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<FONT face=Arial
color=#0000ff size=2>I posted some code (vbScript) to export the trade list
under some circumstances - look back using this thread
subject.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: mrdavis9 [mailto:mrdavis9@xxxxxxxxxx]
Sent: Sunday, April 11, 2004 2:38 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Re: Real-Time
Trading System Examples
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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