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Re: [amibroker] Backtesting and TimeFrameExpand(xxx,inWeekly, expandFirst);

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Hello,
 
It is so already.
 
Weekly bars are ALWAYS Monday-Friday. If there is no Friday then it ends of last available data within given week (so in case of Easter
it would be Thursday).
Monthly bars are ALWAYS calendar months (i.e. start with 1st of given month and end on the last day of given month (28/30/31))

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Nick Ali
Sent: Friday, April 21, 2006 8:49 AM
Subject: RE: [amibroker] Backtesting and TimeFrameExpand(xxx,inWeekly, expandFirst);

Excellent!
 
Can daily bars be compressed to calendar months? (Rather than NN number days). What  happens compressing weeks to days if there is a 4 day week (Easter for example)?
 
Cheers,
Nick.
 
P.S. still delaying my big plunge into AFL.... guess there is no rush.

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Tomasz Janeczko
Sent: 21 April 2006 03:18
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Backtesting and TimeFrameExpand(xxx,inWeekly, expandFirst);

That is controllable using Tools->Preferences->Intraday
"Align minute bars to regular market hours".
If checked then bars will start from RTH session start,
if unchecked then bars will start counting from 00:00

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Nick Ali
Sent: Thursday, April 20, 2006 12:21 PM
Subject: RE: [amibroker] Backtesting and TimeFrameExpand(xxx,inWeekly, expandFirst);

Is there anyway to ensure that the compressed array is aligned with a particular 'time boundary'. For example you would probably want inHourly starting with the beginning of an hour (e.g. 9:00am) but if bar zero is say 9:30am this would not be the case? Another potential area for unwanted results would be compressing say a daily to weekly  (or monthly) and it getting out of wack over a public holiday (4 day week)?
 
From the documentation it looks like compression is simply of the 'n bar' type rather than taking time into consideration?
 
Any idea how to deal with these sorts of scenario? I guess it may not be a problem depending how the arrays are built by AB.  I'm planning quite a large multi time frame project and would rather have a plan for this sort of thing before I start coding.
 
 
Many Thanks
Nick.

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Tomasz Janeczko
Sent: 19 April 2006 23:22
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Backtesting and TimeFrameExpand(xxx,inWeekly, expandFirst);

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,
 
Please read carefully what is written in the User's Guide http://www.amibroker.com/guide/h_timeframe.html
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 -----
From: roarke555
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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