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Ah .. but lowestsincebars implies multiple bars. But we're talking about which came 1st within a single bar...
So I don't think those functions will work either.
fwiw .. the high/low test was just an example. In an intraday system, you can have many events happen during the life of just a single bar.
Take a simple MA cross over system using 5 minute bars. That MA can cross/retreat/re-cross many times during that 5 minute bar as real-time data streams in and changes.
Take a read of the thread over in the amibroker-at forum.
----- Original Message ----
From: Paul Ho <paultsho@xxxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, February 19, 2007 7:31:43 PM
Subject: RE: [amibroker] Backtesting Calculation - Real Time 'state' information.
nothing complicated about this in
backtesting
use the lowestsincebars and highestsincebars
functions in intraday and you know whether the low or the high comes
first.
i think you're making too complicated
yourself.
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Wes Smith
Sent:
Tuesday, 20 February 2007 10:51 AM
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@xxxxxxxx com>
To:
amibroker@xxxxxxxxx ps.com
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@xxxxxxxxx ps.com
>
[mailto:amibroker@ yahoogroups. com] On Behalf Of pmxgs
> Sent:
Saturday, February 17, 2007 8:26 PM
> To:
amibroker@xxxxxxxxx ps.com
> 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.amibroke r.com/devlog/
>
> For
other support material please check also:
> http://www.amibroke r.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:
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For other support
material please check also:
http://www.amibroke r.com/support. html
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