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Tomasz,
This would solve my problem! I'll do some experimentation.
Simple is good.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Herman,
>
> If you really have to have both in one database you can simply do
the following: import EOD data using ASCII importer
> (using for example tickers with _EOD extension) and refer to them
using Foreign function.
> (This of course has to be done only ONCE per day - after close when
most recent EOD data are available).
>
> This is very simple and working approach.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Herman van den Bergen
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, April 12, 2004 3:56 PM
> Subject: RE: [amibroker] Re: Real-Time Trading System Examples
>
>
> 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. We
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.
>
> 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.
>
> 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. 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.
>
> Best regards,
> herman.
>
>
>
>
> -----Original Message-----
> From: Fred [mailto:ftonetti@x...]
> Sent: Monday, April 12, 2004 8:49 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Real-Time Trading System Examples
>
>
> As 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@x...]
> > 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:
> >
> >
>
http://www.interactivebrokers.com/html/tradingInfo/orders/MarketOpenCl
> oseOrd
> > 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@x...]
> > 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
> > > 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@x...]
> > > 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@x...]
> > > 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@x...]
> > > > 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@x...]
> > > > 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@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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