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Well, you're sorta right. The way I do it is run two instances of AMI, one
eod and one intraday. The last day of the eod updates on the intraday data,
each minute replacing the last one minute quote so that I get any new sigals
in a timely fashion. At the end of the day I use the "edit session erase"
to erase the current day and then upload all eod values. I don't use the eod
for entry though, just for an indication of the "daily trend for a stock"
and use the intraday for all entry and exits.
regards
lou howard
=============================
----- Original Message -----
From: "danielwardadams" <danielwardadams@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, April 11, 2004 6:34 PM
Subject: [amibroker] Re: Real-Time Trading System Examples - TJ (question)?
> Re: "You can run your EOD stuff at your leisure, export what you need
> for your Real Time formula and then import it there and use it. This
> is workable now. Do you want to do something now or wait for who
> knows how long for a integrated solution?"
>
> No -- I don't want to wait. But if I want to backtest and optimize
> parameters based on both EOD and intraday data (e.g., enter on EOD
> signals, exit on intraday profit targets and trailing stops), I don't
> think i can do it on other than time compressed data. Correct me if
> I'm wrong. Maybe that will have to do.
>
> (I'll see if I can get your latest snippit to work and see if I see
> any flames).
>
> Dan
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > The snippet has nothing to do with EOD or rt data - it simply will
> export
> > the tradelist from an Individual Backtest. That's it.
> >
> > As to your delima - yes it would be nice to have an integral
> solution and
> > one might be coming - I don't know if or when.
> >
> > However, I see no reason to mix the data into one database. You can
> run your
> > EOD stuff at your leisure, export what you need for your Real Time
> formula
> > and then import it there and use it. This is workable now. Do you
> want to
> > do something now or wait for who knows how long for a integrated
> solution?
> > Even the integrated (into AB) might not involve mixed databases -
> it might
> > involve the abilitly to access multiple databases within a formula.
> >
> > d
> >
> >
> > _____
> >
> > From: danielwardadams [mailto:danielwardadams@x...]
> > Sent: Sunday, April 11, 2004 5:44 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Real-Time Trading System Examples - TJ
> (question)?
> >
> >
> > d,
> > Found your snippit but I don't understand it. I also read the
> > component object model support section in the user's guide but I
> > don't understand that either.
> >
> > I've never done any of this stuff (COMs/ActiveX/creating
> > Dlls/Plugins, etc.) so I'm pretty lost.
> >
> > Wouldn't it make sense for someone who knows what they are doing to
> > solve this problem in a general way? Seems like it has enough
> > interest that maybe it could become an integral part of Amibroker.
> >
> > "All" I want to do is access data from an EOD database while I'm
> > processing RT data.
> >
> > So basically I want to flip back and forth from one database to
> > another much the same as changing timeframes within the same
> > database. I know it makes sense that EOD data should be the same as
> > compressed RT data but as Herman and others have pointed out, they
> > aren't. (Note: You also don't have access to signals longer than
> what
> > the compressed data allows -- e.g., a monthly moving average has no
> > meaning with 120 days of compressed eSignal RT data)
> >
> > One way to facilitate this from an AFL perspective might(???) be
> with
> > the addition of just one new function:
> >
> > AssociateDatabase(interval, filename) ;
> >
> > Where:
> >
> > interval is one of the time frame intervals already defined
> > (in1Minute), ..., indaily, ..., inMonthly)
> > and
> > filename is a the path and filename of the database you want to
> > associate with this interval.
> >
> > Example:
> >
> > AssociateDatabase(inDaily, c:\Program
> > Files\AmiBroker\QuotesPlus_EOD_Data) ;
> >
> > It seems like everything could work the same, e.g., TimeFrameSet
> > (inDaily) would set the default database to this one,
> > TimeFrameGetPrice( ..., inMonthly, ..) would get O,H,L,C,V data
> from
> > the database associated with inMonthly, etc.
> >
> > Not having a database explicitly associated with an interval could
> > result in compressed data the same as it works today so it
> continues
> > to work with all existing code.
> >
> > Short of integrating it into AB this tightly, I think a
> > DataBaseGetPrice(filename, .... ) function that returns O,H,L,C,V
> > data from another database would let me do everything I want. It
> > seems if someone knew what they were doing and had access to the AB
> > database API, they could knock out a DLL/Plugin to do this pretty
> > easily.
> >
> > I'm just thinking out loud but it seems there might be a nice
> > solution to this problem.
> >
> > Dan
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > > Here's a small code snippet that will export the results if you
> do
> > and
> > > individual backtest or an "old" backtest.
> > >
> > > It will not however export a "regular" backtest. I suspect this
> is
> > a timing
> > > issue in AB - right TJ?
> > >
> > > d
> > >
> > > Put the snippet below at the end of your AFL (you may have to
> > change the
> > > path for the export)
> > >
> > > ----------8<------------------------------------------------------
> -
> > >
> > > EnableScript("vbscript");
> > >
> > > <%
> > >
> > > Set oAB = CreateObject("Broker.Application")
> > >
> > > Set oAA = Oab.Analysis
> > >
> > > i = oAA.Export("C:\\Program Files\\Amibroker\\Test.csv")
> > >
> > > %>
> > >
> > > ----------8<------------------------------------------------------
> -
> > >
> > >
> > >
> > >
> > >
> > > _____
> > >
> > > From: Herman van den Bergen [mailto:psytek@x...]
> > > 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@x...]
> > > 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@x...]
> > > 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@x...]
> > > 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@x...]
> > > 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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