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Re: [amibroker] Backtesting and TimeFrameExpand(xxx,inWeekly, expandFirst);
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Correct.
Best regards, Tomasz Janeczko amibroker.com
----- Original Message -----
Sent: Wednesday, April 19, 2006 11:56
PM
Subject: Re: [amibroker] Backtesting and
TimeFrameExpand(xxx,inWeekly, expandFirst);
Tomasz,
How does Time frame system work with RT
data?
My assumtion:
TimeFrameSet( in5Minute ); // used with 1 min data
I assume that you create groups of 5 1 min bars
starting with bar zero. So in real time the last grouping may have
from 1 to 5 bars.
Is that correct?
Thanks
Ara
----- Original Message -----
Sent: Wednesday, April 19, 2006 5:19
AM
Subject: Re: [amibroker] Backtesting
and TimeFrameExpand(xxx,inWeekly, expandFirst);
Hello,
along with TimeFrameExpand, quote:
TimeFrameExpand( array, interval, mode =
expandLast ) - expands time-compressed array from 'interval' time frame to
base time frame ('interval' must match the value used in TimeFrameCompress
or TimeFrameSet) Available modes: expandLast - the compressed value is
expanded starting from last bar within given period (so for example weekly
close/high/low is available on Friday's bar) expandFirst - the compressed
value is expanded starting from first bar within given period (so for
example weekly open is available from Monday's bar) expandPoint - the
resulting array gets not empty values only for the last bar within given
period (all remaining bars are Null (empty)).
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.
Best regards, Tomasz Janeczko amibroker.com
----- Original Message -----
Sent: Wednesday, April 19, 2006 9:04
AM
Subject: [amibroker] Backtesting and
TimeFrameExpand(xxx,inWeekly, expandFirst);
Hi all,
First, thanks for AB.. Its really good
appliacations and I'm spending a lot of time with it. Anyway, looks
like I found some backtesting bug..
I was really suprised with
results from my new system, but later I found that backtesting is
cheating probably.. Im using weekly timeframe to compute MACD and then
expanding it to daily and I wanted use expandFirst.. So I'm getting
signals after monday.. I know, that if week will continue in wrong
direction,then signal disappear.. Its ok, but when I use backtesting,
it probably use values for whole next week and use signal from monday
(ie first day of this week).. So backtesting works with whole week,but
buying at monday and this is why I getting so good results (85%
wiinners, 250% annual return¨)
Could somebody confirm this and
help me to get real results ? Or its bug (feature) in the AB
?:)
thank you very much..
Roarke
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