|
PureBytes Links
Trading Reference Links
|
Yuki,
If you don't get Buy = 1 in specified time range then the
reason is not TimeNum() statement but rather your original
Buy statement that does not generate buy signals at all
in given time range.
Unfortunatelly without seeing the formula I can not help.
So please feel free to send the formula for buy signal that
you are using to support and Marcin should be able to help you.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
To: "Tomasz Janeczko" <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, February 08, 2007 12:18 PM
Subject: Re: [amibroker] How stupid can I be???
> Hi Tomasz,
>
> Please continue this way, because I obviously am not getting this
> right, even though I think I have sniffed around the basic problem.
>
> As I'm sure you already know ... ^_^ there are no Buy = 1 column
> outputs. They are all zero for the date range 12/27/2006 to today.
>
> I have played around putting in SetTimeFrame(inDaily) statements,
> with corresponding restores, and I do get some buys that way (an
> actual report is generated. But it's wildly inaccurate, so I don't
> know what I'm doing, which is par for my coding life.
>
> Yuki
>
> Thursday, February 8, 2007, 7:46:39 PM, you wrote:
>
>>> 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. ^_^
>
> TJ> That's good. Now you can add your condition as second column:
>
> TJ> Buy = ....
> TJ> AddColumn( Buy, "Buy" );
>
> TJ> and you will see if you are getting 1's (true) or not for given time range.
>
>
> 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 11:04 AM
> TJ> Subject: Re: [amibroker] How stupid can I be???
>
>
>>> 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
>>>
>>>
>>>
>>> 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
>
>
>
>
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.432 / Virus Database: 268.17.30/674 - Release Date: 2/7/2007 3:33 PM
|