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Excellent again!
The way the help is written it sort of implies that its an
nBar type thing. Guess I really should take the plunge and start converting
scripts. Things will become self apparent then.
Cheers,
Nick
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 -----
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.
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 -----
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.
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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