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--- In amibroker@xxxxxxxxxxxxxxx, Terry <MagicTH@xxxx> wrote:
>
You cannot do what you want at all with EOD data. All we know is the
high and low. There is not a timestamp on the high and the low data
so we have no idea which came first. This is not an Amibroker
limitation, it's a data limitation
____________________________________________________________________
Yes Terry, I'm working with daily data (when you test a portfolio of
40 shares for a period of 15 years, it's almost a costraint).
So, there is not the time stamp of the daily high and the low. Of
course.
But, let me do an example:
I'm using a volatility breakout system and I'm long.
Sell Stop for tomorrow = 10,5;
Buy stop for tomorrow (in case sell is triggered first) = 11,5.
Tomorrow data: Open 10,6, Low 10,4, High 12, Close 11,9.
At the end of this day, amibroker is short, having sold at 10,5 stop.
So, even without willing, AMB is supposing that in that day, High
comes first and Low comes after (but just because of my previous
position).
And frankly, this is unlikely, given that we open near the low and
close near the high.
What I'd like to say is (I hope to explain clearly, english is not
my language):
if you have only daily data (like most of us) in those "wide range"
days you have always to suppose the order of the High and the low,
either you want it or not.
And in my opinion, it's better to make a supposition based on the
open- close relationship within the trading range.
(if you don't feel the same way, I can survive :) I'm writing with
the sole purpose of improving a fantastic piece of software!)
For Bob Jagow:
1) Yes, this is the supposition built in Tradestation;
2) No, this has nothing to do with the "bouncing tick" problem. It's
a completely different matter; please leave it outside the
discussion.
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