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Hi Tomasz,
Okay, running it with Filter = 1; we do indeed get lots of output. We
get a line for every one minute bar for every symbol in the watchlist
for every day in the From: To: range.
So I suspect we are getting somewhere ...
I understand the format of the TimeNum() output now, too:
What was printed before was always 150,000.00 -- actually 3 PM, just
oddly formatted. Same odd formatting, but I can clearly see there is
a line of output for every bar now.
Changing the filter line to TimeNum() < 120000 does exactly what I'd
suspect, causing the highest value for every date to be 110,000.00
(11 AM), and then going to the next date.
So we *know* I have an addressable one-minute database. ^_^
What next?
Yuki
Thursday, February 8, 2007, 6:48:24 PM, you wrote:
TJ> Yuki,
TJ> Run only these two lines, I mean (explore):
TJ> Filter = 1;
TJ> AddColumn( TimeNum(), "TimeNum" );
TJ> You should see lots of output this way.
TJ> Later you can run:
TJ> Filter = TimeNum() < 120000;
TJ> AddColumn( TimeNum(), "TimeNum" );
TJ> Best regards,
TJ> Tomasz Janeczko
TJ> amibroker.com
TJ> ----- Original Message -----
TJ> From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
TJ> To: "Tomasz Janeczko" <amibroker@xxxxxxxxxxxxxxx>
TJ> Sent: Thursday, February 08, 2007 10:39 AM
TJ> Subject: Re: [amibroker] How stupid can I be???
>> Hi Tomasz,
>>
>> Nothing is returned. Nothing for any N number of days, nothing for
>> any selected date range, nothing for "all quotations".
>>
>> Periodicity is *definitely* 1 minute, and I am *definitely* in the
>> eSignal database.
>>
>> Now, if I go and change Periodicity to Daily and run explore, all
>> proper trades (symbols and dates are returned). But all have a
>> TimeNum of 150,000.00 and all are "timestamped" at 3 PM on the date
>> of entry.
>>
>> Yuki
>>
>> Thursday, February 8, 2007, 6:18:40 PM, you wrote:
>>
>> TJ> Yuki,
>>
>> TJ> As usual, EXPLORATION mode is for you to help.
>>
>> TJ> Add these lines:
>>
>> TJ> Filter = Buy;
>>
>> TJ> AddColumn( TimeNum(), "TimeNum" )
>>
>> TJ> And remove temporarily 'AND Timenum() <= 120000" from the Buy rule.
>>
>> TJ> Then run "Explore" it will display what TimeNum() values you really have.
>> TJ> Maybe you are running with Periodicity set to daily (in the Settings),
>> TJ> anyway Exploration will tell you.
>>
>> TJ> Best regards,
>> TJ> Tomasz Janeczko
>> TJ> amibroker.com
>> TJ> ----- Original Message -----
>> TJ> From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
>> TJ> To: "Tomasz Janeczko" <amibroker@xxxxxxxxxxxxxxx>
>> TJ> Sent: Thursday, February 08, 2007 9:48 AM
>> TJ> 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@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
>>>>
>>>> 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
>>
>>
>>
>>
>> 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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