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Anthony,
Thanks for this. I didn't use it but I think I have come up with the
a solution:
W=Day()!=Ref(Day(),-1);
Y=IIf(W,Day()!=Ref(Day(),-1),Short);
Z=IIf(W,Day()!=Ref(Day(),-1),Buy);
Buy=ExRem(Buy, Y);
Short=ExRem(Short,Z);
cheers
Sam
--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx>
wrote:
> Sam,
>
> See if this helps:
>
> //Bars since Entry
>
> Buy =C > MA(C,28);//Cross( MACD(), Signal());
>
> Buy=ExRem(Buy,Buy==0);
>
> Short=C < MA(C,28);//Cross(Signal(),MACD());
>
> Short=ExRem(Short,Short==0);
>
> Buy=ExRem(Buy,Short);
>
> Short=ExRem(Short,Buy);
>
> BarsSinceentry =0;
>
> poslong=0;
>
> posshort=0;
>
> for( i = 0; i < BarCount; i++ )
>
> {
>
> if( Buy[i])
>
> {
>
> poslong=1;posshort=0;
>
> }
>
> if(Short[i])
>
> {
>
> poslong=0;posshort=1;
>
> }
>
> //if(poslong==1)
>
> {
>
> if(Buy[i])
>
> BarsSinceentry[i]=0;//BarsSinceentry[i-1]+1;
>
> else
>
> {
>
> if(poslong==1)
>
> BarsSinceentry[i]=BarsSinceentry[i-1]+1;
>
> else
>
> {
>
> //if(posshort==1)
>
> {
>
> if(Short[i])
>
> BarsSinceentry[i]=0;//BarsSinceentry[i-1]+1;
>
> else
>
> {
>
> if(posshort==1)
>
> BarsSinceentry[i]=BarsSinceentry[i-1]+1;
>
> }
>
> }
>
> }
>
> }
>
> }
>
> }
>
> Days=BarsSinceentry;
>
>
>
>
>
> Plot(C,"",colorBlack,styleCandle);
>
> PlotShapes(Buy*shapeUpArrow,colorBrightGreen);
>
> PlotShapes(Short*shapeHollowDownArrow,colorRed);
>
> Title=Name()+ " BarsSinceEntry [ "+WriteVal(Days,1)+ "]";
>
> ----- Original Message -----
> From: qweds_560
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, January 31, 2005 11:17 AM
> Subject: [amibroker] Re: Resetting exRem at the start of the day
>
>
>
> 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
>
>
>
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>
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>
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>
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>
>
>
>
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>
>
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