|
PureBytes Links
Trading Reference Links
|
Herman & dingo,
I'd also be interested in anything you come up with. I want to solve
the same problem as you Herman. Hope you're making better progress
than me though ...
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> sounds neat. I'll contact you off-line to work up some specs.
>
> d
>
>
> _____
>
> From: Herman van den Bergen [mailto:psytek@x...]
> Sent: Friday, April 09, 2004 9:51 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Real-Time Trading System Examples
>
>
> 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...
>
> h
>
>
>
> -----Original Message-----
> From: dingo [mailto:dingo@x...]
> Sent: Friday, April 09, 2004 9:37 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Real-Time Trading System Examples
> Importance: High
>
>
> Your BTW is EXACTLY what I was going to suggest.
>
> I'll work you up something to do the exporting (and little bit
more). How
> soon do you need it?
>
> d
>
>
>
> _____
>
> From: Herman van den Bergen [mailto:psytek@x...]
> Sent: Friday, April 09, 2004 9:13 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Real-Time Trading System Examples
>
>
> InLine...
>
> -----Original Message-----
> From: dingo [mailto:dingo@x...]
> Sent: Friday, April 09, 2004 7:49 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Real-Time Trading System Examples
> Importance: High
>
>
> I'm still trying to get my head around what approach you're wanting
to take.
>
> Are you going to use EOD data and formula to produce your buy
signals?
> Yes, because they are more accurate than RT signals - for what i am
doing.
>
> Or are you going to use Realtime data and another formula to do your
> entries?
> Yes.
>
> Are you going to use Realtime data and formula to manage
stops/exits for
> open positions?
> Yes.
>
> 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?
> 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.
>
> I assume you have the EOD formula that generates the buys working
> satisfactorily?
> 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).
>
> 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?
> There are many formulas and i haven't decided which to use, My
system must
> first work with EOD performance in an RT environment.
>
> Assuming you have a formula to manage those stops/exits - have you
worked
> out a way to trigger the trade?
> NO.
>
> I believe you mentioned that Ninja Trader wasn't the answer. Is
this a
> piece you're asking about as well?
> Not now, waiting for TJ to introduce automation... i still have
work to do
> and hope to be ready when TJ is...
>
> Lots of questions, eh?
> Not really; I have a lot more :-)
>
> I'm asking because I'm headed in that direction as well - just not
as ready
> as you are right now.
> Let me know how things work out for you... and what path you decide
on.
>
> 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?
>
> h
>
> TIA
>
> d
>
>
> _____
>
> From: Herman van den Bergen [mailto:psytek@x...]
> Sent: Friday, April 09, 2004 12:01 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Real-Time Trading System Examples
>
>
> [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.
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
> _____
>
> Yahoo! Groups Links
>
>
> * To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
>
> * To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service
> <http://docs.yahoo.com/info/terms/> .
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|