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You could always use the Metatrader3 API plugin for AB developed over at
http://groups.yahoo.com/group/ForexSystemBuilders/ to get a
comprehensive RT feed of 1 min data from any MT3 broker. You could do
your backtesting on any time and not have to worry about Amiquote
Martin
kevinoversby wrote:
> Hi Graham,
>
> Thanks for your reply.
>
> As forex is a 24 h market I would expect the daily close and next open
> to be recorded at the same time (e.g. 00:00 GMT) and therefore be the
> same. The question with the amiquote source is: is it accurate and if
> so the close and open times must be different - what times are they?
>
> Clearly a 7 pip trade is too small after commission however, here is a
> numerical example of the power of this edge (if real):
>
> A long only daily system, taking decisons on close, averaging 100
> trades per year at 60% win/loss and average gain/loss each 40 pips:
>
> Expectancy = ( 0.6 * 40 ) - ( 0.4 * 40 ) = 8 pips/trade (800 p.a.)
>
> Now, using the edge. Imagine we find out that the close is recorded
> at 23:00 GMT and open at 00:00 GMT. As it is a long system we want to
> buy low and sell high therefore make all buys at 00:00 and all sells
> at 23:00 so we add the 7 pip average edge to all trades irrespective
> of holding period. The expectancy is now:
>
> Expectancy = ( 0.6 * 47 ) - ( 0.4 * 33 ) = 15 pips/trade
>
> Therefore DOUBLING the system profit. Reverse the idea for shorts. I
> have a simple system you could plug into AA to illustrate with real
> numbers. Annual return can change from 30% pa to 100% p.a. per contract!
>
> So the part that still stumps me is finding the times the open and
> close data is recorded for the amiquote default forex source. Would
> Tomaz have this info?
>
> Kevin
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>> that would depend on whether you get filled at the correct time and if
>> the spread is in your favour, and the commission slippage you pay (can
>> be +/- 3 pips or whatever)
>>
>> --
>> 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 2/5/06, kevinoversby <kevinoversby@xxx> wrote:
>>> I found that typically in a given period, over 80% of daily bars open
>>> lower than previous close by an average of 7 pips. When testing high
>>> frequency daily systems, being in sync with this "edge" can turn a
>>> good system into a great one, and conversely a disaster if out of
> sync.
>>> The question is: is this a real effect that can be exploited? What
>>> times are the open and close of the daily bars recorded? Are they
>>> using bids or asks?
>>>
>>> If it is a real condition let's exploit it!
>>>
>>> Thanks
>>>
>>> Kevin
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>> 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
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
>
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