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<FONT face=Arial
size=2>InLine...
<FONT face=Tahoma
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxxxxxxxxxx]Sent: Friday, April 09, 2004 7:49
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Real-Time Trading System ExamplesImportance:
High
<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
color=#0000ff>Are you going to use EOD data and formula to
produce your buy signals?<SPAN
class=906211400-10042004>
<FONT
color=#0000ff><FONT
color=#000000>Yes, because they are more accurate than RT signals -
for what i am
doing.
<FONT face=Arial
color=#0000ff size=2>
<FONT
color=#0000ff>Or are you going to use Realtime data and another
formula to do your entries?<SPAN
class=906211400-10042004>
<FONT
color=#0000ff><FONT
color=#000000>Yes.
<FONT face=Arial
color=#0000ff size=2>
<FONT
color=#0000ff>Are you going to use Realtime data and formula to
manage stops/exits for open positions?<SPAN
class=906211400-10042004>
<FONT
color=#0000ff><FONT
color=#000000>Yes.
<FONT face=Arial
color=#0000ff size=2>
<FONT
color=#0000ff>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?<SPAN
class=906211400-10042004>
<FONT
color=#0000ff><FONT
color=#000000>Indeed, but only in real trading, the problem is that I
need to develop&optimize the RT components with
backtesting. How would I
optimize my RT stops over historical data if I don't have access to the EOD
signals, stock picks, scores, shares, and trade-prices in my formula? All
these are based on EOD data and can not be calculated accurately in
RT.
<FONT face=Arial
color=#0000ff size=2>
<FONT
color=#0000ff>I assume you have the EOD formula that generates
the buys working satisfactorily?<SPAN
class=906211400-10042004>
<FONT
color=#0000ff><FONT
color=#000000>Yes, but is is price sensitive and gets all confused dealing
with things like -17 to +30 cts RT volatility/noise of the OHLC Prices
(AAPL).
<FONT face=Arial
color=#0000ff size=2>
<FONT
color=#0000ff>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?<SPAN
class=906211400-10042004>
<FONT
face=Arial>There are
many formulas and i haven't decided which to use, My system must first work
with EOD performance in an RT
environment.
<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? <SPAN
class=906211400-10042004>
<FONT
color=#0000ff><SPAN
class=906211400-10042004><FONT
color=#000000>NO.
<FONT
color=#0000ff><SPAN
class=906211400-10042004>
<FONT
color=#0000ff><SPAN
class=906211400-10042004>I believe you mentioned that Ninja Trader
wasn't the answer. Is this a piece you're asking about as well?<SPAN
class=906211400-10042004>
<FONT
face=Arial>Not now,
waiting for TJ to introduce automation... i still have work to do and hope to
be ready when TJ is...
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Lots of questions, eh? <SPAN
class=906211400-10042004>
<FONT face=Arial
size=2>Not really; I have a lot more
:-)
<FONT face=Arial
size=2><SPAN
class=906211400-10042004>
<FONT
face=Arial>I'm asking because I'm headed in
that direction as well - just not as ready as you are right now.<SPAN
class=906211400-10042004>
<FONT
face=Arial><SPAN
class=906211400-10042004>Let me know how things
work out for you... and what
path you decide
on.
<FONT
face=Arial><SPAN
class=906211400-10042004>
<FONT
face=Arial><SPAN
class=906211400-10042004>BTW, today I thought of another approach,
a brute force method alright but it might work. I simply export the
entire EOD trade list and read it from the RT code. For each RT date I
look up the matching EOD row in the Trade list, I then extract whatever
information i need. Tried it, It is actually faster than i expected. All i
need now is an automatic Export at the end of my EOD backtest ;-) any
ideas?
<FONT
face=Arial><SPAN
class=906211400-10042004>
<FONT
face=Arial><SPAN
class=906211400-10042004>h
<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>
<FONT face=Arial color=#0000ff
size=2>[d] <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>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>
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class=937152314-09042004> Send BUG
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