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Thnx...this is working :-)
I think I will be able to make an extra argument now. During
lunchtime its better to eat then to trade with this system. I think I
can incorporate this now, so that I don't have to check my results
manually.
Thanks again everybody for the help
--- In amibroker@xxxxxxxxxxxxxxx, "dbw451" <dbw451@xxx> wrote:
>
> 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@...]
> 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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