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In
simple situations you only have to run the EOD version once a day to
generate the table. <FONT
face=Arial color=#0000ff size=2>But during development i work with different
systems and watchlists, so I may want to generate many different tradelists
during the day and i shuffle back and forth between EOD and RT.
<FONT face=Arial color=#0000ff
size=2>
If we
could access both the RT and EOD database at the same time from the RT version
(Not possible right now) many problems would be solved. However there are other
reasons why creating a file with AA statistics and having a means to read the
Stats back would be handy....for example you could use two-pass Backtests and
use stats from the first pass in the second in Scoring and PositionSize
formulas, or plot the statistics from indicators, show complex trade stats on
the screen or in Interpretation windows from the chart, analyze portfolio
trades, etc. Remember that such a table offers a form of Persistent memory that
can be acessed by successive AA operations.
<FONT face=Arial color=#0000ff
size=2>
I have
not had an occassion where i needed the EOD version to access the RT version.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>h
<FONT face=Tahoma
size=2>-----Original Message-----From: danielwardadams
[mailto:danielwardadams@xxxxxxxxx]Sent: Sunday, April 11, 2004 9:40
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Real-Time Trading System ExamplesI'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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