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Thank you Tomasz, as usual AB has the seeting already there somewhere.
I am exporting data, and to do that I need to dimension an external
array to the Barcount, and I have noticed that at least at indicator
level this has different values for different symbols.
This seems to mean that barcount is not the same of all symbols but
varies from symbol to symbol, so I should first padd each symbol to
the reference symbol at indicator level and then export (making sure
the reference is the one with longer history, if it is not how does
the padding deal with it?), otherwise the exported data will be out of
sync.
Ho can I do that?
Since this setting is present in backtest mode, could I scan through
all the symbols once with the padding to reference symbol and this
would make sure Barcount is the same for all symbols?
I want ot obtain the same result at indicator level instead of
backtesting what should I do?
Another problem I encounter is that exporting vectors of barcount
length is too memory consuming especially when I only backtest over
the last 10% for example.
Backesting loops through 1 to barcount anyway, even if I backtest over
the last 10 % bars according to your explanation.
Can I "manually" change the range of bars in the customized
backtesting to the portion I want so I dont use too much memory?
Would the same owrk also in scan mode?
Or as a simple trick, can I "simulate" a smaller barcount so I only
work on the postion of bars I really need?
I think this could be achieved if the backtester had an option to work
from bar n1 to bar n2 , similar to from date to date.
Thank again
Ly
>
> Hello,
>
> The Foreign function has the parameter that decides if it fills gaps
> with nulls or with previous value. Use the default if you want
previous values.
>
> Indicators use QuickAFL, but AA does not (at the moment), so for
backtest
> you don't need to worry about quickafl at all.
> You can turn off quickafl in indicators if you wish using
SetBarsRequired function.
>
> All loops that go throgh all bars should always use bars from 0 to
BarCount - 1 regardless of when
> there are run and regardless of quickafl.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "loveyourenemynow" <loveyourenemynow@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, January 11, 2008 10:09 AM
> Subject: [amibroker] Re: IQ data holes for illiquid symbols in
portofolio backtesting
>
>
> > 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@> 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@>
> >> 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.
> >
> > 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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SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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