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1) When we run a back test set to Daily periodicity, will the back
tester use EOD or RT data? ...Will a choice be possible at some point?
..........................
Excellent question, I had problems with EOD backtesting with Intraday
data mixed in, when I used one database only in the past.
Regards
Jim
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> Thank you very much Tomasz, to be able to access both types of data
is just
> great. Your work is much appreciated!!
>
> Perhaps my questions/desires are a bit premature... but could you
explain to
> what extend we can use this. For example:
>
> 1) When we run a back test set to Daily periodicity, will the back
tester
> use EOD or RT data? ...Will a choice be possible at some point?
>
> 2) When using TimeFrames, will using TimeFrameSet(inDaily) use the
EOD db
> and TimeFrameSet(in1Minute) use the RT db? ...Will a DataBaseSet
(EOD) and
> DataBaseSet(RT) be available at some point?
>
> 3) If possible at this stage, how would we code to run the first
part of the
> system in EOD, for example to calculate Timing signals and Scores,
and then
> switch to 1-Minute data to process intraday entries/exits?
>
> TIA,
> herman.
> -----Original Message-----
> From: Tomasz Janeczko [mailto:amibroker@x...]
> Sent: Wednesday, April 28, 2004 2:23 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] AmiBroker 4.54.0 BETA released
>
>
>
> Hello,
>
> A new beta version (4.54.0) of AmiBroker has just been released.
>
>
> It is available for registered users only from the members area
at:
> http://www.amibroker.com/members/bin/ab4540beta.exe
> and
> http://www.amibroker.net/members/bin/ab4540beta.exe
>
> (File size: 770 408 bytes, 770 KB)
>
> If you forgot your user name / password to the members area
> you can use automatic reminder service at:
> http://www.amibroker.com/login.html
>
> The instructions are available below and in the "ReadMe" file
> ( Help->Read Me menu from AmiBroker )
>
> The highlight of this version is mixed EOD/intraday mode that
allows
> working with very long EOD histories and intraday data in single
database
> (there is no longer the need to run two instances for that).
Currently
> this mode is supported
> by eSignal and Market Cast plugins only.
>
> The archive comes with updated versions of eSignal (1.7.0) and
MarketCast
> (1.1.0)
> plugins both featuring support for new mixed EOD/Intraday mode.
>
> To create database with new mixed mode you have to go to
> File->New database and create it as usual, but later click
on "Intraday
> Settings" button
> and make sure that "Allow mixed intraday/EOD" box is checked.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> AmiBroker 4.54.0 Beta Read Me
> April 28, 2004 20:08
>
> THIS IS A BETA VERSION OF THE SOFTWARE. EXPECT BUGS !!!
>
> Backup your data files and entire AmiBroker folder first!
>
> INSTALLATION INSTRUCTIONS
>
> IMPORTANT: This archive is update-only. You have to install full
version
> 4.50 first.
>
> Just run the installer and follow the instructions.
>
> Then run AmiBroker. You should see "AmiBroker 4.54.0 beta"
written in the
> About box.
>
> Many thanks to all providing detailed descriptions how to
reproduce given
> bug.
>
>
> See CHANGE LOG below for detailed list of changes.
>
> CHANGE LOG
>
> CHANGES FOR VERSION 4.54.0 (as compared to 4.53.1)
>
> a.. "Allow mixed EOD/intraday data" mode added (controllable
from
> File->Database Settings->Intraday, checkbox with the same name) it
allows to
> work with database that has a mixture of intraday and EOD data in
one data
> file. If this is turned on then in intraday modes EOD bars are
removed
> on-the-fly and in daily mode EOD bars are displayed instead of time
> compressed intraday or if there is no EOD bar for corresponding day
then
> intraday bars are compressed as usual.
> This mode works in conjunction with new versions of plugins
that allow
> mixed data. Mixed mode is now supported by MarketCast plugin (1.1 or
> higher)(Australia) and eSignal plugin (1.7.0 or higher) only.
>
> Mixed mode allows intraday plus very long daily histories in one
> database.
>
> Note that this is EXPERIMENTAL feature.
>
> b.. Real-Time quote window enhanced
> Now only fields that are changed change the background
to 'yellow' and
> if the value in given field increases then it is displayed in green
if
> decreases then is displayed in red. This allows easy identification
of
> movement.
>
> c.. all strings in the program moved to resources for easy
localization
>
> d.. fixed problem with SetForeign()+FullName() returning
symbol instead
> of full name of foreign security.
>
> e.. added new AFL function IsContinuous() to check
if "continuous" flag
> is turned on in Symbol->Information window
>
> f.. OLE properties can be retrieved (DISPATCH_PROPERTYGET)
directly
> from AFL now using parameterless function syntax. This allows
reading values
> exposed by OLE automation directly from AFL code. Example:
>
> AB = CreateObject("Broker.Application");
> Stocks = AB.Stocks(); // get collection
> Stock = Stocks.Item( Name() ); // currently selected
>
> "FullName : " + Stock.FullName();
> "Alias : " + Stock.Alias();
> "Address : " + Stock.Address();
> "Shares: " + Stock.Issue();
> "Book value: " + Stock.BookValue();
> "Market : " + Stock.MarketID();
> "WebID : " + Stock.WebID();
>
> You can check if OLE object is valid by calling IsNull()
function,
> example:
>
> AB = CreateObject("Broker.Application");
> Stocks = AB.Stocks(); // get collection
> Stock = Stocks.Item( "INTC" );
>
> if( IsNull( Stock ) )
> {
> printf("COM object invalid (Null) - symbol does not exist\n");
> }
> else
> {
> printf("COM object valid - you can access its methods\n");
> }
>
> g.. IsEmpty/IsNull and IsTrue functions operate with scalars
and OLE
> dispatches without upsizing them to array
>
>
> CHANGES FOR VERSION 4.53.1 (as compared to 4.53.0)
>
> a.. addressed problem with broker.layers file. Now version
4.53.1
> correctly reads broker.layers file saved with older versions
however note
> that old versions are not compatible with new format.
> b.. layer properties dialog provides more comfortable setting
of layer
> visibility
> c.. other minor fixes
>
> CHANGES FOR VERSION 4.53.0 (as compared to 4.52.0)
>
> a.. per-group intraday settings (filtering/daily compression)
Use
> Symbol->Categories: "GROUP" -> Use own intraday settings, click
> on "Intraday settings" button to define intraday settings
specific to
> given group.
>
> b.. intraday settings now allow to specify separate day (RTH)
and night
> (ETH) sessions
>
> c.. time filtering now allows to display:
> a) 24 hours trading (no filtering)
> b) day session only
> c) night session only
> d) day and night sessions only
>
> d.. new intraday time compression mode: Day/Night - shows two
bars (day
> and night) per day
>
> e.. daily compression can be now based on
> a) exchange time (available since 4.00)
> b) local time (available since 4.50)
> c) day/night session times definable by the user (new)
>
> f.. when "activatestopsimmediately" is turned ON then cash from
stopped
> out positions is NOT available to enter trades the same day
>
> g.. easy access to selected category settings from Symbol-
>Information
> window.
>
> h.. Workspace tree supports in-place editing of market, group,
sector,
> industry and watch list names. Single click on category name and
just enter
> the name
>
> CHANGES FOR VERSION 4.52.0 (as compared to 4.51.1)
>
> a.. fixed problem with fixup=0 and handling multiple data holes
in a row
>
> b.. added new commands to ASCII format definitions:
> $MINTICKERLEN <number> - defines minimum accepted length of the
ticker
> symbol
> $MAXTICKERLEN <number> - defines maximum accepted length of the
ticker
> symbol
> For example ASX users may wish to use
> $MAXTICKERLEN 3
> to make sure that ASCII importer accepts only symbols that have
no more
> than 3 characters (this excludes ASX options and warrants)
>
> c.. fixed problem with incorrect very first value of the array
returned
> by variable-period version of HHV/LLV
>
> d.. fixed Procedure/function parameter overwrite issue when
using
> built-in price arrays and variable overwrite issue
>
> e.. memory allocated for return value is marked for earlier
freeing so
> calling user-defined functions inside loops should consume less
memory
>
> f.. Interval() function enhanced. Now accepts format parameter:
> Interval( format = 0 );
> possible values:
> format = 0 - returns bar interval in seconds
> format = 1 - as above plus TICK bar intervals are returned with
negative
> sign
> so Interval() function applied to 10 tick chart will return -10
> format = 2 - returns STRING with name of interval such as
> "weekly/monthly/daily/hourly/15-minute/5-tick"
>
> g.. vertical quote selection line in linked windows is now
independent
>
> h.. changing "same day stops" via SetOption
("ActivateStopsImmediately")
> in portfolio backtest mode has an effect now (previously reacted
only on
> manual settings)
>
> i.. SetOption("CommissionMode", mode ) works now in portfolio
mode too
> (previously worked
> in old backtest mode only)
>
> j.. SetOption("CommissionAmount", amount ) works now in
portfolio mode
> too (previously worked
> in old backtest mode only)
>
> k.. $SEPARATOR command in ASCII importer definitions now allows
to
> import files that have fields separated by more than one separator
> characters Separator string (array of characters) must be enclosed
in
> quotation marks. If there is only one separator character (as in old
> versions) then quotation marks are needed.
> For example files with joined date and time
>
> $SEPARATOR ", "
> $FORMAT DATE_YMD,TIME,OPEN,HIGH,LOW,CLOSE
>
> will be able to import file like this:
> 2004-02-04 12:30,3.41,3.44,3.40,3.42
> (note date and time field are separated by space not by comma)
>
> l.. Import wizard now supports new separators 'comma or space',
> 'semicolon or space' and 'tab or space'
>
> m.. ASCII importer and Quote Editor properly
> distinguish records with time specified as 00:00:00 from EOD
records
> (without time)
>
>
> CHANGES FOR VERSION 4.51.1 (as compared to 4.51.0)
>
> a.. OLE interface methods numbering adjusted to maintain
backward
> compatibility with previous versions and other programs referring
to old OLE
> interface
>
> CHANGES FOR VERSION 4.51.0 (as compared to 4.50.10)
>
> a.. OLE automation interface changes:
> Analysis.Backtest and Analysis.Optimize now support new "Type"
> parameter.
> Type can be one of the following values:
> 0 : portfolio backtest/optimize
> 1 : individual backtest/optimize
> 2 : old backtest/optimize
>
> For backward compatibility Type parameter is optional and
defaults to 2
> (old backtest/optimize)
>
> Example code:
>
> AB = new ActiveXObject("Broker.Application");
> AB.Analysis.Backtest( 0 ); // perform portfolio backtest
> AB.Analysis.Optimize( 0 ); // perform portfolio optimize
>
> b.. OLE automation interface new object: "Commentary"
>
> This object has 5 methods:
> - BOOL LoadFormula( STRING pszFileName ) - loads the formula
> - BOOL SaveFormula( STRING pszFileName ) - saves the formula
> - void Apply() - displays the commentary
> - BOOL Save( STRING pszFileName ); - saves commentary output
(result) to
> the file (use after call to Apply())
> - void Close() - closes the commentary window
>
> Commentary object is accessible from Broker.Application object
via
> Commentary property:
>
> Example code:
>
> AB = new ActiveXObject("Broker.Application");
> AB.Commentary.LoadFormula("C:\\Program
> Files\\AmiBroker\\AFL\\MACD_c.afl");
> AB.Commentary.Apply();
> AB.Commentary.Save("Test.txt");
> AB.Commentary.SaveFormula("MACDTest.afl");
> //AB.Commentary.Close();
>
> c.. AFL function Now( format = 0 ) accepts new parameter values
>
> Returns current date / time in numerous of formats:
> // formats supported by old versions
> format = 0 - returns string containing current date/time
formatted
> according to system settings
> format = 1 - returns string containing current date only
formatted
> according to system settings
> format = 2 - returns string containing current time only
formatted
> according to system settings
> format = 3 - returns DATENUM number with current date
> format = 4 - returns TIMENUM number with current time
> format = 5 - returns DATETIME number with current date/time
> // new formats available from version 4.51
> format = 6 - returns current DAY (1..31)
> format = 7 - returns current MONTH (1..12)
> format = 8 - returns current YEAR (four digit)
> format = 9 - returns current DAY OF WEEK (1..7, where 1=Sunday,
> 2=Monday, and so on)
> format = 10 - returns current DAY OF YEAR (1..366)
>
> d.. Custom indicators:
> If plot name is empty the value of such plot does not appear in
the
> title
> and does not appear in the data tool tip
>
> Plot( C, "Price", colorWhite, styleCandle );
> Plot( MA( C, 10 ), "", colorRed ); // NOTE that this plot
name/value
> will NOT appear in the title
> Plot( MA( C, 20 ), "MA20", colorGreen );
>
> e.. SetOption( "field", value )
> accepts new fields:
> "CommissionMode" -
> 0 - use portfolio manager commission table
> 1 - percent of trade
> 2 - $ per trade
> 3 - $ per share/contract
>
> "CommissionAmount" - amount of commission in modes 1..3
>
> "MarginRequirement" - account margin requirement (as in
settings), 100 =
> no margin
>
> "ReverseSignalForcesExit" - reverse entry signal forces exit of
existing
> trade (default = True )
>
> f.. new AFL function: GetOption( "field" ) - retrieves the
settings,
> accepted fields the same as in SetOption.
>
> Example:
>
> PositionSize = -100 / GetOption("MaxOpenPositions");
>
> g.. new AFL function: GetRTData( "field" )
> - retrieves the LAST (the most recent) value of the following
fields
> reported by streaming real time data source )
> (Note 1: this function is available ONLY in PROFESSIONAL
edition,
> calling it using Standard edition will give you NULL values for
all
> fields)
> (Note 2: works only if data source uses real time data source
(plugin) )
> (Note 3: availablity of data depends on underlying data source
> - check the real-time quote window to see if given field is
available )
> (Note 4: function result represents the current value at the
time of the
> call
> /formula execution/, and they will be refreshed depending on
chart or
> commentary refresh interval
> /settable in preferences/. Built-in real time quote window is
refreshed
> way more often (at least 10 times per second) )
>
> Supported fields:
> "Ask" - current best ask price
> "AskSize " - current ask size
> "Bid" - current best bid price
> "BidSize " - current bid size
> "52WeekHigh" - 52 week high value
> "52WeekHighDate" - 52 week high date (in datenum format)
> "52WeekLow" - 52 week low value
> "52WeekLowDate" - 52 week low date (in datenum format)
> "Change" - change since yesterdays close
> "Dividend" - last dividend value
> "DivYield" - dividend yield
> "EPS" - earnings per share
> "High" - current day's high price
> "Low" - current day's low price
> "Open" - current day's open price
> "Last" - last trade price
> "OpenInt" - current open interest
> "Prev" - previous day close
> "TotalVolume" - total today's volume
> "TradeVolume" - last trade volume
> "ChangeDate" - datenum (YYYMMDD) of last data change
> "ChangeTime" - timenum (HHMMSS) of last data change
> "UpdateDate" - datenum (YYYMMDD) of last data update
> "UpdateTime" - timenum (HHMMSS) of last data update
> "Shares" - total number of shares
>
> Example:
> "Bid = "+GetRTData("Bid");
> "Ask = "+GetRTData("Ask");
> "Last = "+GetRTData("Last");
> "Vol = "+GetRTData("TradeVolume");
>
> "EPS = "+GetRTData("EPS");
> "52week high = "+GetRTData("52weekhigh");
>
> h.. Custom indicators:
> Default names and graph values appear in the title
> when using old-style graph0, graph1, graph2 statements in the
custom
> indicators
>
>
> HOW TO REPORT BUGS
>
> If you experience any problem with this beta version please send
detailed
> description of the problem (especially the steps needed to
reproduce it) to
> bugs at amibroker.com
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
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> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
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