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Tomasz, I have had some scans where the exrem did not remove the
excess signals. I even tested this on a number of scans and
explorations and charts at the time. It was even discussed in the
yahoo forum.
I just tested this again with the latest AB beta version and it seems
that exrem does now work as intended. But I can assure you that it was
not working this way in previous versions (within last few months).
This also included simple items on charts such as HighestSince(buy,H)
which reset after all buys regardless of using exrem. I notice this
also now works properly.
On Mon, 31 Jan 2005 22:38:44 +0100, Tomasz Janeczko <amibroker@xxxxxx> wrote:
>
> > Using exrem is useful for backtesting and charts, but does not remove
> > the excess signals from scans or explorations
> ???
> ExRem works on array level and removes excess signals in every mode.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Graham" <kavemanperth@xxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, January 31, 2005 10:37 PM
> Subject: Re: [amibroker] Re: Resetting exRem at the start of the day
>
> >
> > Cross will provide a single signal when the variable value crosses
> > above the other value. This provides a single signal for buy/sell
> > rather than using > which will provide a continuous series of signals
> > every bar that the value is higher than the other
> >
> > Using exrem is useful for backtesting and charts, but does not remove
> > the excess signals from scans or explorations
> >
> >
> > On Mon, 31 Jan 2005 16:17:19 -0000, qweds_560 <qweds_560@xxxxxxxxx> wrote:
> >>
> >>
> >> Thanks Graham, tried it,doesn't solve the problem...
> >>
> >> In general, does using CROSS take out excessive signals without
> >> using exRem?
> >>
> >> Sam
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> >> > try
> >> > x=Cross(TimeNum(), 093001);
> >> >
> >> >
> >> > On Fri, 28 Jan 2005 13:08:53 -0000, qweds_560 <qweds_560@xxxx>
> >> wrote:
> >> > >
> >> > >
> >> > > Hi,
> >> > >
> >> > > I am using the following code to try and reset exRem at the
> >> > > beginning of the day:
> >> > >
> >> > > x=TimeNum() == 093000;
> >> > >
> >> > > Buy = ExRem(Buy,Short);
> >> > > Sell = ExRem(Sell,Buy);
> >> > >
> >> > > Short = ExRem(Short,Buy);
> >> > > Cover = ExRem(Cover,Short);
> >> > >
> >> > > Short=IIf(x==1,Flip(Short,Buy),Short);
> >> > > Buy=IIf(x==1,Flip(Buy,Short),Buy);
> >> > >
> >> > > This sort of gives me a solution in that, while it now gives me
> >> all
> >> > > the trades i want, there may be an extra trade at 093000 which I
> >> > > then need to delete manually from my analysis.
> >> > >
> >> > > Any suggestions on improving on my solution?
> >> > >
> >> > > Thanks
> >> > >
> >> > > Sam
> >> > >
> >> > > --- In amibroker@xxxxxxxxxxxxxxx, "qweds_560" <qweds_560@xxxx>
> >> wrote:
> >> > > >
> >> > > > Thanks for this, this solves my previous problem of trades not
> >> > > > closing at a specified time if there is no data there! (I just
> >> > > > needed to >= rather than = the time).
> >> > > >
> >> > > > Unfortunately, I still cannot make the backtester reset at the
> >> > > > beginning of the day. I am now trying to use if...else
> >> statements.
> >> > > >
> >> > > > Any suggestions appreciated.
> >> > > >
> >> > > > Sam
> >> > > >
> >> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
> >> > > > <psytek@xxxx> wrote:
> >> > > > > Try to close out positions at the end of the day (untested)
> >> with
> >> > > > something
> >> > > > > like this:
> >> > > > >
> >> > > > > MarketClose= 155000; // set to suit your needs and TF used
> >> > > > > EndOfDayPeriod = Timenum() >= MarketClose;
> >> > > > >
> >> > > > > Sell = sell or EndOfDayPeriod ; // exit on last
> >> bar
> >> > > > > cover = cover or EndOfDayPeriod ;
> >> > > > >
> >> > > > > Buy = buy and not EndOfDayPeriod; // no entries on last
> >> bar
> >> > > > > Short = short and not EndOfDayPeriod ;
> >> > > > >
> >> > > > > herman
> >> > > > > -----Original Message-----
> >> > > > > From: qweds_560 [mailto:qweds_560@x...]
> >> > > > > Sent: Sunday, January 23, 2005 3:00 PM
> >> > > > > To: amibroker@xxxxxxxxxxxxxxx
> >> > > > > Subject: [amibroker] Resetting exRem at the start of the
> >> day
> >> > > > >
> >> > > > >
> >> > > > >
> >> > > > > Hello,
> >> > > > >
> >> > > > > I am backtesting on an intraday basis. I am using a system
> >> > > which
> >> > > > > alternates between long and short positions. All positions
> >> are
> >> > > > > closed out at the end of the day. I seemed to have coded
> >> this
> >> > > so
> >> > > > far
> >> > > > > using exRem to remove any excessive signals.
> >> > > > >
> >> > > > > At present, the backtester will continue alternating into
> >> the
> >> > > > next
> >> > > > > day by referring to the last trade made on the previous
> >> day.
> >> > > For
> >> > > > > example, if the last trade today was a short position
> >> (which
> >> > > > will be
> >> > > > > closed at the end of the day), the backtester will monitor
> >> for
> >> > > a
> >> > > > buy
> >> > > > > signal the next day.
> >> > > > >
> >> > > > > I need to reset it somehow so that the backtester monitors
> >> for
> >> > > > > either a buy OR a short signal at the start of the next day
> >> > > (at a
> >> > > > > specified time) without reference to the last trade of the
> >> > > > previous
> >> > > > > day.
> >> > > > >
> >> > > > > I would be grateful for any suggestions on how to do this.
> >> > > > >
> >> > > > > Many thanks
> >> > > > >
> >> > > > > Sam
> >> > > > >
> >> > > > >
> >> > > > >
> >> > > > >
> >> > > > >
> >> > > > > 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
> >> > > > >
> >> > > > > a.. To visit your group on the web, go to:
> >> > > > > http://groups.yahoo.com/group/amibroker/
> >> > > > >
> >> > > > > b.. To unsubscribe from this group, send an email to:
> >> > > > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> >> > > > >
> >> > > > > c.. Your use of Yahoo! Groups is subject to the Yahoo!
> >> Terms
> >> > > > of Service.
> >> > >
> >> > >
> >> > > 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
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> >
> >> >
> >> > --
> >> > Cheers
> >> > Graham
> >> > http://e-wire.net.au/~eb_kavan/
> >>
> >>
> >> 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
> >>
> >>
> >>
> >>
> >>
> >
> >
> > --
> > Cheers
> > Graham
> > http://e-wire.net.au/~eb_kavan/
> >
> >
> >
> > 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
> >
> >
> >
> >
> >
> >
> >
> >
>
>
>
> 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
>
>
>
>
>
--
Cheers
Graham
http://e-wire.net.au/~eb_kavan/
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