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Hermen,
I'm working on a system similar to yours but I'm not there yet. I'm
still in the AB learning curve stage so it's taking some time.
Differences between yours and mine:
1. I'm always going to buy on opens and protect myself with a moving
(EOD based) safety stop.
2. In addition to the safety stop, exits will be based on intraday
trailing stops activated after some TBD profit percent.
3. I'm not going try to resolve RT with another EOD quote source. I
don't see the point when I can get EOD data from the same source by
using the TimeFrameGetPrice(inDaily) function.
I'm not planning to automate this (other than the trailing stops
through my broker) so primarily want it for backtesting, parameter
optimization, and giving me entry points.
Given Amibroker functionality, I'd be really surprised if this can't
be made to work. I'll let you know if/when I get it working if you
want.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> [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?
>
> 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.
>
> 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.
>
> [d] IMHO you are in un-charted waters as far as AB goes.
>
> 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 :-)
>
> h
> -----Original Message-----
> From: dingo [mailto:dingo@x...]
> Sent: Friday, April 09, 2004 11:21 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Real-Time Trading System Examples
> Importance: High
>
>
> IMHO you are in un-charted waters as far as AB goes.
>
> 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?
>
> d
>
>
> --------------------------------------------------------------------
--------
> From: Herman van den Bergen [mailto:psytek@x...]
> Sent: Friday, April 09, 2004 11:14 AM
> To: AmiBroker YahooGroups
> Subject: [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:
>
> 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.
>
> If anybody has example code or reference URLs to share that
would be
> much appreciated.
>
> 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 :-)
>
> TIA and best regards,
> herman.
>
>
>
>
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