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I am also interested in the subject of this thread.
Ron D
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=danielwardadams@xxxxxxxxx
href="">danielwardadams
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, April 11, 2004 1:30
PM
Subject: [amibroker] Re: Real-Time
Trading System Examples
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 <A
href="">amibroker@xxxxxxxxxxxxxxx, "dingo"
<dingo@x...> wrote:> sounds
neat. I'll contact you off-line to work up some specs.>
> d> > > _____ > >
From: Herman van den Bergen [mailto:psytek@xxxx] > Sent: Friday, April
09, 2004 9:51 PM> To: <A
href="">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@xxxx]> Sent: Friday, April 09, 2004 9:37 PM>
To: <A
href="">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@xxxx]
> Sent: Friday, April 09, 2004 9:13 PM> To: <A
href="">amibroker@xxxxxxxxxxxxxxx>
Subject: RE: [amibroker] Real-Time Trading System Examples> >
> InLine...> > -----Original Message-----> From:
dingo [mailto:dingo@xxxx]> Sent: Friday, April 09, 2004 7:49 PM>
To: <A
href="">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@xxxx] > Sent: Friday, April
09, 2004 12:01 PM> To: <A
href="">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@xxxx]> Sent: Friday, April 09, 2004 11:21 AM> To:
<A
href="">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@xxxx] > 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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