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hi Paul,
yes indeed I use the daily data set to calculate
buy / sell, short and cover (the code I posted was just for illustration
purposes). However, my system is designed with entries and exits at the open
(excluding the occasional intraday profit target that is hit). In practice I
enter and exit at a certain time during the day in order to avoid the turbulance
at the open. What I then monitor is the difference between the open price
and the exit / entry price. This is just a single number (averaged over the
entire portfolio) and it is easy to see if I am ahead or behind to the
theoretical system during the day.
Up until now I just executed my orders at a
certain time. However, now I am following this number to pinpoint a
favourable entry / exit with respect to the open price. I want to backtest this
pinpointing of the best time to execute my orders and I need the eSignal
intraday database for that. I just have one parameter in my system that uses 250
daily bars and therefor I need the EOD bars to do the calculation of the actual
entry and exits days. I hope using the EOD data to
make calculation within the eSignal intraday database will be possible in
future releases of Amibroker. For now I will try to solve it some
other way,
rgds, Ed
----- Original Message -----
Sent: Tuesday, May 22, 2007 2:01 AM
Subject: RE: [amibroker] mixed intraday /
EOD, eSignal
Ed
From what i can see, you are using Daily data to set
you buy and sell. Do you really intraday bars for your system? or do you just
need real time daily bars? if that is the case, setting esignal to eod only
would give you daily bars that is updated in realtime.
regards
Paul.
hi Dennis,
I guess that would be possible. Thanks for your
help. I will try that if one is not able to use the EOD data in mixed mode.
It seems odd that there is a mixed mode but one can't call
the EOD data, just view them. Indicators will use EOD data if EOD data
are displayed. If intraday data are displayed the mixed mode is not
used.
regards, Ed
----- Original Message -----
Sent: Monday, May 21, 2007 4:21
PM
Subject: Re: [amibroker] mixed
intraday / EOD, eSignal
Ed,
Here is an idea: Perhaps you could generate an ATC ticker of the
daily indicator, read in the values with foreign, then time expand each
bar to match up to your intraday bars --you will only have one number per
day.
Dennis
On May 21, 2007, at 9:27 AM, Edward Pottasch wrote:
in short one normally only has a limited
amount of intraday data from eSignal. If your calculation needs 250 bars
of EOD data then it can't be done. However because Amibroker allows for
mixed intraday/EOD data it should be possible. The code
below shows that Amibroker does only display these data and not use
them for calculations. If you display Daily data in
mixed mode the chart will show buy and short triangles. Displaying hour
or minute charts will not show any signals because it will not use the
EOD data but the intraday data for the calculation. To generate the
signals I need to use the EOD data for the calculation since I do not
have sufficient intraday data .... Not possible?
rgds, Ed
//
set timeframe
TimeFrameSet( inDaily );
tt =
NumDownBars = BarsSince( C >= Ref(C,-1));
ss =
NumUpBars = BarsSince( C <= Ref(C,-1));
bc1 = tt
>= 2
AND
C >
MA(C,250);
Buy = bc1;
Buy =
Ref(Buy,-1);
sc1 = ss >= 2 AND C < MA(C,250);
Short = sc1;
Short =
Ref(Short,-1);
//
restore to current time frame
TimeFrameRestore();
// expand
arrays
Buy = TimeFrameExpand( Buy, inDaily );
BuyPrice = IIf( Buy,Ref(C,-1),0);
Short = TimeFrameExpand( Short, inDaily );
ShortPrice = IIf(Short,Ref(C,-1),0);
GraphXSpace = 5;
SetChartOptions(0, chartShowDates);
Plot(C,"C",1,64);
Title=Name()+ ", O: "+WriteVal(O)+ ", H: "+WriteVal(H)+ ", L: "+WriteVal(L)+ ", C: "+WriteVal(C);
PlotShapes(IIf(Buy,shapeUpTriangle,0),colorWhite, layer = 0, yposition = BuyPrice, offset =
0 );
PlotShapes(IIf(Short,shapeDownTriangle,0),colorLightBlue, layer =
0, yposition =
ShortPrice,
offset = 0
)
----- Original Message -----
Sent: Monday, May 21, 2007 12:01
PM
Subject: [amibroker] mixed
intraday / EOD, eSignal
hi,
I am doing some backtests to finetune the
entries of an EOD system. Therefor I generate the signals using EOD
data and use these signals to find an intraday entry. I use the
mixed intraday/EOD mode (eSignal data). The EOD data show up nicely in
the chart however for the calculations the are not used. So if I
implement in the code:
TimeFrameSet( inDaily
):
the do my EOD signal calculations
here
TimeFrameRestore();
continue in the intraday timeframe. When
in the intraday timeframe it can however not see the signals
calculated in the Daily timeframe. I use a moving average with a long
period and therefor it does not find signals because the intraday data
not have enough days. The EOD data have enough days but apparently
they are not used in the calculation.
Is there a trick so that they will be
used in the calculation also and not just for display purposes in the
chart?
thanks, Ed
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