|
PureBytes Links
Trading Reference Links
|
Evo, in my opinion if you were backtesting in weekly only, expandfirst
would be no problem. Expandfirst starts with Monday's data and changes
as each day passes, so by Friday that weekly value represents the week
just gone. Unfortunately in backtesting you are only seeing the end
result of the weekly calculation. OK if you have a condition in your
trade signals to only use Fridays results. Otherwise you are looking
into the future during the backtest for each day except Friday.
So generaly you must use expandlast, consider like doing a scan on Eod
data, you do not use data colected at 2pm as substitute for data at
4pm close.
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On 1/7/06, Evo1 <Evo1@xxxxxxxxxxx> wrote:
> Hi Graham,
>
> Many thanks for your valuable help, I really appreciate it !
> So the right code would be :
>
> TimeFrameSet( inWeekly );
>
> myavg = (H+L+C)/3;
> BwiH = ( (BBandTop( myavg, 20 ,2 )- BBandBot( myavg, 20 , 2 )) / MA( myavg,
> 20 ) )*100;
> LLVBwiH = LLV(BwiH, 120) ;
> NivH = BwiH < Ref(LLVBwiH,-1) ;
>
> TimeFrameRestore();
>
> Essai = TimeFrameExpand( NivH , inWeekly,expandFirst ) ;
>
>
> One question Graham about the use of the Expandfirst.
> Excerpt from the AB Help file : "Caveat : expandFirst used on price
> different than open may look into the future. For example if you create
> weekly HIGH series, expanding it to daily interval using expandFirst will
> enable you to know on MONDAY what was the high for entire week."
>
> Do you think I can accurately backtest a trading system with the code above
> ?
>
>
> Tia
> Regards,
> Evo1
>
>
>
>
>
> Graham a écrit :
> I get the same values for daily-weekly timeframe and straight weekly
The
> code is expandlast so the relevant values for the week are the
Friday at the
> end of that week, and the dots continue until the
following Thursday when
> this weeks values are changed.
If you make it expanfirst for the chart you
> should get things matching
as the valu for that whole week are displayed
> from the beginning of
that week
--
Cheers
Graham
AB-Write >< Professional
> AFL Writing Service
Yes, I write AFL code to your
> requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On
> 1/7/06, Evo1 <Evo1@xxxxxxxxxxx> wrote:
> Hi Graham,
I replace AVG with (H+L+C)/3 but the results are still
> wrong...
Do you have the same issue ?
Tia
Regards,
Evo1
Graham a écrit
> :
Evo I have run a test myself and agree that the actual weekly and
> timeframe inweekly are giving different results, not just more weeks
showing
> crossed but totally different values of the indicator for the
same period
I
> did a test and found that the value of Avg is not correct for your
use.
> replace it with calculated value and the dots line up, at least
as far as
> using expandlast allows
myavg = (H+L+C)/3;
Va2 =
> ((BBandTop(myAvg,20,2)-BBandBot(myAvg,20,2))/MA(myAvg,20))*100;
I
> suggest you advise AAB support of this discrepancy in calculation of
> Avg
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I
> write AFL code to your
> requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On
> 1/6/06, Evo1 <Evo1@xxxxxxxxxxx> wrote:
> Hi Steve,
>
1) I want to display on a daily chart the lowest level of the
> weekly
bandwidth (over 120 periods). On the weekly chart, it corresponds to
> the
green candle (see screenshot below)
Its code is :
BwiH = ( (BBandTop(
> Avg, 20 ,2 )- BBandBot( Avg, 20 , 2 )) / MA( Avg, 20 )
)*100 ;
LLVBwiH =
> Ref( LLV( BwiH, 120) ,-1 ) ;
Lowestlevel = BwiH < LLVBwiH ;
2) In order to
> check the sync on the daily chart, I use the following code :
TimeFrameSet(
> inWeekly );
BwiH = ( (BBandTop( Avg, 20 ,2 )- BBandBot( Avg, 20 , 2 )) / MA(
> Avg, 20 )
)*100;
LLVBwiH = Ref(LLV(BwiH, 120),-1) ;
NivH = BwiH <
> LLVBwiH;
TimeFrameRestore();
NivH = TimeFrameExpand( NivH , inWeekly );
In
> the screenshot, you can clearly see that the result is false : the
> green
arrows (daily chart) are not in sync with the green candle (weekly
> chart).
You can check it by yourself : in my example, I used Tektronix,
> ticker TEK,
market SP 500.
Thanks for your valuable
> help
Regards,
Evo1
Steve Dugas a écrit :
Sorry Evo, guess I
> misunderstood...
Looks like your trouble may be use of Ref() function? I
> think it will shift
the array by one bar in both timeframes, removing a
> week's worth of data in
one case but only a day's worth in the other,
> causing loss of sync. You
could try using Ref( ...,-5 ), but then there are
> the 4-day weeks... Or
you could try expanding the weekly bars before
> operating on them.... What
exactly are you looking to do?
Steve
Please
> note that this group is for discussion between users only.
To get support
> from AmiBroker please send an e-mail directly to
SUPPORT {at}
> amibroker.com
For other support material please check
> also:
http://www.amibroker.com/support.html
________________________________
YAHOO!
> GROUPS LINKS
Visit your group "amibroker" on the web.
To unsubscribe
> from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo!
> Groups is subject to the Yahoo! Terms of Service.
To unsubscribe from this
> group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo!
> Groups is subject to the Yahoo! Terms of Service.
Your use of Yahoo! Groups
> is subject to the Yahoo! Terms of
> Service.
________________________________
Please note
> that this group is for discussion between users only.
To get support from
> AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For
> other support material please check
> also:
http://www.amibroker.com/support.html
Yahoo! Groups
> Links
>
>
Please note that this group is for discussion between users only.
To get
> support from AmiBroker please send an e-mail directly to
SUPPORT {at}
> amibroker.com
For other support material please check
> also:
http://www.amibroker.com/support.html
SPONSORED
> LINKS
Investment management software Real estate investment software
> Investment property software
Software support Real estate investment
> analysis software Investment
> software
________________________________
> YAHOO! GROUPS LINKS
> Visit your group "amibroker" on the web.
To unsubscribe from this group,
> send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
To
> unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo!
> Groups is subject to the Yahoo! Terms of Service.
Your use of Yahoo! Groups
> is subject to the Yahoo! Terms of
> Service.
________________________________
>
>
Please note that this group is for discussion between users only.
To get
> support from AmiBroker please send an e-mail directly to
SUPPORT {at}
> amibroker.com
For other support material please check
> also:
http://www.amibroker.com/support.html
Yahoo!
> Groups Links
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> http://docs.yahoo.com/info/terms/
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
>
>
> ________________________________
> YAHOO! GROUPS LINKS
>
> Visit your group "amibroker" on the web.
>
> To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
> To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
> ________________________________
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|