RE: [amibroker] Re: Trade stop after GapUp or GapDown, AmiBroker Email List Archive

Ronald,

I think your problem might be your use of the GapUp() and GapDown() functions. I’ve never used either before, so without testing I can only go by the documentation. I think the functions set a single “true” value by comparing the current bar to the previous bar. Since you are using 5-minute bars, a gap at the open would be purely coincidental. Maybe you need to set the timeframe to daily before using the GapUp() and GapDown() functions. When you restore and expand the time frame, your bGapUp and bGapDown variables should contain “true” for the entire day.

TimeFrameSet(inDaily);

bGapUp = GapUp();

bGapDown = GapDown();

TimeFrameRestore();

bGapUp = TimeFrameExpand(bGapUp,inDaily);

bGapDown = TimeFrameExpand(bGapDown,inDaily);

Buy = Sum(buysig,pds21) > Sum(Sellsig,pds21) AND InSession AND NOT EOD AND

NOT bGapUp OR bGapDown;

I don’t have the time right now to test and verify the above code, but hopefully it will help.

Regards,

David

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of optiekoersen
Sent: 03/06/2007 3:56 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Trade stop after GapUp or GapDown

Hmm, maybe I am doing something wrong. I will give a part of the
code. Should have provided that earlier...

BTStartTime1 = ParamTime("Backtesting SOD","09:00:01");
BTEndTime1 = ParamTime("Backtesting EOD","17:20:00");
EOD = TimeNum() >= BTEndTime1;
SOD = TimeNum() >= BTStartTime1;
SOD = SOD != Ref(SOD,-1);
EOD = EOD != Ref(EOD,-1);
InSession = Flip( SOD, EOD);

//then comes my system//

EnableSessionTiming = ParamToggle("Enable Session Timing","NO|YES",1);
if( EnableSessionTiming )

Buy =

Sum(buysig,pds21) > Sum(Sellsig,pds21) AND InSession AND NOT EOD AND
NOT GapUp() OR GapDown();

I hope this makes it something clearer....

The code for the startsession was posted here on the forum before, I
borrowed it :-)

Greets Ronald

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