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Hi Tom,
Didn't change anything, sadly, but thanks for the try.
I did wonder what settings might work there, and have tried several.
One thing I haven't tried yet is to establish the AM session as the
"Day Session" (9 to 11 AM) and the PM session as the "Evening
Session" (12:30 to 3 PM). But I'll wait and see what others say
about this.
It's also not the appending of the Timenum() line to the Buy
statement that causes problems. I get no trades with or without that
line when I set periodicity to 1 minute.
But I do have an eSignal database, and it is one-minute bars. ^_^
I am appalled that I cannot do this without external help. This is
simply a first step of course; eventually I'd like a little more (is
the word "granularity") in my testing (first hour, second hour, last
hour, etc.).
Yuki
Thursday, February 8, 2007, 6:15:17 PM, you wrote:
t> Hi
t> In database setting, try " show day session only", instead of "show 24 hours trading"
t> Tom
t> ----- Original Message -----
t> From: Yuki Taga
t> To: Tomasz Janeczko
t> Sent: Thursday, February 08, 2007 4:48 PM
t> Subject: Re: [amibroker] How stupid can I be???
t> Hi Tomasz,
t> I don't know what to say. It doesn't work.
t> Your assumption 1 is correct, I believe: see the
t> IntradaySettings.png.
t> Your assumption 2 is *absolutely* correct. In fact, I do not exit
t> same day, anyway (unless I override, which I rarely do). Here is my
t> exit:
t> ApplyStop( stopTypeNBar, stopModeBars, delay, True, False );
t> I have had this code a long time, and RT results and trading results
t> are never off by even one single yen -- other than fast-market trade
t> entry miss or something like that. But it is accurate, realistic,
t> and works -- the code I mean. But I cannot, using my eSignal
t> one-minute database, isolate AM and PM entries. I have tried, on my
t> own, to do this FOREVER, and I cannot do it.
t> All I do is two things (other than what I would do with my master EOD
t> database):
t> 1) Change periodicity to 1 minute (see file)
t> 2) Append 'AND Timenum() <= 120000;' to the end of the Buy statement.
t> Then I backtest.
t> But I generally get *no* trades as a result when I backtest after
t> doing this. For example, using either last n days = 2, or using From
t> 2/7/2007 To 2/8/2007, I get no trades. That's wrong. There were
t> four signals, three yesterday and one today. One of the trades on
t> 2/7 (yesterday) was at about 9:30 AM. I didn't dream it.
t> Looking back, say, 100 bars, where I would have dozens and dozens of
t> trades, I get maybe 4 to show up. That's not realistic. It's flat
t> out way wrong. I know from years of experience most of my entries
t> come in the AM session. Off hand, I'd say it's 2-1 or higher.
t> Naturally, now that I am accumulating a longer and longer intraday
t> database, I'd like to isolate these instances and test them.
t> I cannot.
t> Using the RT database in daily mode (with periodicity set at daily),
t> there is no problem backtesting. But of course I'm *not* able to
t> isolate signals by using Timenum() that way. Not that I can isolate
t> them in any case, mind you.
t> This is, to say the least, excruciatingly frustrating for me. I
t> don't believe I am completely stupid, obviously, and I cannot see why
t> this (apparently) simple little thing will not work for me.
t> This is the *reason* I bought the RT version of AB years ago, and why
t> I started subscribing to eSignal immediately when it became available
t> in Japan. And on top of that, I knew the first few years of
t> subscription would only serve to build up a database, and that I
t> could not do realistic intraday testing until I had sufficient
t> instances and data to draw reasonably valid conclusions from.
t> I want to throw up now. ^_^
t> Yuki
t> Thursday, February 8, 2007, 4:45:56 PM, you wrote:
t> TJ> Yuki,
t> TJ> You code is correct assuming that
t> TJ> 1. You don't use time shift (File->Database Settings->Intraday Settings)
t> TJ> 2. You mean that your ENTRY is limited to AM session
t> TJ> (the code cares only about Buy signal, it does not limit you from
t> TJ> exiting later in the PM session, you would need to write
t> TJ> condition for EXIT to close positions before 12 PM.
t> TJ> Best regards,
t> TJ> Tomasz Janeczko
t> TJ> amibroker.com
t> TJ> ----- Original Message -----
t> TJ> From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
t> TJ> To: <amibroker@xxxxxxxxxxxxxxx>
t> TJ> Sent: Thursday, February 08, 2007 5:13 AM
t> TJ> Subject: [amibroker] How stupid can I be???
t> >> This program really makes me feel like an idiot sometimes. But this
t> >> idiot mops up tens of millions of yen annually from the local equity
t> >> market, so she can't be *that* stupid. Right?
t> >>
t> >> Nonetheless:
t> >>
t> >> I am trying to add what -- I (probably stupidly) think -- should be a
t> >> simple qualifier to existing, known-good code.
t> >>
t> >> Simply, we have two sessions in Tokyo, AM & PM. Since *nothing* ever
t> >> trades at exactly 12 PM (market is closed), I used that for the
t> >> divider.
t> >>
t> >> Buy = (all my secret Rocky The Flying Squirrel stuff) AND Timenum()
t> >> <= 120000;
t> >>
t> >> Backtesting with an interval setting of one minute *must* show *only*
t> >> AM trades. Right? Wrong? Do I need neurosurgery? Do I need a whap
t> >> on the head with a Whack-A-Mole mallet?
t> >>
t> >> (BTW, Whack-A-Mole is *extremely* popular in Tokyo, but we call it
t> >> something else, of course. I'm trying to get it called
t> >> "Whack-A-Politician" -- little Abe-san heads would pop up -- but I'm
t> >> not having much success, despite his plummeting popularity.)
t> >>
t> >> Can anyone fix my personal, intra-cranial neural network? If anyone
t> >> could help "girl genius" here, she'd be very appreciative.
t> >>
t> >> My best Bullwinkle The Moose voice: "This time for *sure*!"
t> >>
t> >> Yuki
t> >>
t> >>
t> >>
t> >> Please note that this group is for discussion between users only.
t> >>
t> >> To get support from AmiBroker please send an e-mail directly to
t> >> SUPPORT {at} amibroker.com
t> >>
t> >> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
t> >> http://www.amibroker.com/devlog/
t> >>
t> >> For other support material please check also:
t> >> http://www.amibroker.com/support.html
t> >>
t> >> Yahoo! Groups Links
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