Or you could do as I suggested
before and make the Start time conditional to the opening gap which makes your
InSession variable aware of the opening gap:
BTStartTime1 = ParamTime("Backtesting SOD","09:00:01");
BTStartTime2 = ParamTime("Backtesting SOD Gap","10:30:01");
BTEndTime1 = ParamTime("Backtesting EOD","17:20:00");
TimeFrameSet(inDaily);
bGapUp = GapUp();
bGapDown = GapDown();
TimeFrameRestore();
bGapUp = TimeFrameExpand(bGapUp,inDaily);
bGapDown = TimeFrameExpand(bGapDown,inDaily);
GapStartTime = IIf(bGapUp OR bGapDown, BTStartTime2, BTStartTime1);
InSession = TimeNum() >=
GapStartTime AND TimeNum() <= BTEndTime1;
Buy = Sum(buysig,pds21) > Sum(Sellsig,pds21) AND InSession;
Regards,
David
Re: Trade stop after GapUp or
GapDown
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
From: dbw451
[mailto:dbw451@xxxxxxxxxxx]
Sent: 03/06/2007 5:32 PM
To: 'amibroker@xxxxxxxxxxxxxxx'
Subject: RE: [amibroker] Re: Trade
stop after GapUp or GapDown
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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