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Re: [amibroker] Was May 6, 2003 a non-trading day in the US?



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<FONT face=Arial 
color=#0000ff size=2>Here's a small code snippet that will export the results if 
you do and individual backtest or an "old" backtest.
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>It will not however export a "regular" backtest. I suspect 
this is a timing issue in AB - right TJ?
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>d
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>
Put the snippet below at the end of your AFL (you may have to change the path 
for the export)
----------8<-------------------------------------------------------
EnableScript("vbscript");
<%
Set oAB = CreateObject("Broker.Application")
Set oAA = Oab.Analysis
i = oAA.Export("C:\\Program Files\\Amibroker\\Test.csv")
%>

----------8<-------------------------------------------------------
<FONT face=Arial 
color=#0000ff size=2> 
<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... 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 
          class=937152314-09042004> Send 
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