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Yes you could estimate which sequence the signals came in,
but which one do you trade tomorrow?
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/
<span
>-----Original Message-----
From: ed [mailto:ed2000nl@xxxxxxx]
Sent: Tuesday, May 18, 2004 6:57
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] reaction
trend system
<font size=2
face="Times New Roman">
<span
>hi Graham,
<font size=2
face="Times New Roman">
<span
>I did not test the system on
intraday data yet. I'll have to rewrite the code for that still.
<font size=2
face="Times New Roman">
<span
>Yes I am testing it on EOD data and
I agree in this case I would have to write the Equity curve myself.
<font size=2
face="Times New Roman">
<span
>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:
<font size=2
face="Times New Roman">
<span
>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.
<font size=2
face="Times New Roman">
<span
>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.
<font size=2
face="Times New Roman">
<span
>thnx and regard, Ed
<font size=2
face="Times New Roman">
<span
>----- Original Message -----
<font
size=2 face=Arial>From: <a
href="" title="gkavanagh@xxxxxxxxxxxxx">Graham
<span
>To:<font
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
<span
>Sent:<font
face=Arial> Tuesday, May 18, 2004 12:39 PM
<span
>Subject:<font
face=Arial> RE: [amibroker] reaction trend
system
<font size=2
face="Times New Roman">
<font size=2
face="Courier New">Sounds like a system error to
me. Is this on and EOD database in which case<font
face="Courier New">
it would be impossible to trade? How could you
trade 3 signals originating
on the same daily bar? Which one comes first or
last would be impossible to
determine.
If you are in an intraday database then the
signals should come at different
times and can be backtested. If they come at the
same time, then the system
is totally untradeable.
It is also difficult to see if you have errors
without viewing the code, but
at 1000+ lines not too many would have the stamina
to check it.
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/
-----Original Message-----
From: ed [mailto:ed2000nl@xxxxxxx]
Sent: Tuesday, May 18, 2004 6:19 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] reaction trend system
hello,
I hope some one else tried to code this method of
Welles Wilder. I just
finsihed it and it seems the bugs are out ......
The concept of this system
is not too hard to understand but the writing of
the code took me a couple
of days ...... (and 1250 lines of code .....)
The problem I have is the following. This system
can give multiple signals
in one day. It could start of with a Buy then it
could be forced to Sell on
the same day and go Short. All these signals are
put in the
Buy-Sell-Cover-Short arrays whenever they occur.
However, when I use the
backtest button of the Automatic Analysis window
and look at the trades it
makes it does not see all these trades.
Thinking about this .... it makes sense to me
because how could Amibroker
know what the sequense of all these signals are
within one day. If a
sequence occurs: Buy - Sell - Short during one day
the backtester only uses
the Buy signal.
Is the only solution to calculate the Equity array
by myself? I am sure
similar problems occur with other systems. What is
generally done with such
a problem? Maybe this system can only be tested
without writing extra code
to calculate the Equity function if I use intraday
data?
thanks,
rgds, Ed
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