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It is already clearly explained in the manual:
http://www.amibroker.com/guide/h_timeframe.html
It says:
"Caveat: expandFirst used on price different than open may look into the future. For example if you create weekly HIGH series,
expanding it to daily interval using expandFirst will enable you to know on MONDAY what was the high for entire week."
So shortly: do NOT use expandFirst in backtests / trading systems. This functionality is mainly for charting.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Hetal" <hetal_mba@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, March 04, 2007 11:01 PM
Subject: [amibroker] Re: Backtest - using Multiple Time Frames
> Hello,
>
> What i have observed here is
> With using expandfirst i was able to get the same value of a moving
> avaerage or any oscillator if i had plotted it on daily chart from
> weekly compressed data the reading of the ma or oscillator is very
> near if i happen to see how the weekly charts look say on any day
> before friday The readings tally in weekly as well as on daily chart
> with weekly comprerssed data.
>
> ANd i think that is more important. that the numbers tally in daily
> with weekly compressed chart & pure weekly mode charts.
>
> I think we need some clarity from the Boss.
>
> Regards
>
> hetu
>
>
> -
> -- In amibroker@xxxxxxxxxxxxxxx, "Chris DePuy" <cdepuy@xxx> wrote:
>>
>> I'm no expert at this, but my experience is:
>>
>> Using this expandfirst will cause many false signals in actual
> trading. This is because your signals will effectively be
> overwritten. I've backtested some expandfirst systems with awsome
> results only to find that when trading these, you don't actually
> create buy and sell signals the same way in backtest as you would if
> you move forward in time (eg tick replay or real-life).
>>
>> ----- Original Message -----
>> From: Ara Kaloustian
>> To: AB-Main
>> Sent: Sunday, March 04, 2007 11:01 AM
>> Subject: [amibroker] Backtest - using Multiple Time Frames
>>
>>
>>
>> I was reviewing some of my work ... an item jumped at me and I'd
> like to open it up for comments / discussion.
>>
>> I had some tests using "ExpandFirst" to decompress weekly data on
> daily chart,
>> that produced significantly better results that when I
> used "ExpandLast".
>>
>> There was some posting a while back why it is inapropriate to
> use "ExpandFirst". Specifically that the value of array on Friday is
> assummed to be known from beginning of week.
>>
>> A little bit of philosophy here ...
>>
>> Granted that "ExpandFirst" does assume we know values for Friday
> from Monday's data ... BUT is that necessarily a bad thing. Why can
> we not look at it as "advanced forsight"?
>>
>> My thinking is that if we get an improvement in prices early in
> the week, statistically they will be somewhat reflected at the end of
> the week also, so that using those prices with "ExpandFirst" is "more
> right" than "wrong".
>>
>> Using Multiple time frames (weekly AND daily) should insure that
> the statistical edge mentioned above will likely be true because it
> is unlikely that a trade signal will be generated erroneously from
> both daily and weekly timeframes.
>>
>> Appreciate your thoughts.
>>
>> Ara
>>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
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>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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