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I hate to jump in the middle of this but in Owen's defense I think
there is something about Amibroker that is extremely hard to grasp.
I have 35 years experience writing software, 15-20 years experience
doing fairly complex spreadsheet applications, and I've read the
(well written) portion of the user's guide on array processing
several times. Yet I'm constantly finding problems in my results --
frequently due to BarSince problems.
When I find the problems, in retrospect they almost always seems
obvious and I wonder how I could have been do dumb. So I fix them and
then -- either right away or a few days later -- I find that I've
introduced one or more other problems (frequently also due to
BarSince).
Then I look at something like Tomasz's BarSince looping code and
it seems so obvious I wonder how I could have been so dumb.
I think Tomasz is much too close to it to realize AFL is hard to get
your mind around. If you are intimately familiar with the processing
underlying every type of statment, I'm sure everything seems easy and
obvious.
Maybe my problem was not biting the bullet and learning how to use
loops in the first place. Yet I think I remember reading in the
user's guide that you could accomplish everything with or without
loops and for some reason I thought writing without them was the
newer/better/preferred way to work with AB.
I also understand Tomasz's reluctance to insert things into the
language which he perceives as compromizing the elegant simplicty and
power of AB.
I don't know what the answer is. There are probably ways to ease the
AB learning curve but I won't pretend to know what they are.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> What you wrote is COMPLETELY WRONG.
> You simply completely lack the understanding how BarsSince works,
> how MS works and how AB works.
>
> FYI: Metastock BarsSince works the same as AFLs.
> You simply are misguided by MS formulas using infamous "PREV"
statement
> that is basically the worst idea Equis programmers came up with.
>
> Please READ http://www.amibroker.com/guide/h_understandafl.html
>
> Read it twice, three times or four, five or ten times if necessary.
>
> Your problem is that you want to use "PREVIOUS" bar value.
> There are many ways to achive this goal but most general
> is TO USE LOOPING.
> =============
>
> Simple and straightforward AND *FAST* (compared to horrible
MS "Prev")
>
> See sample code that demonstrates it (posted tens of times already)
> and also available in http://www.amibroker.com/guide/whatsnew.html
> document (at the very end):
>
> /* a sample low-level implementation of Profit-target stop in AFL:
*/
> Buy = Cross( MACD(), Signal() );
>
> priceatbuy=0;
>
> for( i = 0; i < BarCount; i++ )
> {
> if( priceatbuy == 0 && Buy[ i ] )
> priceatbuy = BuyPrice[ i ];
>
> if( priceatbuy > 0 && SellPrice[ i ] > 1.1 * priceatbuy )
> {
> Sell[ i ] = 1;
> SellPrice[ i ] = 1.1 * priceatbuy;
> priceatbuy = 0;
> }
> else
> Sell[ i ] = 0;
> }
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Owen Davies" <owen5819@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, November 12, 2004 2:50 PM
> Subject: Re: [amibroker] BarsSince(Buy)
>
>
> >
> > Tomasz Janeczko wrote:
> >
> >>You can use ExRemSpan instead: (etc.)
> >>
> >
> > I could again go over why this doesn't work?
> >
> > Please trace through the logic of what happens when ExRemSpan
lands you
> > on another day when the Buy conditions are true.
> >
> > For example--the example I used maybe two weeks ago--take the
classic
> > Larry Williams system with a volatility-breakout entrance and his
> > "bailout" exit: Enter when today's High is higher than the Open
plus
> > (some fraction of) yesterday's range. To get out, wait one bar,
to give
> > the price time to move, and Sell on the first profitable Open.
Use a
> > stop-loss to escape the losers. So:
> >
> > Buy=H > O + Ref(H - L,-1);
> > BuyPrice=Max(O, Ref(H - L,-1) + TickSize);
> >
> > Sell=BarsSince(Entry) > 1 AND O > Ref(C,-BarsSince(Entry));
> > SellPrice=O;
> >
> > //And the obvious equivalents for Short trades
> >
> > ApplyStop(0,2,PickANumber,1,False);
> >
> > Those of you who once used Metastock will remember BarsSince
(Entry),
> > probably with great fondness and regret. But you can't do that
in AFL.
> > You can't even do separate BarsSince(Buy) and BarsSince(Short)
> > statements. In AFL, your Sell statement becomes Sell=O >
> > ValueWhen(Buy,BuyPrice,1); And when you try to use ExRemSpan,
there is
> > every chance that you will land on another day where the Buy
conditions
> > are true. At which point the ValueWhen function looks at that
day's
> > BuyPrice, and O is never higher.
> >
> > For a one-day delay, we can write two sell conditions, one for
use if
> > today is a Buy day and one for use if it is not, with different
numbers
> > for the third parameter in the ValueWhen statement. But what if
you'd
> > like to set the delay for more than one day? How many Sell
conditions
> > do you have to write to take care of all the possible
combinations of
> > Buy and non-Buy days since the entry?
> >
> > Two very talented programmers from our group were kind enough to
attempt
> > solutions to this problem for me, one in AFL, the other in ... I
guess
> > that was jScript. I am very grateful to them for trying.
However,
> > neither succeeded. In each case, trades that should have ended
with a
> > profit after two or three days were not exited until much later.
In a
> > test of the AFL version on continuous S&P data, the average trade
length
> > was just over 46 bars, and one trade lasted more than 600 bars!
> >
> > This is a very simple system, one of the most famous in all of
> > traderporn. It can be "coded" unambiguously in English. With
> > BarsSince(Entry), it could be coded unambiguously in Metastock;
but MS
> > would not give you valid entry and exit prices when I used it
last; that
> > was a major reason I was delighted when Tomasz made Amibroker
> > available. Unfortunately, one really useful thing from Metastock
got
> > left behind. I understand that there are reasons for this. But
those
> > reasons are keeping me from testing this and several other ideas
that
> > might be of value. Or they might not. At this point, I have no
way to
> > know.
> >
> > I am profoundly sorry to keep pushing this, as I believe Tomasz
created
> > ExRemSpan in response to one of my early pleas for help in coding
this
> > exit. And it could be that there is some way to use ExRem and
ExRemSpan
> > that actually solves the problem with the kind of generality I'm
looking
> > for, a technique that Tomasz knows but neither I nor my
Samaritans were
> > able to recognize. But I'm betting against it.
> >
> > I have been trying to solve this problem for more than two years
and am
> > quite convinced that it cannot be done. Tomasz, PLEASE HELP.
> >
> > Pretty please? I'll finally get around to renewing my license if
you
> > do. 8-)
> >
> > Thanks to all for bearing with me on this.
> >
> > Owen Davies
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
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