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Hello Tomasz (and others),
well, looks like I was able to trace back the problem now. It seems that
AB doesn't update the parameters set with "Param"-function if I change
their default value in the code. Even though after saving the file the
indicator window is refreshed and shows correct values with new
parameters, the Guru (and Backtester) still use the old values. So
"Automatic Analysis -> Parameters -> Reset all" works fine after
changing parameters. :)
Regards,
Andreas
Andreas Pfrengle wrote:
> Hello Tomasz,
>
> thanks for your answer, I've put the "SetBarsRequired" line on top of my
> formula; but unfortunately it didn't change anything :-/ Even if this
> were the reason, I couldn't understand why the two shown values of the
> same array are different (represented with "Plot" and "WriteVal"
> respectively). That's what makes me a bit confused :-?
>
> Thanks for your help,
> Andreas Pfrengle
>
>
> Tomasz Janeczko wrote:
> > Hello,
> >
> > It is good to read User's Guide sometimes.
> >
> > You are using looping and the answer to your problem is
> > SetBarsRequired(100000, 100000 );
> > See
> > http://www.amibroker.com/f?setbarsrequired
> >
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "lacour_defanel" <pfrengle@xxxxxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Saturday, July 30, 2005 6:47 PM
> > Subject: [amibroker] Problem: AB seems to have two! different SellPrice
> > values (Bug?)
> >
> >
> > > Hello,
> > >
> > > I have experienced a strange behavior of my trading system. If I plot
> > > the SellPrice-array in an indicator-window and display the SAME
> > > arrayvalue in the Guru-Commentary, the values are sometimes different.
> > > It seems that the values the indicator shows are correct (I calculated
> > > it manually), but the system trades at the values of the Guru. This
> > > inconsistency seems like a bug to me.
> > > Last week I could just copy the code and save it in a new file and it
> > > worked again, both values were the same. Today the problem occured
> > > again, but doesn't react that friendly. :-(
> > > I hope someone can help me with this problem, cause it'll soon drive
> > > me mad if it won't work reliably.
> > >
> > > I attach two versions of the system, the first one seems to work (a
> > > simplified version and rebuild from scratch). The second doesn't show
> > > consistent Sell oder CoverPrice values. It is reduced from my actual
> > > system to the essential.
> > >
> > > Regards,
> > > Andreas Pfrengle
> > >
> > > ---------------------------------------
> > >
> > > Simplified System:
> > > //Initialize
> > > SetTradeDelays(0,0,0,0);
> > > Buy = 0;
> > > BuyPrice = O;
> > > Sell = 0;
> > >
> > > inmarket = 0;
> > > range = 14;
> > > StopPriceArray = 0;
> > > StopPriceNew = 0;
> > > AvgTR = ATR(range);
> > >
> > > //Trading Loop
> > > for (i = range; i < BarCount; i++)
> > > {
> > > if (inmarket == 0) Buy[i] = 1;
> > > if (Buy[i] == 1)
> > > {
> > > inmarket = 1;
> > > StopPrice = C[i] - 2 * AvgTR[i];
> > > }
> > > StopPriceNew[i] = C[i-1] - 2 * AvgTR[i-1];
> > > if (Buy[i] != 1) StopPrice = Max(StopPrice, StopPriceNew[i]);
> > > StopPriceArray[i] = StopPrice;
> > > SellPrice[i] = Min(StopPrice, O[i]);
> > > if (inmarket == 1) Sell[i] = (L[i] <= StopPrice);
> > > if (Sell[i] == 1) inmarket = 0;
> > >
> > > }
> > > PositionSize = -10;
> > >
> > > //Debug
> > > "AvgTR: " + WriteVal(AvgTR, 1.3);
> > > " ";
> > > "StopPrice: " + WriteVal(StopPriceArray, 1.2);
> > > "SellPrice: " + WriteVal(SellPrice, 1.2);
> > >
> > > Plot(StopPriceArray, "Stop", colorBlack, styleDots);
> > > Plot(SellPrice, "SellPrice", colorGrey50, styleDots);
> > > Plot(AvgTR, "AvgTR", colorGold, styleDots|styleOwnScale);
> > > Plot(Buy, "Buy", colorTeal, styleOwnScale);
> > > Plot(Sell, "Sell", colorDarkTeal, styleOwnScale|st
> > > yleDots|styleNoLine);
> > >
> > >
> > > -------------------------------------------
> > >
> > > System with odd behavior:
> > >
> > > //Parameters
> > > nATR = Param("Stop ATR amount", 2, 0.5, 3, 0.5);
> > > k0 = Param("Adverse Trailing for Stop", 20, 20, 60, 5);
> > > RSLtrigger = Param("Min RSL-Value", 1, 1, 1.251, 0.05);
> > > Slip = Param("Slippage in Percent per Trade", 0, 0, 2, 0.1);
> > > range = Param("Time Range", 14, 7, 21, 1);
> > > EMAHHVsc = 0.2; //Smoothing Constant for EMA HHV Since Buy
> > > EMALLVsc = 0.2; //Smoothing Constant for EMA LLV Since Short
> > >
> > >
> > > //Initialize
> > > SetTradeDelays(1,0,1,0);
> > > Buy = 0;
> > > BuyPrice = O;
> > > Sell = 0;
> > > Short = 0;
> > > CoverPrice = O;
> > > Cover = 0;
> > > EMAROC = EMA(ROC(C, 1)/100, 3);
> > > EMAHHV[0] = C[0];
> > > EMALLV[0] = C[0];
> > > inmarket = 0;
> > > inmarketshort = 0;
> > > StopPrice = 0;
> > > StopPriceNew = 0;
> > > StopPriceArray = 0;
> > > StopPriceShort = 0;
> > > StopPriceShortNew = 0;
> > > StopPriceShortArray = 0;
> > > AvgTR = ATR(range);
> > >
> > > //Trading Loop
> > > for (i = range; i < BarCount; i++)
> > > {
> > > // Long-Section
> > > Buyrule[i] = 1;
> > > if (inmarket == 0 AND inmarketshort == 0) Buy[i] = Buyrule[i];
> > > if (Buy[i] == 1)
> > > {
> > > inmarket = 1;
> > > StopPrice = C[i] - nATR * AvgTR[i];
> > > }
> > > if (Buy[i] == 1) EMAHHV[i] = C[i];
> > > else EMAHHV[i] = (1-EMAHHVsc) * EMAHHV[i-1] + EMAHHVsc * H[i];
> > > StopPriceNew[i] = EMAHHV[i-1] - (k0*EMAROC[i-1] + nATR) * AvgTR[i-1];
> > > if (Buy[i] != 1) StopPrice = Max(StopPrice, StopPriceNew[i]);
> > > //Trailing Stop
> > > StopPriceArray[i] = StopPrice;
> > > SellPrice[i] = (1 - Slip/100) * Min(StopPrice, O[i]); //Sell at Stop
> > > (or Open if lower) minus Slippage
> > > Sellrule[i] = L[i] <= StopPrice;
> > > if (inmarket == 1) Sell[i] = Sellrule[i];
> > > if (Sell[i] == 1 AND Buy[i] == 1) Sell[i] = 0; //Avoid Sell on same
> > > day as Buy because of TradeDelay (1 day)
> > > if (Sell[i] == 1) inmarket = 0;
> > >
> > > // Short-Section
> > > Shortrule[i] = 1;
> > > if (inmarket == 0 AND inmarketshort == 0) Short[i] = Shortrule[i];
> > > if (Short[i] == 1)
> > > {
> > > inmarketshort = 1;
> > > StopPriceShort = C[i] + nATR * AvgTR[i];
> > > }
> > > if (Short[i] == 1) EMALLV[i] = C[i];
> > > else EMALLV[i] = (1-EMALLVsc) * EMALLV[i-1] + EMALLVsc * L[i];
> > > StopPriceShortNew[i] = EMALLV[i-1] + (-k0*EMAROC[i-1] + nATR) *
> > > AvgTR[i-1];
> > > if (Short[i] != 1) StopPriceShort = Min(StopPriceShort,
> > > StopPriceShortNew[i]); //Trailing Stop
> > > StopPriceShortArray[i] = StopPriceShort;
> > > CoverPrice[i] = (1 + Slip/100) * Max(StopPriceShort, O[i]); //Coverat
> > > Stop (or Open if higher) minus Slippage
> > > Coverrule[i] = H[i] >= StopPriceShort;
> > > if (inmarketshort == 1) Cover[i] = Coverrule[i];
> > > if (Cover[i] == 1 AND Short[i] == 1) Cover[i] = 0; //Avoid Cover on
> > > same day as Short because of TradeDelay (1 day)
> > > if (Cover[i] == 1) inmarketshort = 0;
> > >
> > > }
> > >
> > > WriteVal(EMAHHV, 1.3) + " : EMAHHV";
> > > WriteVal(AvgTR, 1.3) + " : AvgTR";
> > > " ";
> > > "Open: " + WriteVal(O, 1.3);
> > > "StopPrice: " + WriteVal(StopPriceArray, 1.2);
> > > "SellPrice: " + WriteVal(SellPrice, 1.2);
> > > " ";
> > > "StopShort: " + WriteVal(StopPriceShortArray, 1.2);
> > > "CoverPrice: " + WriteVal(CoverPrice, 1.2);
> > >
> > >
> > > Plot(SellPrice, "SellPrice", colorBlack, styleDots);
> > > Plot(CoverPrice, "CoverPrice", colorGrey50, styleDots);
> > > Plot(Buy, "Buy", colorTeal, styleOwnScale);
> > > Plot(Sell, "Sell", colorDarkTeal, styleOwnScale|st
> > > yleDots|styleNoLine);
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