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Buzz, I'm also interested in the detailed operation of TimeFrameSet
(see http://finance.groups.yahoo.com/group/amibroker/message/89617),
as I would like to experiment with it to see if it can improve my
systems. I think we especially need to know how it handles "holes"
like trading holidays. And as you said, I would love to see easy
changes to allow any end of week day and have it behave as Fri close
for weekly does now. Perhaps special numbers like he has for Fri now
("inWeekly constant is now 432001", perhaps 002, 003, etc.?). I hope
Tomasz has time to respond.
--- In amibroker@xxxxxxxxxxxxxxx, "Buzz M. Ross" <buzzmr@xxxx> wrote:
>
> Tomasz (or anyone else who might know),
>
> I've read and think I understood the 'manual' regarding usage of
> TimeFrameSet(conversionconstant), but I could not find anything
that
> I need to undertand in detail regarding TimeFrameSet processing.
> Here's the problem:
>
> 1) In using the constant '5*inDaily', HOW does AB compress daily
> bars into 5-day bars relative to the STARTING data date OR ENDING
> data date when the 'grouping' occurs? Assuming that earlest data
> date is, say 02/01/00 (eg, Close[0]), and most-recent data date is
> 11/09/05 (eg, Close[barcount-1]), does AB take the FIRST data date
> and find the 'close' at the fifth data day (ie, Close[4]) and use
> this value for tne new array CloseX[0], and then find the close of
> every subsequent 5.th daily bar to create the close of each
> successive 5-day compressed CloseX[j]? OR,..does AB start with
the
> MOST-RECENT data day, say Close[barcount-1], get ITS close, and
then
> work backwards every 5.th daily bar to form the new array? (I DO
> understand about using the 'inWeekly' constant, that always
> synchronizes the compression to Monday's thru Friday, and THAT is
NOT
> what I'm getting at here.)
>
> 2) In forming the final compressed bar {either at the 'end' or
> the 'beginning' as per 1) above}, if there is LESS than a full 5
> periods (in this case UNcompressed DAILY bars), does AB simply use
> whatever number of bars are remaining to form the compressed bar
> (say, e.g. only 3 bars remaining)?
>
> 3) In using TimeFrameCompress(n), is there ANY way to set the DAY
OF
> WEEK (or even a specific data date) for the compression to begin
(or
> end) its 'window' (ie, n = 5*inDaily in this case) for 'grouping'
> uncompressed data bars? I would like to be able to CONTROL the
> synchronization of the compression to ANY selected day of the
week,
> say Tuesday's, or Wednesday's, or whatever day I want to use,
rather
> than just Monday's.
>
> I suppose I could use a VB-script loop to create my own
compressions,
> but I'd prefer to use the built-in AFL functions if possible.
>
> Finally,
> 4) Does 'TimeFrameRestore' uncompress the array cells in exactly
the
> reverse BAR order of the TimeFrameSet compression process,
including
> keeping track of 'fractional' final bar compression, so that if
only
> 3 uncompressed bars were used for the final compressed bar, then
THAT
> PARTICULAR compressed bar will expand into only 3 bars of the
> original time frame?
>
> Thank you for your patience with these questions of detail, but
this
> is an extremely important aspect of AB that I need to know to do
> CORRECT backtesting of mixed time-frame systems.
>
> Thank you again....
>
> Buzz
>
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