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[d]Or
are you trying to take an EOD system and trying to make your system "more
granular" and pick the same patterns in intraday data?
<FONT face=Arial color=#0000ff
size=2>
I am
mainly trying to improve Entries and Exits, i am not looking for
patterns. The systems work fine in EOD but I observed on the RT charts
that i often miss locking in some really nice profits that fade before I
exit. So i want to code in Trailing stops that activate at a certain profit
and than exit when the price drops back a bit. For example, if my profits
reaches 2% during the first two hours of the trade, then i want to activate
a Stop and exit when my profits drop back to 1.5%. ApplyStops cannot be used in
very short-term (1-3 days) trading because on the day of exit it is unknown
which came first, the High or the Low, or with profit stops, how many dips there
were during the day that would have terminated the trade. RT data is needed to
develop proper stops. limits, etc. with the short trades i use.
<FONT face=Arial color=#0000ff
size=2>
If i
trade 1-3 times a week and i might be able to reduce my
exposure by 50% if I managed to get out based on profits instead of timing. I
would prefer overall less profits if it came with less exposure. Also, the
strength of signals fades pretty fast... have you ever tested your
n-Bar profits? i.e. profits made on the 1st, 2nd and 3rd day? You can
vary the entry delay and use n-Bar stops to limit the trade duration, that way
you can "isolated" single days (profits) of your trade. For me, typical profit
distributions might be 65% 25% 10% for a system with an average of 3-bar
trades. So the first day obviously has the greatest profit potential at the
least exposure. IMHO, short term signals have a limited life-time: after a
certain number of days you are just hoping to get lucky :-) knowing your n-Bar
profits may help you decide whether it is worth it (risk) to stay
in a trade or not.
<FONT face=Arial color=#0000ff
size=2>
[d]
IMHO you
are in un-charted waters as far as AB goes.
<SPAN
class=302431615-09042004>
<SPAN
class=302431615-09042004>We got some smart cookies on this list, I just can't
believe that nobody is working on this; it appears the obvious way to keep your
EOD system working now that RT trading is catching on. So I hope you are wrong
on this one :-)
<SPAN
class=302431615-09042004>
<SPAN
class=302431615-09042004>h<SPAN
class=531352815-09042004>
<FONT face=Tahoma
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxxxxxxxxxx]Sent: Friday, April 09, 2004 11:21
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Real-Time Trading System ExamplesImportance:
High
<FONT face=Arial
color=#0000ff size=2>IMHO you are in un-charted waters as far as AB
goes.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Are you trying to come up with a system to do backtesting
with or one to monitor trades / manage stops for real-time trading? Or
are you trying to take an EOD system and trying to make your system "more
granular" and pick the same patterns in intraday data?
<FONT face=Arial color=#0000ff
size=2>d
From: Herman van den Bergen
[mailto:psytek@xxxxxxxx] Sent: Friday, April 09, 2004 11:14
AMTo: AmiBroker YahooGroupsSubject: [amibroker]
Real-Time Trading System Examples
Would anybody
have some example code for Real Time trading systems? I
have considerable trouble converting EOD systems to RT data -
tried too many ways to mention but always hit a snag at some advanced
point. My problem areas are:
<SPAN
class=937152314-09042004>
<SPAN
class=937152314-09042004>1) Converting or duplicating EOD signals
to RT, I need this because EOD data prices are more accurate
than those I get from RT sources.
2) Running the
basic EOD system in RT, i.e. reproduce EOD signals in RT. I
want this as a verification stage before trying to enhance the system
with RT data
3) Custom coding
Profit targets, Limit Prices and Stops.
4) Optimizing
entry points by using Pre/after hours trading and/or using delayed/early
entries and exits.
5) Showing EOD
Arrows (derived from EOD data, not from RT data) on my minute
charts.
<SPAN
class=937152314-09042004>
If anybody has
example code or reference URLs to share that would be much appreciated.
<SPAN
class=937152314-09042004>
Also, i am
beginning to wonder how many subscribers, if any, have
actually solved the above problems. If you have done so perhaps
you can share this simple fact (no code needed), knowing that it
has been done successfully is a great motivator :-)
<SPAN
class=937152314-09042004>
TIA and best
regards,
<SPAN
class=937152314-09042004>herman.
<SPAN
class=937152314-09042004>
<SPAN
class=937152314-09042004> Send BUG
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