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I had an earlier post explaining what "my problem" was but it seems
to have vanished and not make it into the thread (???).
Basically, like Herman, I'm trying to use backtesting to optimize
trading system parameters. Also, like him, I need to base it on RT
data since I use intraday profit targets and trailing stops.
The problem arises when trying to use longer term indicators. For
example you can't do a simple check for MA50(Daily) > MA200(Daily
because MA200 has no meaning when based on 120 days of eSignal RT
data. Similarly, can't do anything very meaningful on weekly or
monthly data.
When trying to backtest anything with a longer term indicator in it,
you don't see any backtested results until the indicator can be
computed.
So, if you have AFL with an MA50(Daily) anyplace in it, you
immediately lose 50 of your 120 days and the statistial significance
of your backtested results are reduced accordignly.
So that's the problem I'm trying to solve. I can live with the RT/EOD
data differences and I think some good cases have been made why RT
is "better".
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
<danielwardadams@xxxx> wrote:
> 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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