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The reason is that I have no problem differentiate AM / Pm trades of
SGXNK (NIKKEI futures contract listed at Singapore, and my database
setup is only different with yours in this setup, as well as
choosing the "local time" rather than the "exchange time"
b.rgds/Tom
--- In amibroker@xxxxxxxxxxxxxxx, "toxutao" <toxutao@xxx> wrote:
>
> Hi
>
> In database setting, try " show day session only", instead
of "show 24 hours trading"
>
> Tom
>
>
> ----- Original Message -----
> From: Yuki Taga
> To: Tomasz Janeczko
> Sent: Thursday, February 08, 2007 4:48 PM
> Subject: Re: [amibroker] How stupid can I be???
>
>
> 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@xxx>
> 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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