)),"Trailing",colorGreen,1);Plot(ValueWhen(Short,ShortPrice-Target),"Target",colorBlue,1);GraphXSpace=1;SetOption("InitialEquity",
20000 );MarginDeposit = 1500;RoundLotSize = 1;PointValue =
50;NumContracts = 100;PositionSize = Min((NumContracts *
MarginDeposit),Equity());<psytek@xxxx>
wrote:> hello stephane,> > my entries are at the open,
the signal last only one minute (093000-093100)> my exits are
supposed to be real time and are independent from the entries.> I
used> > SetOption("AllowSameBarExit",True);>
SetOption("ActivateStopsImmediately",True);> > My exitprices
in settings are set to Open (should be irrelevant) however the>
exit time for my Stops show as 16:00 (Close). No idea what i am
doing> wring....> > TIA for any help you can
give,> herman.> > > -----Original
Message-----> From: Stephane Carrasset
[mailto:s.carrasset@xxxx]> Sent: Wednesday, March 31,
2004 6:13 AM> To:
amibroker@xxxxxxxxxxxxxxx> Subject: Re: [amibroker]
ApplyStop() in RT> Importance: High> >
> Herman,> > I don't
understand, do you mean you can't use applystop in real time
data.> because applystop works well in backtesting
futures on already known> minutes bar.>
> stephane> ----- Original
Message -----> From: Herman van den
Bergen> To: AmiBroker
YahooGroups> Sent: Wednesday, March 31, 2004
4:08 AM> Subject: [amibroker] ApplyStop() in
RT> > > Can somebody tell me if
i can use the ApplyStop() in RT minute data?>
> When i inspect the trade list i notice that
all stops take place at> 09:31:00 (This system trades at the
Open) and i cannot seem to find a way to> make them exit at any
other times. My entry signals are at the Open... but> what do i
have to do to see my Stops take places at various times during
the> day? Is anybody getting stops at different times during the
day?> > btw, the help does not mention
RT wrt the ApplyStop... I backtest using> minutes, have stops set
to exit immediately, same day exits allowed.>
> TIA for any help you can
give.> herman.> >
> Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
----------------------------------------->
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
-------------------------------------------->
Check group FAQ at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> > > __________ NOD32 1.699
(20040330) Information __________> >
This message was checked by NOD32 antivirus
system.> <A
href="">http://www.nod32.com> >
> > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
-----------------------------------------> Post
AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check group
FAQ at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> > Yahoo!
Groups
Sponsor>
ADVERTISEMENT> > > > > >
---------------------------------------------------------------------------->
--> Yahoo! Groups Links>
> a.. To visit your group on the web, go
to:> <A
href="">http://groups.yahoo.com/group/amibroker/>
> b.. To unsubscribe from this group, send an
email to:>
amibroker-unsubscribe@xxxxxxxxxxxxxxx>
> c.. Your use of Yahoo! Groups is subject to
the Yahoo! Terms of Service.Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|