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hi Graham,
I did not test the system on intraday data
yet. I'll have to rewrite the code for that still.
Yes I am testing it on EOD data and I agree in this
case I would have to write the Equity curve myself.
For Amibroker it is maybe impossible to determine a
sequence of events during 1 bar because I feed Amibroker only with
Buy,Sell,Short,Cover,BuyPrice,SellPrice etc arrays. But even with EOD data you
can calculate a sequence of events in most cases in my opinion.
For instance:
in this system on a "B" day you may only buy and
you may only buy in a certain zone. Knowing the Open en the Low I
can tell if the buy zone is entered and I may buy. However, if the Low
goes below a certain level I need to sell this long position and go short.
So even having O-H-L-S info only in most cases you can describe a series of
events.
It is not a problem with a bug in my code. I went
through it visually (because I can put all signals in the chart) and it seems
all bugs are out. It is just a matter of how to treat the problem with multiple
signals having EOD data only .... I will start rewritting the code for intraday
data.
thnx and regard, Ed
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=gkavanagh@xxxxxxxxxxxxx
href="">Graham
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, May 18, 2004 12:39
PM
Subject: RE: [amibroker] reaction trend
system
Sounds like a system error to me. Is this on and EOD
database in which caseit would be impossible to trade? How could you trade
3 signals originatingon the same daily bar? Which one comes first or last
would be impossible todetermine.If you are in an intraday database
then the signals should come at differenttimes and can be backtested. If
they come at the same time, then the systemis totally untradeable. It
is also difficult to see if you have errors without viewing the code,
butat 1000+ lines not too many would have the stamina to check
it.Cheers,Graham<A
href="">http://e-wire.net.au/~eb_kavan/-----Original
Message-----From: ed [mailto:ed2000nl@xxxxxxx] Sent: Tuesday, May 18,
2004 6:19 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] reaction
trend systemhello,I hope some one else tried to code this
method of Welles Wilder. I justfinsihed it and it seems the bugs are out
...... The concept of this systemis not too hard to understand but the
writing of the code took me a coupleof days ...... (and 1250 lines of code
.....)The problem I have is the following. This system can give
multiple signalsin one day. It could start of with a Buy then it could be
forced to Sell onthe same day and go Short. All these signals are put in
theBuy-Sell-Cover-Short arrays whenever they occur. However, when I use
thebacktest button of the Automatic Analysis window and look at the trades
itmakes it does not see all these trades.Thinking about this ....
it makes sense to me because how could Amibrokerknow what the sequense of
all these signals are within one day. If asequence occurs: Buy - Sell -
Short during one day the backtester only usesthe Buy signal.Is the
only solution to calculate the Equity array by myself? I am suresimilar
problems occur with other systems. What is generally done with sucha
problem? Maybe this system can only be tested without writing extra codeto
calculate the Equity function if I use intraday
data?thanks,rgds, EdSend BUG REPORTS to
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