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What about define AM trade as timenum()<=113200 and PM trade as
timenum()>=114500, avoid using 12am or 12pm , in this way I backtest
East Asia markets without problem.
Or since I use IB datafeed,not sure if it is due to the esignal data
you are using, what about saving esignal data in text format and
import into Amibroker again to backtest. This is the last guess£¯
try I am capable of. / Tom
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxx> wrote:
>
> 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@xxx>
> 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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