RE: [amibroker] mixed intraday / EOD, eSignal, AmiBroker Email List Archive

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 -----

From: Paul Ho

To: amibroker@xxxxxxxxxps.com

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.

From: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] On Behalf Of Edward Pottasch
Sent: Tuesday, 22 May 2007 1:02 AM
To: amibroker@xxxxxxxxxps.com
Subject: Re: [amibroker] mixed intraday / EOD, eSignal

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 -----

From: Dennis Brown

To: amibroker@xxxxxxxxxps.com

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 -----

From: Edward Pottasch

To: amibroker@xxxxxxxxxps.com

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