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AW: [amibroker] Re: 5 min History for N100, SP500, dow and Dax



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<FONT face=Arial color=#0000ff 
size=2>Anytime you are ready, if you write the code for the tradelist export 
I'll share whatever afl I turn out to read the file from RT :-) 

I 
have the basics working and hope to finish it over the weekend. It is 
kind of neat you just click anywhere on the RT chart and see all the EOD 
particulars in the RT Interpretation window :-) still have to do the date 
matching...
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<FONT face=Arial color=#0000ff 
size=2>h
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  <FONT face=Tahoma 
  size=2>-----Original Message-----From: dingo 
  [mailto:dingo@xxxxxxxxxxxx]Sent: Friday, April 09, 2004 9:37 
  PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] 
  Real-Time Trading System ExamplesImportance: 
  High
  <FONT face=Arial 
  color=#0000ff size=2>Your BTW  is EXACTLY what I was going to 
  suggest. 
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>I'll work you up something to do the exporting (and 
  little bit more). How soon do you need it?
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>d<FONT face=Arial color=#0000ff 
  size=2>
  
    
    
    From: Herman van den Bergen 
    [mailto:psytek@xxxxxxxx] Sent: Friday, April 09, 2004 9:13 
    PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
    [amibroker] Real-Time Trading System Examples
    
    <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 
      face=Arial>Are you going to use EOD data 
      and formula to produce your buy signals?<SPAN 
      class=906211400-10042004> 
      <FONT 
      face=Arial><SPAN 
      class=906211400-10042004>Yes, because they are 
      more accurate than RT signals - for what i am 
      doing. 
      <FONT face=Arial 
      color=#0000ff size=2> 
      <FONT 
      face=Arial>Or are you going to use 
      Realtime data and another formula to do your entries?<SPAN 
      class=906211400-10042004> 
      <FONT 
      face=Arial><SPAN 
      class=906211400-10042004><FONT 
      color=#000000>Yes. 
      <FONT face=Arial 
      color=#0000ff size=2> 
      <FONT 
      face=Arial>Are you going to use Realtime 
      data and formula to manage stops/exits for open positions?<SPAN 
      class=906211400-10042004> 
      <FONT 
      face=Arial><SPAN 
      class=906211400-10042004><FONT 
      color=#000000>Yes. 
      <FONT face=Arial 
      color=#0000ff size=2> 
      <FONT 
      face=Arial>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 
      face=Arial><SPAN 
      class=906211400-10042004>Indeed, but only in 
      real trading, the problem is that I need to develop&optimize the 
      RT components with backtesting. <FONT 
      color=#000000>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 
      face=Arial>I assume you have the EOD 
      formula that generates the buys working satisfactorily?<SPAN 
      class=906211400-10042004> 
      <FONT 
      face=Arial><SPAN 
      class=906211400-10042004>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 
      face=Arial>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><SPAN 
      class=906211400-10042004>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... <FONT 
      color=#000000>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> 
        <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> 
        <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> 
            <SPAN 
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