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d,
Found your snippit but I don't understand it. I also read the
component object model support section in the user's guide but I
don't understand that either.
I've never done any of this stuff (COMs/ActiveX/creating
Dlls/Plugins, etc.) so I'm pretty lost.
Wouldn't it make sense for someone who knows what they are doing to
solve this problem in a general way? Seems like it has enough
interest that maybe it could become an integral part of Amibroker.
"All" I want to do is access data from an EOD database while I'm
processing RT data.
So basically I want to flip back and forth from one database to
another much the same as changing timeframes within the same
database. I know it makes sense that EOD data should be the same as
compressed RT data but as Herman and others have pointed out, they
aren't. (Note: You also don't have access to signals longer than what
the compressed data allows -- e.g., a monthly moving average has no
meaning with 120 days of compressed eSignal RT data)
One way to facilitate this from an AFL perspective might(???) be with
the addition of just one new function:
AssociateDatabase(interval, filename) ;
Where:
interval is one of the time frame intervals already defined
(in1Minute), ..., indaily, ..., inMonthly)
and
filename is a the path and filename of the database you want to
associate with this interval.
Example:
AssociateDatabase(inDaily, c:\Program
Files\AmiBroker\QuotesPlus_EOD_Data) ;
It seems like everything could work the same, e.g., TimeFrameSet
(inDaily) would set the default database to this one,
TimeFrameGetPrice( ..., inMonthly, ..) would get O,H,L,C,V data from
the database associated with inMonthly, etc.
Not having a database explicitly associated with an interval could
result in compressed data the same as it works today so it continues
to work with all existing code.
Short of integrating it into AB this tightly, I think a
DataBaseGetPrice(filename, .... ) function that returns O,H,L,C,V
data from another database would let me do everything I want. It
seems if someone knew what they were doing and had access to the AB
database API, they could knock out a DLL/Plugin to do this pretty
easily.
I'm just thinking out loud but it seems there might be a nice
solution to this problem.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> Here's a small code snippet that will export the results if you do
and
> individual backtest or an "old" backtest.
>
> It will not however export a "regular" backtest. I suspect this is
a timing
> issue in AB - right TJ?
>
> d
>
> 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<-------------------------------------------------------
>
>
>
>
>
> _____
>
> 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.
>
>
>
>
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