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<FONT face=Arial
color=#0000ff size=2>I have no idea if the following will work or is even silly
as I haven't tried it. But YOU could try it (don't blame me if your computer
bursts into flames): You will need to alter the directory paths to your
databases.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>// Load the EOD Database
<FONT face=Arial
color=#0000ff size=2>EnableScript("vbscript");<%Set oAB =
CreateObject("Broker.Application")AB.LoadDatabase("C:\\Program
Files\\Amibroker\\MyEODDataBase")%>
<FONT face=Arial
color=#0000ff size=2>// the EOD part of my
formula.......
<FONT face=Arial
color=#0000ff size=2>// Load the RT Database
<FONT face=Arial
color=#0000ff size=2>EnableScript("vbscript");<%Set oAB =
CreateObject("Broker.Application")AB.LoadDatabase("C:\\Program
Files\\Amibroker\\MyRTDataBase")%>
<FONT face=Arial
color=#0000ff size=2>// the RT part of my
formula.......
<FONT face=Arial
color=#0000ff size=2>d
From: danielwardadams
[mailto:danielwardadams@xxxxxxxxx] Sent: Sunday, April 11, 2004
5:44 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Real-Time Trading System Examples - TJ (question)?
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)andfilename 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@xxxx]
> 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@xxxx]>
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@xxxx] > 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@xxxx]> 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@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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