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<FONT face=Arial
color=#0000ff size=2>The RT version and the EOD version of AB are the same. The
difference is the key.dll you get from TJ.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>The RT version can read both kinds of
data.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: danielwardadams
[mailto:danielwardadams@xxxxxxxxx] Sent: Sunday, April 11, 2004
9:40 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Real-Time Trading System Examples
I've applied to the other list but can't access it
yet.Maybe it's apparent from what you say there but would there be a
need for simultaneous instances if you could access the EOD database
directly from an RT instance? If not, you could just run the EOD
version once a day to update the data. Does the EOD version ever need
to access the RT version for anything?Dan--- In
amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen" <psytek@xxxx>
wrote:> You may want to read my post on the DLL list> <A
href="">http://finance.groups.yahoo.com/group/amibroker-dll/message/1320>
> From my post you will see that I prefer two independent but
simultaeous,> AmiBroker instances (one RT and one EOD) so that they
can communicate with> each other. I would be quite happy to run the
EOD on one screen and run the> RT on another - as long as my RT
could access the EOD Signals and> Statistics.> > I
currently have a prototype running in this fashion, it requires
Exporting> the EOD tradelist to allow my RT code to read it. I use
String Manipulation> to parse the code, match dates, and fill in my
RT data with EOD> signals/prices. While running RT i use the selected
(or loop) date to> retrieve the relevant Row from the TradeReport
file. It works but is slow> and still buggie, I would prefer a
simple and fast DLL as outlined in my DLL> post. As you can read
there it would offer a variety of other attractive> applications.
With a little luck somebody with C-expertise will like the> idea
and write a DLL. Most of the work has already been done and is>
available from the public domain OSAKA C-Sourcecode in DLL files.>
> wrt the -at list, I gave up on Ninja because i found it too
highly> integrated with it's proprietary Entry/Exit strategies. I
prefer to do my> "own thing" using the simplest possible API
interface. There haven't been> many posts because Tomasz may be
offering Automated trading at some point,> it would be unlikely for
any parallel efforts to be competative in terms of> features,
reliability and delivery date.> > best regards,>
herman> -----Original Message----->
From: mrdavis9 [mailto:mrdavis9@xxxx]> Sent: Sunday, April
11, 2004 5:23 PM> To:
amibroker@xxxxxxxxxxxxxxx> Subject: Re: [amibroker] Re:
Real-Time Trading System Examples> Importance: High>
> > 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>
==================================================================>
> 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.> >
========================================================>
----- Original Message -----> From:
dingo> To:
amibroker@xxxxxxxxxxxxxxx> Sent: Sunday, April
11, 2004 1:49 PM> Subject: RE: [amibroker] Re:
Real-Time Trading System Examples> >
> I posted some code (vbScript) to export the
trade list under some> circumstances - look back using this thread
subject.> > d> > >
>
-------------------------------------------------------------------------->
From: mrdavis9
[mailto:mrdavis9@xxxx]> Sent:
Sunday, April 11, 2004 2:38 PM> To:
amibroker@xxxxxxxxxxxxxxx> Subject:
Re: [amibroker] Re: Real-Time Trading System Examples> >
> I am also interested in the
subject of this thread. Ron
D> ----- Original
Message -----> From:
danielwardadams> To:
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 amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx>
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:
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:
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:
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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>> >
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