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Hi Jeff - I understand, it is
not incomprehensible 8 - )
I guess you still need to decide on your exit
strategy, but for now I think this will do what you are looking for - see what
you think, feel free to edit as desired.
Steve
BuyCondsVol =
Ref( V, -1 ) > 5 * Ref(
MA( V, 50 ), -1 ) AND Ref( MA(
V,
50
), -1 ) >= 100000;
BuyCondsPrice =
Ref( C, -1 ) > Ref(
O,
-1 ) AND Ref(
C,
-1 ) > 1 AND Ref( C, -1 )
> Ref( C, -2 ) AND Ref( O, -1 )
> Ref( C, -2 );
Buy =
BuyCondsVol AND BuyCondsPrice;
// mark buy signal
EnterLong = Ref(
Buy, -1 );
// enter on day following buy
sig
EntryDate = ValueWhen(
EnterLong, DateNum()
);
EntryPrice = ValueWhen(
EnterLong, Open ); // entry price is
Open
MaxHigh =
HighestSince( EnterLong, High );
BarsToMaxHigh = BarsSince( EnterLong )
- HighestSinceBars( EnterLong,
High );
M inLow = LowestSince( EnterLong,
Low );
BarsTo MinLow = BarsSince( EnterLong )
- LowestSinceBars( EnterLong, Low
);
Filter = 1;
AddColumn ( Open, "Open" );
AddColumn ( High, "High" );
AddColumn ( Low, "Low" );
AddColumn ( Close, "Close" );
AddColumn ( Volume, "
Volume" );
AddColumn ( Buy, "Buy Sig" );
AddColumn ( EnterLong,
"Entry" );
AddColumn ( EntryDate,
"Entry Date",
1.0 );
AddColumn ( EntryPrice, "Entry Price" );
AddColumn ( BarsSince( EnterLong ), "BS Entry" );
AddColumn ( MaxHigh,
"Max H/Trade"
);
AddColumn ( BarsToMaxHigh, "Bars/Max H"
);
AddColumn ( MinLow,
"Min L/Trade" );
AddColumn ( BarsToMinLow,
"Bars/Min L" );
----- Original Message -----
Sent: Monday, April 10, 2006 1:15
AM
Subject: Re: [amibroker] On Scalar Values
and Arrays
Steve,
Thank you so much for going to all that trouble. Just as an aside, my
FILTER statement is my BUY statement.
When I use your code with one symbol it works exactly as you said.
However, I'm not sure how I can work it into what I'm trying to do. Ideally, I
would like to backtest a trading strategy that buys after a high volume gap
up. I'm not sure about much after that. Do I want to sell at a certain
percentage of gain? How close should stops be? In addition, I have a few other
metrics that I want to analyze to see if they have any correlation to the
maximum gain and maximum loss each high volume gap has. But those are really
beside the point. I really don't understand the backtester in AB, but I do
okay with MSAccess. So I had hoped to build a table of all the stocks that
have gapped up on over 5X average 50day volume. In order to build that table I
would need to know the highest and lowest price each stock attained and how
long it took to get there. In order to use the code you've written, I would
have to generate tables for every stock and then parse the data out.
When I use your code for all stocks, over all quotations, I only get the
high of the entry day. Correspondingly, all BarsSince numbers are 0. I was
hoping for something like:
Symbol, EntryDate, OpenonEntry, MaxHigh, BarsTilMaxHigh, MinLow,
BarsTilMinLow. A sample might look something like:
AETH, 3/30/2006, 3.57, 3.95, 5, 3.49, 0
I realize I'm probably not making much sense, and if you just wanted to
give up on me I wouldn't blame you. I'll keep plugging away.
Jeff
Steve Dugas <sjdugas@xxxxxxxxxxx>
wrote:
Hi - I played with the code and found a
mistake, the new code below should work for the simple example I provided. I
can't see your BUY statement and don't know how it relates to your FILTER
statement, so your own code may still have other problems I don't know
about. If you run this code in explorer as I did, set for current ticker,
n=100, it will display the last 100 bars of your arrays - this is a good way
to see when the value of your arrays is not what you expect and is a good
way to debug problems. You could also do it with charts by replacing
AddColumn statements with Plot statements. I have attached a picture showing
the results of my test. Good luck!
Steve
Buy = Cross(
Close, MA(
Close, 10 )
);
MaxHigh = HighestSince( Buy,
High );
BarsToMaxHigh = BarsSince( Buy ) -
HighestSinceBars( Buy,
High );
Filter = 1;
AddColumn( Buy, "Buy" );
AddColumn( High, "High" );
AddColumn( MaxHigh, "Max High" );
AddColumn( BarsSince( Buy ), "BS Buy" );
AddColumn( HighestSinceBars( Buy,
High ), "BS MaxHigh" );
AddColumn( BarsToMaxHigh, "Bars To Max High" );
----- Original Message -----
Sent: Sunday, April 09, 2006 4:19
PM
Subject: Re: [amibroker] On Scalar
Values and Arrays
Hi Steve,
Thank you for responding. Unfortunately, that very straightforward
and intuitive solution doesn't seem to work. It appears to be returning
the high of the day after the signal. That's probably a result of the way
I have "Buy" defined. My "Buy" is defined to tell me the day after the
signal day. Here's the code:
VolFilter=Ref(V,-1)>5*Ref(MA(V,50),-1)
AND Ref(MA(V,50),-1)>=100000;
PriceFilter=Ref(C,-1)>Ref(O,-1)
AND Ref(C,-1)>1
AND Ref(C,-1)>Ref(C,-2)
AND Ref(O,-1)>Ref(C,-2);
Filter=Volfilter AND PriceFilter;// AND FundFilter;
MaxHigh=HighestSince(Filter,High);
PeriodstoMaxHigh=BarsSince(Filter)-BarsSince(MaxHigh);
I think that, because HighestSince() is an array, I would have to
reference some part of the array; thus the use of
LastValue().
Steve Dugas <sjdugas@xxxxxxxxxxx>
wrote:
Hi
- Wouldn't something like this work?
MaxHigh = HighestSince( Buy,
High );
BarsToMaxHigh = BarsSince( Buy ) - BarsSince( MaxHigh
);
Steve
----- Original Message -----
From:
"fatboycato" <fatboycato@xxxxxxxxx>
To:
<amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, April 09, 2006 12:50
PM
Subject: [amibroker] On Scalar Values and Arrays
>
Well, I'm about to put on my clown suit, get my AK-47, and climb the
> bell tower. It seems to me there is a legitimate reason to
reference
> a particular value in an array in explorations. I'll
try to give a
> specific example to exactly what I'm searching
for, but I think this
> array-to-scalar problem is going to
plague me everywhere.
>
> Trading System:
> Buy on
the open the day after a high volume gap up.
> Analysis
questions:
> 1) What is the maximum high the stock attained after
the signal day,
> and how many days did it take to get to the
maximum high?
> 2) What is the minimum low the stock attained
after the signal day,
> and how many days did it take to get to
the minimum low?
>
> I'm having no problem identifying the
signal day, it's finding the
> data to answer the questions where
I fail. I can get the answer to
> question number one
with:
> MaxHigh=LastValue(HighestSince(Filter,H,1),1);
>
PeriodstoMaxHigh=(BarCount-LastValue(HighestSinceBars
>
(Filter,H,1),1))-BarIndex()-1;
>
> But this makes the
assumption that a stock will always go up
> because "LastValue()"
only looks at the last occurence when the
> criteria were
satisfied. An assumption I could probably live with,
> but there
should be a better way of doing this.
>
> Regardless, this
solution doesn't work for finding the answer to
> Analysis
question #2 because, again, LastValue() only looks at the
> last
time the criteria were met. Therefore, the MinLow is going to
>
be the lowest value the stock attained after the last signal
day.
>
> I thought I could put in a loop to iterate through
each successive
> day after each signal day and check if it's
making higher highs or
> lower lows - no luck. Ref() is an array,
SelectedValue() is the last
> occurence, ValueWhen() is an array,
can't use High[] because I won't
> know what goes between the
brackets because, even though I can get
> AA to return the
correct barindex, BarIndex() is an array.
>
> I'm sure
there's something easy I'm missing because closing a
> position
based on yesterday's levels is a fairly common exit
> strategy
(isn't it?). Wouldn't AB be able to compare today's prices
>
against yesterday's prices and decide if they're higher or
lower?
>
> Thank you in advance for any help you can
give.
>
> Jeff
>
>
>
>
>
>
> 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
>
>
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