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Thank you Tomasz.
I tried that but I seems to get empty values instead of the previous.
I use foreign
Does the padding work also for the cusomized portion of the backtest?
Then I loop through the bars I get empty value for an index for which
data should exist. I am backtesting using only the last n days in 1
minute mode, and I noticed that array[20] gives different values for
different selected bar in the indicator pan, same code.
I than found in the help:
When QuickAFL is ON, the BarIndex() may not be equal with array item
index.
Actual array item
corresponding to bar index can be found this way:
bi = BarIndex();
arrayitem = SelectedValue( bi ) - bi[ 0 ];
"Close at selected bar:" + Close[ arrayitem ];
so should I do the same in the custom backtesting, or it takes care of
it automatically?
Or may be the customized backtesting should loop not between 1 and
barcount but (barcount- numer of last quotations) and barcount?
Thanks
Ly
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> In AA there is a "Pad and align to reference symbol" option
(settings screen) that takes care of it.
> http://www.amibroker.com/guide/w_settings.html
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "loveyourenemynow" <loveyourenemynow@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, January 10, 2008 10:13 PM
> Subject: [amibroker] Re: IQ data holes for illiquid symbols in
portofolio backtesting
>
>
> > If the more liquid stock is the active symbol, AB fix the problem at
> > least at indicator level from what I can see, but if the active stock
> > is the illiquid missing quotes one, also the liquid is on the same
> > time stamps but I am not sure if barnumber are consistent
> >
> > I hope in backtesting at portolio level ... all the bar of the most
> > symbols are use
> >
> > LY
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "loveyourenemynow"
> > <loveyourenemynow@> wrote:
> >>
> >> I have realized that IQ data skips bars for illiquid symbols(if there
> >> is no trade I guess), so that c[i] and c[i+1] in minute time
frame for
> >> example could correspond to an actual time difference of 5 or even
> >> more time.
> >> If I backtest a portfolio this will imply that I am looking a
> >> different times for different stocks depending on their data
> > availability.
> >> For example
> >>
> >> c[100] is at timenume()==132200 for sym1
> >> c[100] is at timenume()==132700 for sym2
> >>
> >> timenum() is not valued on per symbol bases, so I wonder what does it
> >> return when is called in these cases.
> >>
> >> The consequence is that the backtesting would be totally unreliable.
> >> Compressing data at longer time scales should fix, but still
depending
> >> on the liquidity I would not now at what scale to go, and I am not
> >> sure how IB would deal with compression in such a scenario.
> >>
> >> Anybody had the same problem?
> >>
> >> Thanks
> >> Ly
> >>
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
Please note that this group is for discussion between users only.
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