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