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Hmm ... Pretty sure he's asking about knowing which came first, the Low or the High during the day.
That requires RT data, and will be difficult to do in AFL.
----- Original Message ----
From: dingo <dingo@xxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, February 19, 2007 7:07:18 PM
Subject: RE: [amibroker] Backtesting Calculation - Real Time 'state' information.
DIV {
MARGIN:0px;}
He was asking about backtesting and not a real time
trading system.
d
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Wes
Smith
Sent: Monday, February 19, 2007 6:51 PM
To:
amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Backtesting
Calculation - Real Time 'state' information.
Actually,
I do not think you can do what pmxgs wants in AFL.
AFL
recalculates all variables on every tick/pass thru the formula. This happens
with every new 'tick' when using a Real/Time data source.
This isn't an
issue with an EOD strategy, but in RealTime.. it's a huge issue.
For example .. if you need to know if the LOW or HIGH happens first,
then you would need to record or 'latch' this event and have it available to
your formula on the next intraday 'tick'. You can't just set a variable
for this. The next intraday data tic.every tick will reset/recalc all
variables. .. effectively erasing our knowledge that the LOW-Hit
event happened first.
You might think that the flip() function would do
the job .. but it suffers from the same problem. It's only valid on bar
close.
The only way I know of to do this is with a staticvar.. and that's
pretty cumbersome. And I'm not sure if they are even
evaluated during a backtest.
There's a long chain of posts over in the
amibroker-at group about this problem.
http://finance.groups.yahoo.com/group/AmiBroker-at/message/2191
I'd
love to be wrong about this.. so please chime in and correct me if you have a
solution !
(And fwiw, a solution/fix for this problem would go to the
very top of my list vs any new charting features!!!)
-----
Original Message ----
From: dingo <dingo@xxxxxxxxxxx>
To:
amibroker@xxxxxxxxxxxxxxx
Sent: Monday, February 19, 2007 8:41:42
AM
Subject: RE: [amibroker] Backtesting Calculation
The only way Tradestation can do this accurately is by use of intraday
data.
Using EOD data its only a guess. If you use intraday data
then Amibroker
can do it as well.
d
> -----Original
Message-----
> From: amibroker@xxxxxxxxxxxxxxx
>
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of pmxgs
> Sent: Saturday,
February 17, 2007 8:26 PM
> To: amibroker@xxxxxxxxxxxxxxx
>
Subject: [amibroker] Backtesting Calculation
>
> Hi,
>
> I'm searching for a back testing software and I'm
positively
> impressed with amibroker.
> But there's
one thing that i would like to know.
> When amibroker back
tests some strategy can we select if inside bar
> data is evaluated?
> For example , imagine that my trading system evaluates
daily bars and
> has a limit take profit order for a stock at
$50 and a stop loss
> order at $46. This bar opened and closed at $48
with high at 51 and
> low at 45.
> How does amibroker know which
one was hit first. The high or the low?
> As long as there is
intrabar data available this should be considered
> when back testing
results are being calculated, otherwise the results
> will not be
correct.
> Tradestation has this feature (look inside bar
feature), have a look
> here: www.adest.com.au/software/tradestation%202000i.htm
>
> Hope someone can answer
me,
> thanks
>
>
>
> 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
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