The help on cross does not clarify:
Gives a "+1" or true on the day that ARRAY1
crosses above ARRAY2.
Otherwise the result is "0".
What happens when the 2 signals cross each
other more then once?
(wouldn’t the result be an array with 0,1,0,0,0,1,… ?)
Joseph Biran
____________________________________________
From: Graham
[mailto:kavemanperth@xxxxxxxxx]
Sent: Monday, January 31, 2005
1:37 PM
To: amibroker@xxxxxxxxxxxxxxx
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@xxxx]
> >
> > > 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