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<FONT face=Tahoma
size=2>-----Original Message-----From: Fred
[mailto:ftonetti@xxxxxxxxxxxxx]Sent: Monday, April 12, 2004 1:08
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Real-Time Trading System ExamplesMore ACCURATE
results or BETTER results ?--- In amibroker@xxxxxxxxxxxxxxx, "Herman
van den Bergen" <psytek@xxxx> wrote:> 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@xxxx]> 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@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/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@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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