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Thnx for your help. It is not totally what I am looking for but it
comes close. Now it the system will skip a whole trading day if it
starts with a gap. My original idea was to delay the start, till the
effect of the gap has disappeared. But it is possible to
change "indaily" into "inhourly", which doesn't give good results.
But thats also good to know that the system seems to be able to beat
the gap problems :-)
Thnx again for the help!
Greets Ronald
--- In amibroker@xxxxxxxxxxxxxxx, "dbw451" <dbw451@xxx> wrote:
>
> 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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