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Hi Tomasz,
I don't know what to say. It doesn't work.
Your assumption 1 is correct, I believe: see the
IntradaySettings.png.
Your assumption 2 is *absolutely* correct. In fact, I do not exit
same day, anyway (unless I override, which I rarely do). Here is my
exit:
ApplyStop( stopTypeNBar, stopModeBars, delay, True, False );
I have had this code a long time, and RT results and trading results
are never off by even one single yen -- other than fast-market trade
entry miss or something like that. But it is accurate, realistic,
and works -- the code I mean. But I cannot, using my eSignal
one-minute database, isolate AM and PM entries. I have tried, on my
own, to do this FOREVER, and I cannot do it.
All I do is two things (other than what I would do with my master EOD
database):
1) Change periodicity to 1 minute (see file)
2) Append 'AND Timenum() <= 120000;' to the end of the Buy statement.
Then I backtest.
But I generally get *no* trades as a result when I backtest after
doing this. For example, using either last n days = 2, or using From
2/7/2007 To 2/8/2007, I get no trades. That's wrong. There were
four signals, three yesterday and one today. One of the trades on
2/7 (yesterday) was at about 9:30 AM. I didn't dream it.
Looking back, say, 100 bars, where I would have dozens and dozens of
trades, I get maybe 4 to show up. That's not realistic. It's flat
out way wrong. I know from years of experience most of my entries
come in the AM session. Off hand, I'd say it's 2-1 or higher.
Naturally, now that I am accumulating a longer and longer intraday
database, I'd like to isolate these instances and test them.
I cannot.
Using the RT database in daily mode (with periodicity set at daily),
there is no problem backtesting. But of course I'm *not* able to
isolate signals by using Timenum() that way. Not that I can isolate
them in any case, mind you.
This is, to say the least, excruciatingly frustrating for me. I
don't believe I am completely stupid, obviously, and I cannot see why
this (apparently) simple little thing will not work for me.
This is the *reason* I bought the RT version of AB years ago, and why
I started subscribing to eSignal immediately when it became available
in Japan. And on top of that, I knew the first few years of
subscription would only serve to build up a database, and that I
could not do realistic intraday testing until I had sufficient
instances and data to draw reasonably valid conclusions from.
I want to throw up now. ^_^
Yuki
Thursday, February 8, 2007, 4:45:56 PM, you wrote:
TJ> Yuki,
TJ> You code is correct assuming that
TJ> 1. You don't use time shift (File->Database Settings->Intraday Settings)
TJ> 2. You mean that your ENTRY is limited to AM session
TJ> (the code cares only about Buy signal, it does not limit you from
TJ> exiting later in the PM session, you would need to write
TJ> condition for EXIT to close positions before 12 PM.
TJ> Best regards,
TJ> Tomasz Janeczko
TJ> amibroker.com
TJ> ----- Original Message -----
TJ> From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
TJ> To: <amibroker@xxxxxxxxxxxxxxx>
TJ> Sent: Thursday, February 08, 2007 5:13 AM
TJ> Subject: [amibroker] How stupid can I be???
>> This program really makes me feel like an idiot sometimes. But this
>> idiot mops up tens of millions of yen annually from the local equity
>> market, so she can't be *that* stupid. Right?
>>
>> Nonetheless:
>>
>> I am trying to add what -- I (probably stupidly) think -- should be a
>> simple qualifier to existing, known-good code.
>>
>> Simply, we have two sessions in Tokyo, AM & PM. Since *nothing* ever
>> trades at exactly 12 PM (market is closed), I used that for the
>> divider.
>>
>> Buy = (all my secret Rocky The Flying Squirrel stuff) AND Timenum()
>> <= 120000;
>>
>> Backtesting with an interval setting of one minute *must* show *only*
>> AM trades. Right? Wrong? Do I need neurosurgery? Do I need a whap
>> on the head with a Whack-A-Mole mallet?
>>
>> (BTW, Whack-A-Mole is *extremely* popular in Tokyo, but we call it
>> something else, of course. I'm trying to get it called
>> "Whack-A-Politician" -- little Abe-san heads would pop up -- but I'm
>> not having much success, despite his plummeting popularity.)
>>
>> Can anyone fix my personal, intra-cranial neural network? If anyone
>> could help "girl genius" here, she'd be very appreciative.
>>
>> My best Bullwinkle The Moose voice: "This time for *sure*!"
>>
>> Yuki
>>
>>
>>
>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>>
>> For other support material please check also:
>> http://www.amibroker.com/support.html
>>
>> Yahoo! Groups Links
>>
>>
>>
>>
>>
Best,
Yuki
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