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<FONT face=Arial 
color=#000000 size=2>Hello Fred, thanks for your comments. Obviously 
you 
have done your home work and you have identified what data aspects are important 
for you, that is exactly what I suggested people do. <FONT 
face=Arial size=2> W<FONT 
color=#0000ff>e all trade different 
systems and for anybody to imply/assume that their personal criteria have 
common value and apply to others, without knowing what type of systems the 
others are using makes no sense. I may be in the market a few hours after 
my signal while others may stay in for a couple of weeks. The rules and criteria 
are not the same.
<FONT face=Arial 
size=2> 
EOD prices give me 
more accurate results in my application, RT differences of up to several 
percent can and have put me in the opposite position (TWS data). This 
hasn't happened to me since I reverted to using EOD prices to generate my 
major timing signals. Just play with the Stochastic and see how one such 
deviation can have a forward effect on your chart and change your signal a few 
bars after it happened. 
<FONT face=Arial 
size=2> 
I don't know how the 
EOD values are calculated, i posted at various places on the Internet but got no 
authoritive replies, just personal and subjective opinions. EOD Open 
prices appear to have a built-in lagless smoothing quality that I 
cannot duplicate in backtesting or trading using RT data. <SPAN 
class=625550013-12042004>Awhile back I posted a 
challenged for a RT formula that would generate a Match for EOD 
prices... no replies, just defensive comments from those who prefer to ignore 
the problem. I suspect EOD prices are defined/released by the markets and make 
use of information that we do not have access to in real time. Sometimes it is 
pretty hard to get to the bottom of things.
<SPAN 
class=625550013-12042004><FONT face=Arial 
color=#000000 size=2> 
Best 
regards,
<FONT face=Arial 
size=2>herman.
<FONT 
face=Arial> 
<FONT 
face=Arial> 


  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Fred 
  [mailto:ftonetti@xxxxxxxxxxxxx]Sent: Monday, April 12, 2004 8:49 
  AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: 
  Real-Time Trading System ExamplesAs I stated a year 
  or so ago, not only do EOD prices differ from intraday prices with regards 
  to the open, they differ regarding the close as well and in some cases 
  with high and low.  I'm not sure why you think the EOD prices are 
  more accurate, especially when it comes to what is reported for closing 
  prices as these are typically settling prices that occur AFTER the close 
  and are therefore NOT tradable, but if that's what you want to use, so be 
  it.  They are however at best only meaningful when trading on delay 
  i.e. buy/sell at tomorrows open NOT todays prices whether they are based 
  on close or intraday as they aren't in print yet.  From my 
  perspective the only meaningful numbers are those related to intraday not 
  EOD.--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen" 
  <psytek@xxxx> wrote:> 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.> > 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.> > 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.> > Below are some examples, comparing QP2 with 
  eSignal RT.> take care,> herman> 
  >       Ticker Date/Time EOD-Open RT-Open 
  %Difference>       AAPL 03/08/04 26.79 
  26.62 0.63%>       AAPL 12/16/03 20.19 
  20.08 0.54%>       AAPL 03/30/04 27.86 
  27.72 0.50%>       AAPL 12/15/03 21.49 
  21.39 0.47%>       AAPL 02/18/04 23.18 
  23.08 0.43%>       AAPL 03/19/04 25.7 
  25.59 0.43%>       AAPL 12/12/03 21.32 
  21.23 0.42%>       AAPL 12/17/03 20.08 20 
  0.40%>       AAPL 01/30/04 22.74 22.65 
  0.40%>       AAPL 03/18/04 25.94 25.85 
  0.35%> >       Ticker Date/Time 
  EOD-Open RT-Open %Difference>       YHOO 
  03/19/04 46.54 44.93 3.46%>       YHOO 
  11/14/03 42.88 42.66 0.51%>       YHOO 
  01/13/04 49.95 49.73 0.44%>       YHOO 
  03/04/04 43.46 43.34 0.28%>       YHOO 
  01/02/04 45.5 45.38 0.26%>       YHOO 
  03/01/04 44.52 44.41 0.25%>       YHOO 
  02/25/04 44.39 44.31 0.18%>       YHOO 
  01/29/04 46.57 46.49 0.17%>       YHOO 
  02/11/04 47.03 46.95 0.17%>       YHOO 
  02/13/04 47.61 47.54 0.15%> 
  >       Ticker Date/Time EOD-Open RT-Open 
  %Difference>       QCOM 03/16/04 64 63.16 
  1.31%>       QCOM 02/05/04 56.52 55.95 
  1.01%>       QCOM 10/21/03 45.39 44.95 
  0.97%>       QCOM 12/19/03 51.72 51.56 
  0.31%>       QCOM 03/17/04 64.74 64.54 
  0.31%>       QCOM 11/04/03 47.74 47.6 
  0.29%>       QCOM 12/12/03 50.18 50.05 
  0.26%>       QCOM 03/01/04 63.39 63.25 
  0.22%>       QCOM 11/20/03 45.56 45.48 
  0.18%>       QCOM 02/17/04 58.09 58 
  0.15%> > > >   -----Original 
  Message----->   From: Tomasz Janeczko 
  [mailto:amibroker@xxxx]>   Sent: Monday, April 12, 2004 5:26 
  AM>   To: amibroker@xxxxxxxxxxxxxxx>   
  Subject: Re: [amibroker] Re: Real-Time Trading System 
  Examples>   Importance: 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/MarketOpenCloseOrd> 
  ersSimulated.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 Janeczko>   
  amibroker.com>     ----- Original Message 
  ----->     From: Herman van den 
  Bergen>     To: 
  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. 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.> 
  >     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.> 
  >     I have not had an occassion where i needed 
  the EOD version to access the> RT version.> 
  >     h>       
  -----Original Message----->       From: 
  danielwardadams 
  [mailto:danielwardadams@xxxx]>       
  Sent: Sunday, April 11, 2004 9:40 
  PM>       To: 
  amibroker@xxxxxxxxxxxxxxx>       Subject: 
  [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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