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<FONT face=Arial
color=#0000ff size=2>sounds neat. I'll contact you off-line to work up
some specs.
<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 9:51
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Real-Time Trading System Examples
<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...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>h
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<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?
<FONT
size=+0><SPAN
class=906211400-10042004>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
size=+0>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
size=+0><SPAN
class=906211400-10042004>Let me know how
things work out for you... <FONT
color=#000000>and what path you decide
on.
<FONT
size=+0><FONT color=#000000
size=2><SPAN
class=906211400-10042004>
<FONT
size=+0><FONT color=#000000
size=2>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
size=+0><FONT color=#000000
size=2><SPAN
class=906211400-10042004>
<FONT
size=+0><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><SPAN
class=302431615-09042004>
<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><SPAN
class=302431615-09042004>
<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
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