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Re: [amibroker] Re: AB autotrading vulnerable to fatal spikes?



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Tomasz stated long time ago that arrays can not be self modifying,
 
so "C=C+ATR(3);" would not be appropriate
 
 
----- Original Message -----
Sent: Monday, March 12, 2007 4:52 PM
Subject: Re: [amibroker] Re: AB autotrading vulnerable to fatal spikes?

Herman --
The statement below "C=C+ATR(3);" reminds me:

In the past, I've had a lot of trouble with "self modifying" arrays outside of loops.  So, I've ruled them out of my code altogether.  Are there any "hard and fast" rules as to when and when not you can do it?  I've tried "x=x+k*Ref(x, -1);", and received unpredictable
results (sometimes worked -- sometimes not).

TIA.
-- Keith

Herman wrote:

ahhh, yes you may have a problem using Ox etc. I forgot because I don't use any traditional TA functions so for me there is no problem. 


In your case you may be able to redefine OHLC arrays at the top of your code, like so:


Plot(C+ATR(3),"",6,1);

C = C+ATR(3);

Plot(C,"",4,1|styleDots);


You'll see that the first plot produces the exact same plot as the second one which uses a redefined C. 


However there may be a reason why redefining the OHLC is not recommended - you may have to ask support what problems this may have.


best regards,

herman


Monday, March 12, 2007, 5:24:02 PM, you wrote:


> Great to know it's on the suggestion list, Herman. Now, how would I go

> about "substituting" the OHLC array with OxHxLxCx", example?  Also,

> will this allow spike elimination without the need to rewrite from

> scratch AB builtin functions like "ATR" or would i still have to

> recode the ATR function from scratch using the newly substituted

> OxHxLxCx array?


> --- In amibroker@xxxxxxxxxps.com, Herman <psytek@xxx> wrote:


>> Hi g,


>> What you are really dreaming of is a user programmable

> data-preprocessor. This is on the suggestion list.


>> Alternatively you can pre-process your data by substituting the OHLC

> arrays with Ox, Hx, Lx and Cx. Where the x variables are preprocessed

> values of OHLC. 


>> btw, I prefer to process/filter Real-Time quotes using Static

> Variables instead of OHLC arrays, its much faster.


>> herman


>> Monday, March 12, 2007, 4:18:31 PM, you wrote:


>> > Thanks for all suggestions, and would be great to hear about other

>> > creative/unique ideas too of how others are getting around this common

>> > problem.


>> > Yes, Ray, futures data is much cleaner compared to ETF and stock data

>> > from IB.


>> > Herman, here's an idea I have been using to filter spikes:


>> > Validbar=O-L<Percentile(O-L,390,99) AND H-O<Percentile(H-O,390,99);


>> > It seems to work OK. Whats kind of annoying, however, is that you have

>> > to deal with spikes "in your code" as opposed to having some AB

>> > built-in settings (like in QT) to remove spikes from data BEFORE they

>> > are operated on by your code or get charted. That way you dont have to

>> > rewrite your code to take care of spikes and rewrite basic AB built-in

>> > functions everytime you use a new function. example: I have to recode

>> > the ATR function from scratch to be able to use it while eliminating

>> > spikes. And yes Im aware i could run IB through QT and use QT's

>> > built-in spike-removal functions, but what if i dont wanna use QT?

>> > Would be great if someone can point out a better way..Thanks a lot


>> > g




>> > --- In amibroker@xxxxxxxxxps.com, Herman <psytek@> wrote:


>> >> You have to write your code so these spikes do not harm you, I have

>> > had spikes of $1000 or greater.


>> >> You can simply ignore prices that fall outside the normal range, ask

>> > for confirmation, average a few quotes, etc.


>> >> Welcome to the real world of Real-Time SAutomated Trading 


>> >> best regards,

>> >> herman


>> >> Monday, March 12, 2007, 3:14:19 PM, you wrote:


>> >> > I'm using AB with IB datafeed and get spikes every now and then

> on SPY

>> >> > 1-minute bars. Today i got a huge spike low of ~$40 while SPY

> trades

>> >> > ~$140. My AB-based autotrading system started giving out

> totally bogus

>> >> > buy/sell signals. I understand that if a spike occurs in my

> datafeed,

>> >> > i will not be able to use AB's QuoteEditor to fix the spike for

> 3 bars

>> >> > since the spike is in the plugin cache. During this time, all the

>> >> > damage will already be done.


>> >> > In the absence of a built-in spike removal tool in AB, what is the

>> >> > best way to prevent spikes from affecting an AB-based autotrading

>> > system?


>> >> > Thanks a lot

>> >> > g





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