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[amibroker] Re: Relative Strength



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<FONT face=Arial 
color=#0000ff size=2>Sorry but some of it will remain private since they involve 
discussions about proprietary tools I've developed and don't care to make 
public.  I have offered some of the tools to the general community gratis 
and plan to offer more in the future that are suitable for general use.  

<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 5:23 PMTo: 
  amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Re: Real-Time 
  Trading System Examples
  
  My post below was intended to encourage you to keep this 
  discussion PUBLIC, and only use private emails where 
  necessary.   I won't have time to study it in depth till 
  later.  However, I am saving all automated trading discussions that I 
  see in an Outlook Express folder entitled AUTOMATED TRADING.   
  I don't have a lot of saved messages yet, but I have copied one here as 
  an example of what I am saving, I saw this on the Ninja Trader yahoo 
  group.  I stopped watching their discussions awhile back.  Ron 
  D
  <FONT 
  face=Arial>==================================================================
   
  I've taken 5 systems which 
  I was using to trade manually, changed them so they can run without me, 
  backtested them on IRT until I'm happy with them and set them off live. 
  Expectancy (based on (Pw * Aw)- (Pl * Al) where P = probability, A = 
  Average, w = win and l = loss) ranges from 1.8 to 2.7 and R/R from 2.4 
  to 6.1. Percent wins range from 38% to 52% in the backtest period. All 
  systems use a variety of indicators (CCI, FASTD and custom indicators 
  mostly) and multiple time frames. The single most important factor in 
  improving backtested performance turned out to be identifying conditions 
  in longer timeframes which lead to poor results and modifying the scans to 
  prevent trading when those conditions apply. With some scans this results 
  in very few trades (15 or 20 per quarter) so backtest results are 
  statistically dubious and, as backtesting itself is not a 100% 
  representation of what will happen in real life, I will hold off buying 
  the yacht for the timebeing.
  <FONT 
  face=Arial>========================================================
  <BLOCKQUOTE dir=ltr 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    dingo 

    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Sunday, April 11, 2004 1:49 
    PM
    Subject: RE: [amibroker] Re: Real-Time 
    Trading System Examples
    
    <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: <A 
      href="">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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