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Tom,
TJ would know if this was an eSignal thing, I think ...
I don't actually use PM or AM in coding, and I think people argue
about whether 12 noon is AM or PM, anyway. ^_-
If anyone can figure this out, it seems likely it will have to be TJ.
It's clearly a one-minute database. It updates one-minute charts in
real time when the market is open. And that data is saved, and
always available for viewing in various timeframes. I just can't
isolate entries by time of day, which is a big thing not to be able
to do on an intraday database.
Yuki
Thursday, February 8, 2007, 6:42:03 PM, you wrote:
i> What about define AM trade as timenum()<=113200 and PM trade as
i> timenum()>=114500, avoid using 12am or 12pm , in this way I backtest
i> East Asia markets without problem.
i> Or since I use IB datafeed,not sure if it is due to the esignal data
i> you are using, what about saving esignal data in text format and
i> import into Amibroker again to backtest. This is the last guess£¯
i> try I am capable of. / Tom
i> --- 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
i> 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
i> 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
i> (is
>> the word "granularity") in my testing (first hour, second hour,
i> 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
i> 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
i> exit
>> t> same day, anyway (unless I override, which I rarely do). Here
i> 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
i> results
>> t> are never off by even one single yen -- other than fast-
i> market trade
>> t> entry miss or something like that. But it is accurate,
i> 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,
i> 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
i> 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
i> statement.
>>
>> t> Then I backtest.
>>
>> t> But I generally get *no* trades as a result when I backtest
i> after
>> t> doing this. For example, using either last n days = 2, or
i> using From
>> t> 2/7/2007 To 2/8/2007, I get no trades. That's wrong. There
i> were
>> t> four signals, three yesterday and one today. One of the
i> 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
i> dozens of
>> t> trades, I get maybe 4 to show up. That's not realistic. It's
i> flat
>> t> out way wrong. I know from years of experience most of my
i> 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
i> 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
i> daily),
>> t> there is no problem backtesting. But of course I'm *not* able
i> to
>> t> isolate signals by using Timenum() that way. Not that I can
i> isolate
>> t> them in any case, mind you.
>>
>> t> This is, to say the least, excruciatingly frustrating for me.
i> I
>> t> don't believe I am completely stupid, obviously, and I cannot
i> 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,
i> and why
>> t> I started subscribing to eSignal immediately when it became
i> 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
i> 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
i> 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.
i> But this
>> t> >> idiot mops up tens of millions of yen annually from the
i> 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 --
i> should be a
>> t> >> simple qualifier to existing, known-good code.
>> t> >>
>> t> >> Simply, we have two sessions in Tokyo, AM & PM. Since
i> *nothing* ever
>> t> >> trades at exactly 12 PM (market is closed), I used that
i> for the
>> t> >> divider.
>> t> >>
>> t> >> Buy = (all my secret Rocky The Flying Squirrel stuff) AND
i> Timenum()
>> t> >> <= 120000;
>> t> >>
>> t> >> Backtesting with an interval setting of one minute *must*
i> show *only*
>> t> >> AM trades. Right? Wrong? Do I need neurosurgery? Do I need
i> 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
i> 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 -
i> - but I'm
>> t> >> not having much success, despite his plummeting
i> popularity.)
>> t> >>
>> t> >> Can anyone fix my personal, intra-cranial neural network?
i> 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
i> users only.
>> t> >>
>> t> >> To get support from AmiBroker please send an e-mail
i> directly to
>> t> >> SUPPORT {at} amibroker.com
>> t> >>
>> t> >> For NEW RELEASE ANNOUNCEMENTS and other news always check
i> 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
>>
Best,
Yuki
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