|
PureBytes Links
Trading Reference Links
|
There
is NO problem with how AmiBroker processes data and there is NO problem with
Data Vendors, the price differences cannot be blamed on anybody, they are simply
a fact of market data.
<SPAN
class=828043910-12042004>
The
differences become more important as your trades becomes shorter, which is
the case when you migrate from EOD to RT (my situation). Another
factor is whether you work with Indices, ETFs or Composites. The only way for
you to know if/how you are effected is to do your own testing. Market data
is the foundation of all your trading systems and you should know what you
are working with.
<SPAN
class=828043910-12042004><FONT face=Arial color=#0000ff
size=2>
IMHO,
Using EOD prices in your formulas is similar to using
"smoothed" RT prices however the advantage of using EOD Prices is
that it gives you more accuracy in backtesting and has no lag. My
limited experience is that EOD Open prices are released within the first
second after the Open (no lag), tracking this price from the eSignal EOD server
starts at 09:18:00 and it often zeroes in on the real Open price well before
9:30:00 a.m.
<SPAN
class=828043910-12042004>
<SPAN
class=828043910-12042004>Below are some examples, comparing QP2 with
eSignal RT.
<SPAN
class=828043910-12042004>take care,
<SPAN
class=828043910-12042004>herman
<SPAN
class=828043910-12042004><FONT
color=#0000ff><SPAN
class=828043910-12042004> <FONT
face=Arial>
<TABLE cellSpacing=0
cellPadding=0 width=337 border=0 x:str>
<COL
width=71>
<COL
width=74>
<TD class=xl22
width=64 height=17>
Ticker
<TD class=xl22
width=64>
Date/Time
<TD class=xl22
width=71>
EOD-Open
<TD class=xl22
width=64>
RT-Open
<TD class=xl23
width=74>
%Difference
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="38054">
03/08/04
<TD class=xl22
x:num>
26.79
<TD class=xl22
x:num>
26.62
<TD class=xl23
x:num="6.3456513624486057E-3" x:fmla="=(C2-D2)/C2">
0.63%
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="37971">
12/16/03
<TD class=xl22
x:num>
20.19
<TD class=xl22
x:num>
20.08
<TD class=xl23
x:num="5.4482417038139164E-3" x:fmla="=(C3-D3)/C3">
0.54%
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="38076">
03/30/04
<TD class=xl22
x:num>
27.86
<TD class=xl22
x:num>
27.72
<TD class=xl23
x:num="5.0251256281407244E-3" x:fmla="=(C4-D4)/C4">
0.50%
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="37970">
12/15/03
<TD class=xl22
x:num>
21.49
<TD class=xl22
x:num>
21.39
<TD class=xl23
x:num="4.6533271288970628E-3" x:fmla="=(C5-D5)/C5">
0.47%
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="38035">
02/18/04
<TD class=xl22
x:num>
23.18
<TD class=xl22
x:num>
23.08
<TD class=xl23
x:num="4.3140638481450142E-3" x:fmla="=(C6-D6)/C6">
0.43%
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="38065">
03/19/04
<TD class=xl22
x:num>
25.7
<TD class=xl22
x:num>
25.59
<TD class=xl23
x:num="4.2801556420233242E-3" x:fmla="=(C7-D7)/C7">
0.43%
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="37967">
12/12/03
<TD class=xl22
x:num>
21.32
<TD class=xl22
x:num>
21.23
<TD class=xl23
x:num="4.2213883677298244E-3" x:fmla="=(C8-D8)/C8">
0.42%
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="37972">
12/17/03
<TD class=xl22
x:num>
20.08
<TD class=xl22
x:num>
20
<TD class=xl23
x:num="3.9840637450198361E-3" x:fmla="=(C9-D9)/C9">
0.40%
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="38016">
01/30/04
<TD class=xl22
x:num>
22.74
<TD class=xl22
x:num>
22.65
<TD class=xl23
x:num="3.9577836411609441E-3" x:fmla="=(C10-D10)/C10">
0.40%
<TD class=xl22
height=17>
AAPL
<TD class=xl24
x:num="38064">
03/18/04
<TD class=xl22
x:num>
25.94
<TD class=xl22
x:num>
25.85
<TD class=xl23
x:num="3.4695451040863473E-3" x:fmla="=(C11-D11)/C11">
0.35%
<TD class=xl22
height=17>
<TD class=xl24
>
<TD class=xl22
>
<TD class=xl22
>
<TD class=xl23
>
<TD class=xl22
height=17>
Ticker
<TD class=xl22
>
Date/Time
<TD class=xl22
>
EOD-Open
<TD class=xl22
>
RT-Open
<TD class=xl23
>
%Difference
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="38065">
03/19/04
<TD class=xl22
x:num>
46.54
<TD class=xl22
x:num>
44.93
<TD class=xl23
x:num="3.4593897722389334E-2" x:fmla="=(C14-D14)/C14">
3.46%
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="37939">
11/14/03
<TD class=xl22
x:num>
42.88
<TD class=xl22
x:num>
42.66
<TD class=xl23
x:num="5.130597014925512E-3" x:fmla="=(C15-D15)/C15">
0.51%
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="37999">
01/13/04
<TD class=xl22
x:num>
49.95
<TD class=xl22
x:num>
49.73
<TD class=xl23
x:num="4.4044044044045235E-3" x:fmla="=(C16-D16)/C16">
0.44%
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="38050">
03/04/04
<TD class=xl22
x:num>
43.46
<TD class=xl22
x:num>
43.34
<TD class=xl23
x:num="2.7611596870685097E-3" x:fmla="=(C17-D17)/C17">
0.28%
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="37988">
01/02/04
<TD class=xl22
x:num>
45.5
<TD class=xl22
x:num>
45.38
<TD class=xl23
x:num="2.637362637362581E-3" x:fmla="=(C18-D18)/C18">
0.26%
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="38047">
03/01/04
<TD class=xl22
x:num>
44.52
<TD class=xl22
x:num>
44.41
<TD class=xl23
x:num="2.4707996406111081E-3" x:fmla="=(C19-D19)/C19">
0.25%
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="38042">
02/25/04
<TD class=xl22
x:num>
44.39
<TD class=xl22
x:num>
44.31
<TD class=xl23
x:num="1.8022077044378981E-3" x:fmla="=(C20-D20)/C20">
0.18%
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="38015">
01/29/04
<TD class=xl22
x:num>
46.57
<TD class=xl22
x:num>
46.49
<TD class=xl23
x:num="1.7178441056473759E-3" x:fmla="=(C21-D21)/C21">
0.17%
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="38028">
02/11/04
<TD class=xl22
x:num>
47.03
<TD class=xl22
x:num>
46.95
<TD class=xl23
x:num="1.7010418881564595E-3" x:fmla="=(C22-D22)/C22">
0.17%
<TD class=xl22
height=17>
YHOO
<TD class=xl24
x:num="38030">
02/13/04
<TD class=xl22
x:num>
47.61
<TD class=xl22
x:num>
47.54
<TD class=xl23
x:num="1.4702793530770907E-3" x:fmla="=(C23-D23)/C23">
0.15%
<TD class=xl22
height=17>
<TD class=xl24
>
<TD class=xl22
>
<TD class=xl22
>
<TD class=xl23
>
<TD class=xl22
height=17>
Ticker
<TD class=xl22
>
Date/Time
<TD class=xl22
>
EOD-Open
<TD class=xl22
>
RT-Open
<TD class=xl23
>
%Difference
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="38062">
03/16/04
<TD class=xl22
x:num>
64
<TD class=xl22
x:num>
63.16
<TD class=xl23
x:num="1.3125000000000053E-2" x:fmla="=(C26-D26)/C26">
1.31%
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="38022">
02/05/04
<TD class=xl22
x:num>
56.52
<TD class=xl22
x:num>
55.95
<TD class=xl23
x:num="1.0084925690021236E-2" x:fmla="=(C27-D27)/C27">
1.01%
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="37915">
10/21/03
<TD class=xl22
x:num>
45.39
<TD class=xl22
x:num>
44.95
<TD class=xl23
x:num="9.6937651465079915E-3" x:fmla="=(C28-D28)/C28">
0.97%
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="37974">
12/19/03
<TD class=xl22
x:num>
51.72
<TD class=xl22
x:num>
51.56
<TD class=xl23
x:num="3.0935808197988515E-3" x:fmla="=(C29-D29)/C29">
0.31%
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="38063">
03/17/04
<TD class=xl22
x:num>
64.74
<TD class=xl22
x:num>
64.54
<TD class=xl23
x:num="3.0892801977137575E-3" x:fmla="=(C30-D30)/C30">
0.31%
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="37929">
11/04/03
<TD class=xl22
x:num>
47.74
<TD class=xl22
x:num>
47.6
<TD class=xl23
x:num="2.9325513196481055E-3" x:fmla="=(C31-D31)/C31">
0.29%
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="37967">
12/12/03
<TD class=xl22
x:num>
50.18
<TD class=xl22
x:num>
50.05
<TD class=xl23
x:num="2.5906735751295845E-3" x:fmla="=(C32-D32)/C32">
0.26%
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="38047">
03/01/04
<TD class=xl22
x:num>
63.39
<TD class=xl22
x:num>
63.25
<TD class=xl23
x:num="2.2085502445180717E-3" x:fmla="=(C33-D33)/C33">
0.22%
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="37945">
11/20/03
<TD class=xl22
x:num>
45.56
<TD class=xl22
x:num>
45.48
<TD class=xl23
x:num="1.7559262510975723E-3" x:fmla="=(C34-D34)/C34">
0.18%
<TD class=xl22
height=17>
QCOM
<TD class=xl24
x:num="38034">
02/17/04
<TD class=xl22
x:num>
58.09
<TD class=xl22
x:num>
58
<TD class=xl23
x:num="1.5493200206576588E-3" x:fmla="=(C35-D35)/C35">
<FONT
size=2>0.15%
<SPAN
class=828043910-12042004>
<SPAN
class=828043910-12042004><FONT
color=#0000ff><SPAN
class=828043910-12042004><FONT face=Arial
color=#0000ff size=2><FONT
face=Arial color=#0000ff size=2><SPAN
class=828043910-12042004><FONT face=Arial color=#0000ff
size=2><FONT face=Arial
color=#0000ff size=2><FONT
face=Arial color=#0000ff size=2><SPAN
class=828043910-12042004>
<FONT face=Tahoma
size=2>-----Original Message-----From: Tomasz Janeczko
[mailto:amibroker@xxxxxx]Sent: Monday, April 12, 2004 5:26
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Real-Time Trading System ExamplesImportance:
High
Hello,
I have already wrote that accessing DAILY data in intraday
database is OF COURSE POSSIBLE.
Use TimeFrame functions or just switch periodicity in AA
Settings window to DAILY.
The fact that data on EOD eSignal server are different than
time compressed data on intraday eSignal server
is NOT the problem of AmiBroker. This is because how
exchanges report EOD data and actually
time-compressed intraday data provide ACCURATE picture -
because they represent REAL trades that occured
during REAL trading session.
And represent prices that your orders could actually be
filled at.
=======================================
Mixing data from eSignal daily and intraday servers would
result in infinite confusion becuase
close at 16:00 would could be DIFFERENT depending what
viewing interval you choose.
Also problems appear with OPEN price as it is NOT
possible to trade exactly on open on certain exchanges.
For example on Nasdaq you can not place real "market on
open" order
see for example:
<A
href="">http://www.interactivebrokers.com/html/tradingInfo/orders/MarketOpenCloseOrdersSimulated.html
so you can not get filled at open (Market On Open orders are
"simulated" on Nasdaq by placing market order within first 30 seconds of
trading session)
Considering this what's the purpose of using EOD open when
you can not get filled at this price.
Using real intraday data gives you much
better robustness of your backtest (you can calculate for example
the average
price of first 1 minute of trading and enter on that
price)
And of course your system seems to be way to sensitive to be
successful in real life if it yields so much different
results when daily prices differ by such small amounts. You
should really add at least 0.2% for slippage to treat
the backtest with minimum amount of
credibility.
Best regards,Tomasz
Janeczkoamibroker.com
<BLOCKQUOTE dir=ltr
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 12, 2004 4:06
AM
Subject: RE: [amibroker] Re: Real-Time
Trading System Examples
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.>
>>
>>
>>
>> > Send BUG
REPORTS to
bugs@xxxx> >
Send SUGGESTIONS to
suggest@xxxx> >
----------------------------------------->
> Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>
-------------------------------------------->
> Check group FAQ
at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>>
>>
>> > Send BUG
REPORTS to
bugs@xxxx> >
Send SUGGESTIONS to
suggest@xxxx> >
----------------------------------------->
> Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>
-------------------------------------------->
> Check group FAQ
at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>>
>>
>>
>>
>> > Send BUG
REPORTS to
bugs@xxxx> >
Send SUGGESTIONS to
suggest@xxxx> >
----------------------------------------->
> Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>
-------------------------------------------->
> Check group FAQ
at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>>
>>
>> > Send BUG
REPORTS to
bugs@xxxx> >
Send SUGGESTIONS to
suggest@xxxx> >
----------------------------------------->
> Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>
-------------------------------------------->
> Check group FAQ
at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>>
>>
>>
>>
>>
>> > Send BUG
REPORTS to
bugs@xxxx> >
Send SUGGESTIONS to
suggest@xxxx> >
----------------------------------------->
> Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>
-------------------------------------------->
> Check group FAQ
at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>>
>>
>>
>> > Send BUG
REPORTS to
bugs@xxxx> >
Send SUGGESTIONS to
suggest@xxxx> >
----------------------------------------->
> Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>
-------------------------------------------->
> Check group FAQ
at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>>
>>
>>
>>
>>
>> > Send BUG
REPORTS to
bugs@xxxx> >
Send SUGGESTIONS to
suggest@xxxx> >
----------------------------------------->
> Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>
-------------------------------------------->
> Check group FAQ
at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>>
>>
>>
>
_____>
>> > Yahoo!
Groups Links>
>>
>> > * To
visit your group on the web, go
to:> > <A
href="">http://groups.yahoo.com/group/amibroker/>
>>
>> > * To
unsubscribe from this group, send an email
to:> >
amibroker-unsubscribe@xxxxxxxxxxxxxxx>
>
<mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>>
>>
>> > * Your
use of Yahoo! Groups is subject to the Yahoo! Terms
of>
Service> >
<<A
href="">http://docs.yahoo.com/info/terms/>
.> > >
> Send BUG REPORTS
to bugs@xxxx> Send
SUGGESTIONS to
suggest@xxxx>
----------------------------------------->
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
(Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
-------------------------------------------->
Check group FAQ at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
Yahoo! Groups Links> > > > > >
>
---> Outgoing mail
is certified Virus
Free.> Checked by
AVG anti-virus system (<A
href="">http://www.grisoft.com).>
Version: 6.0.656 / Virus Database: 421 - Release Date:
4/10/2004> >
> Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
----------------------------------------->
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
(Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
-------------------------------------------->
Check group FAQ at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> > > >
Send BUG REPORTS to bugs@xxxx>
Send SUGGESTIONS to
suggest@xxxx>
----------------------------------------->
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx>
(Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
-------------------------------------------->
Check group FAQ at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> > > > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
-----------------------------------------> Post
AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check
group FAQ at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> > >
---------------------------------------------------------------------------->
--> Yahoo! Groups Links>
> a.. To visit your group on the web, go
to:> <A
href="">http://groups.yahoo.com/group/amibroker/>
> b.. To unsubscribe from this group, send
an email to:>
amibroker-unsubscribe@xxxxxxxxxxxxxxx>
> c.. Your use of Yahoo! Groups is subject
to the Yahoo! Terms of Service.Send BUG
REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|