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Haven't followed the posts but I presume you want to compare the
1200+ BBs against some trigger point. You could perform an analysis to determine
the chance of a price, given its value 5 or more minutes before the end of day,
hitting your target price and remove those unlikely to hit from you ticker
list. This might eliminate 30-50% or more of the candidates. Next you might
check how many are already past your trigger price, and perform a similar
analysis, this would further reduce you list. As you get closer to the end of
the day you would refine you criteria so that during the last few minutes you
may only have a few stocks left to scan. When doing this you should use max zoom
to minimize array calculation time. I assume you work through an indicator
formula. I have no experience using the AA for this kind of thing however the
same approach should work - if your data source allows you to access 1200
tickers in RT...
You
may also be able to reduce calculation time by splitting the BB into a separate
upper and lower formula as part of the zeroing-in EOD procedure. Looks like you
have to use the SetForeign() which is very slow.... you may want to look for and
consider other alternatives.
herman
I probably don't understand your
question/issues, but wouldn't the Amibroker Professional Version with IB
real-time data serve your purposes? I've not used it this way but I
just launched AB Pro and TWS, clicked on time frame DAY and pulled
Bollinger bands around the price
curve. The price curve is pretty coarse since I don't have all that
many bars of historical data in the database.
Joe
----- Original Message -----
Sent: Tuesday, May 02, 2006 1:42
PM
Subject: [amibroker] Re: Automatic
trading based on closing price
Nope, doesn't work if you buy the open. What happens is a
stock will
close below the lower Bollinger and then the next morning it
gaps up.
If you buy the open you miss most/all of the move. System works
over
80% (based on backtesting). The system also sells on the
close.
There are other details but that is the
gist.
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