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I've found a solution for this. I had wanted to find a way to use
indicators based on the weekly timeframe while backtesting in the
daily timeframe, without being subject to the "expandFirst" /
"expandLast" problem.
The solution is to use the indicator as normal, but multiplying the
parameters by five. Thus my 50-week EMA becomes EMA(C,250), and my
weekly MACD(12,26,9) becomes MACD(60,130,45). I've compared the two
visually, and they are virtually identical.
Hope this helps,
Paul
--- In amibroker@xxxxxxxxxxxxxxx, "polomorabe" <paul.moore@xxx> wrote:
>
> I wonder if anyone can help me with this backtesting problem I've been
> having. I backtest in the daily frame, and as an extra filter, I use
> the slope of the weekly MACD historgram. I use the TimeFrameExpand
> function to bring the weekly data into the daily timeframe.
>
> For ages, I noticed a discrepancy between my backtest results and my
> daily scan results, and yesterday I think I found the reason for it.
>
> What I have noticed is that, for example if the weekly MACD-H for IBM
> changes direction on Wednesday's close. This means that when I do my
> daily exploration before the Thursday open, IBM will become a stock
> buy candidate, if all other conditions are satisfied. However, when I
> backtest at the end of the week, IBM appears as a buy candidate on
> Monday, because the weekly MSCD-H condition is satisfied for the
> entire week.
>
> I went back to the User Manual, and found the explanation for the
> TimeFrameExpand function expandFirst and expandLast parameters. Does
> this mean that the calculated weekly value is made available on either
> Monday or Friday of the given week?
>
> Is there a way to correctly backtest the case where the weekly signal
> becomes valid in mid-week?
>
> Many thanks,
> Paul
>
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