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<FONT face=Arial
color=#0000ff size=2>I'm still trying to get my head around what approach you're
wanting to take.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Are you going to use EOD data and formula to produce your
buy signals?
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Or are you going to use Realtime data and another formula
to do your entries?
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Are you going to use Realtime data and formula to manage
stops/exits for open positions?
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>If that's the case then you won't need to mix your
databases and your EOD formula can be separate from the realtime formula,
right?
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>I assume you have the EOD formula that generates the buys
working satisfactorily?
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>If you are going to use a formula to manage your
stops/exits have you been able to complete this or is this the question that
you're asking?
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Assuming you have a formula to manage those stops/exits -
have you worked out a way to trigger the trade? I believe you mentioned that
Ninja Trader wasn't the answer. Is this a piece you're asking about as
well?
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Lots of questions, eh? I'm asking because I'm
headed in that direction as well - just not as ready as you are right
now.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>TIA
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: Herman van den Bergen
[mailto:psytek@xxxxxxxx] Sent: Friday, April 09, 2004 12:01
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Real-Time Trading System Examples
<FONT face=Arial color=#0000ff
size=2>[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.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>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 :-)
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>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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