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Got it. Thanks. Might have questions later.
--- In amibroker@xxxxxxxxxxxxxxx, "Stephane Carrasset"
<s.carrasset@xxxx> wrote:
> the reason is that Yahoo group does not store attachment
> I'll send it directly in yahoo mail
>
> stephane
> ----- Original Message -----
> From: "danielwardadams" <danielwardadams@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, April 10, 2004 4:00 PM
> Subject: [amibroker] Re: Real-Time Trading System Examples
>
>
> > Stephane,
> > Thanks but I either didn't get the attachment of I don't know how
to
> > retrieve it. I see the following at the end of your post:
> >
> > Attachment (not stored)
> > Rem Buy Afl.afl
> > Type: application/octet-stream
> >
> > Perhaps my anti-virus software stripped it off ???
> >
> > Dan
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Stephane Carrasset"
> > <s.carrasset@xxxx> wrote:
> > > Hello,
> > >
> > > Herman & daniel
> > >
> > > attached is the afl code for a trailing stop initialized on a
> > profit.
> > > it was a c++ code, but now with the loops in afl it is not
> > difficult to
> > > translate it in afl.
> > > only for long side. I was lazy to translate the short side this
> > morning.
> > >
> > > the code includes a stoploss ( in case you never reach the
profit
> > ^_^ ...).
> > >
> > > stephane
> > >
> > > ----- Original Message -----
> > > From: "danielwardadams" <danielwardadams@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Friday, April 09, 2004 7:41 PM
> > > Subject: [amibroker] Re: Real-Time Trading System Examples
> > >
> > >
> > > > Stephane,
> > > > I'd be interested in your script.
> > > >
> > > > TIA
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Stephane Carrasset"
> > > > <s.carrasset@xxxx> wrote:
> > > > > Hermann,
> > > > >
> > > > > I have never used EOD indicators with intradays trading
system.
> > > > > But, I see now your problem...
> > > > > I put in the same workspace EOD and intradays datas
> > > > > go to file/database settings and set base time interval to 1
> > minute.
> > > > >
> > > > > and compare the values of simple moving average of an EOD
ticker
> > > > > price=Foreign("999150","C");
> > > > > Plot(MA(price,20),"",colorRed,styleLine);
> > > > > Plot(MA(price,5),"",colorGreen,styleLine);
> > > > >
> > > > > on an intraday ticker.
> > > > > the Chart returns very strange values...
> > > > >
> > > > >
> > > > > For your trailing stop, activated only when a profit is
> > reached, I
> > > > > have a script that i can send to you
> > > > >
> > > > > stephane
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > <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@x...]
> > > > > > 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@x...]
> > > > > > 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.
> > > > > >
> > > > > >
> > > > > >
> > > > > >
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