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As pmxps asked " 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 pmxgs already know the close, this is not real time trading. As in
Tradestation, you need
intraday bars (one bar is not enough) all it involved is a few lines of afl
TimeFrameSet(inDaily);
// search for close == open and high <> low
Candidate = Close == Open AND High > Low AND High > Close AND Close > Low;
TimeFrameRestore();
icandidate = TimeFrameExpand(Candidate, inDaily, expandFirst);
fbar = DateNum() > Ref(DateNum(), -1);
Lastbar = DateNum() < Ref(DateNum(), 1) OR BarIndex() ==
LastValue(BarIndex());
Lowbeforehigh = iCandidate AND LowestSinceBars(fbar, Low, 1) >
HighestSinceBars(fbar, High, 1);
Buy = Lowbeforehigh AND Lastbar;
This code can be used to scan for crosses that has its low reached first.
this does, to the best of my knowledge,
the same as "look inside a bar" feature of tradestation.
_____
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Wes Smith
Sent: Tuesday, 20 February 2007 12:10 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Backtesting Calculation - Real Time 'state'
information.
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-
<http://finance.groups.yahoo.com/group/AmiBroker-at/message/2191>
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
<http://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/ <http://www.amibroker.com/devlog/>
>
> For other support material please check also:
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<http://www.amibroker.com/support.html> 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.amibroke r.com/devlog/ <http://www.amibroker.com/devlog/>
For other support material please check also:
http://www.amibroke r.com/support. <http://www.amibroker.com/support.html>
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