|
PureBytes Links
Trading Reference Links
|
<FONT
color=#000000>Hello Dan thanks for sharing your approach. Keeping the EOD exit
as a backup exit is a nice idea! Thanks!
<FONT
color=#000000>
<FONT
color=#000000>WRT data differences you may want to run this simple
Exploration, first on RT data from the eSignal RT data server, and then on EOD
data from QuotePlus or the eSignal EOD server. Explore the last 6 months, on
AAPL (or any other volatile stock).
<FONT
color=#000000>
<FONT
face="Times New Roman" color=#000000 size=3>Sell=Short=Cover=Buy=0;
Filter=1;SetOption("NoDefaultColumns",False);Ot=TimeFrameGetPrice("O",inDaily);AddColumn(Ot,"Open",1.2);
<FONT
face="Times New Roman" color=#000000 size=3>Copy both the RT and EOD results to
Excel and create a difference column, and calculate the max and min difference
you find.
<FONT
face="Times New Roman" color=#000000 size=3>I'd like to hear what results you,
or anyone else who wants to try, get :-)
<FONT
face=Arial color=#0000ff size=2><FONT face="Times New Roman" color=#000000
size=3>
<FONT
face="Times New Roman" color=#000000 size=3>Best
regards,
<FONT
face="Times New Roman" color=#000000 size=3><FONT face=Arial
size=2>herman.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Tahoma
size=2>-----Original Message-----From: danielwardadams
[mailto:danielwardadams@xxxxxxxxx]Sent: Friday, April 09, 2004 1:36
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Real-Time Trading System ExamplesHermen,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@xxxx]> 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@xxxx]> 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.> > >
> > 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>
> > > 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 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@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.
|