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I am not sure what you mean but it probably has to do with scanning
the raw input to build the bars. I guess all AB is looking for is the
first tick, open, highest and lowest values and the final tick that
becomes the close.
I am working a DLL so I will stash the trade conditions there. I have
also had trouble taking the first trade of the day without
covering/selling a non-existent trade. I have tried to use barssince
and a few other things to buy or short only but the buy conditions
are currently the same as the cover, ditto for sell and short. But
have not found anything that works. So I will keep states in a DLL to
track trades. From what you told me it seems I will need to track
more things. Besides ABs back tester goes absolutely nuts when I
define trading periods, like trade only between 0930 to 1600. The
phantom trades I mentioned above really mess the back test results
up. At times it shows no trades at all but when I run explore I find
many. So I am going to track my trades in the DLL.
Thanks for the help,
Barry
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Barry,
>
> Just remember that if the buy condition existed at one point, then
> the next pass the conditions no longer exist, as far as AB is
> concerned the buy condition NEVER existed. If you want the buy
> condition to be "remembered" across passes, you will have
to "latch"
> that fact into a static variable. However, I think what you
really
> want to do is use the High or Low instead of the last to detect
your
> condition. Once your H/L is achieved in the bar, it will never go
> away. That is what you are saying you really want. Then set the
> BuyPrice / SellPrice / ShortPrice / CoverPrice to that price that
you
> determine is your trigger point. If you use the RT last data,
you
> might miss a RT data point during your bar (not every tick shows
up
> every pass), but the H & L will show it (even if delayed slightly).
>
> Best regards,
> Dennis
>
> On Jan 28, 2008, at 10:20 PM, Barry Scarborough wrote:
>
> > Thanks Dennis.
> >
> > AB is probably working as it is supposed to. If it is there is
> > something wrong with my code, more than likely. Or it was not
> > designed to do what I am trying to do.
> >
> > The way I see it, the last (current) tick is the close at that
> > instant. The "close" value will change with each tick until the
bar
> > period times out and the last tick will be the true close.
> >
> > During the bar, when the immediate "close" crosses the indicator
line
> > and satisfies the buy/short conditions, I want to act
immediately. I
> > don't want to wait until the bar is closed. I am designing this to
> > auto trade futures and I really don't want to wait until the bar
is
> > closed before I take or exit a position. The close can end up
> > anywhere. I want to act, submit an order, when the conditions
exist.
> > I will redesign the code if I have to get it to submit a buy when
the
> > conditions exist. I just can't understand why AB does not
recognize
> > the instantaneous signal as a buy. It does in that the arrow
appears
> > and I can see it momentarily during trading hours. But why
doesn't AB
> > recognize it is a buy and why isn't the BuyPrice updated and
stored?
> >
> > When I run explore the value of the indicator is in BuyPrice and
it
> > is correct. That is probably due to the way I decide what value to
> > use during explore. But the same logic is used live.
> >
> > What further difference is there between live data and back test
> > data? I must be missing something.
> >
> > Barry
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >>
> >> Barry,
> >>
> >> AmiBroker is working as it is supposed to work. When you are
> > working
> >> with real time intraday data, each AFL pass over the data is a
> > static
> >> snapshot that is processed. The last bar will be incomplete 99%
> > of
> >> the time. The close will not actually be the close of the bar,
> > but
> >> the last realtime quote. The high and low of the bar may also
> > change
> >> to greater limits before the bar is truly completed.
> >>
> >> One simple thing you can do, is only work with the data only up
to
> >> the last completed bar (BarCount-2) or C=Ref(C,-1), etc.
> >>
> >> However, even simpler (if you only use close data) is to use the
> > Open
> >> data instead. It will be the next tick after the close of the
> > last
> >> full bar and should not change during the bar.
> >>
> >> A little more complicated is to keep track of how close the bar
is
> > to
> >> running out of time, and accept a signal only when the bar is 90%
+
> >> complete. That will give you a little jump on the situation with
> > a
> >> low probability of the signal turning out to be false.
> >>
> >> My own strategy would be to use the incomplete signals as
> > a "warning
> >> of imminent trade" signal (perhaps with a little ping sound) and
> > then
> >> give the big Trade Bong when the bar closes (i.e. the trade
signal
> > is
> >> on the previous bar).
> >>
> >> When backtesting, you will only get the signals on the completed
> >> bars. Realtime trading is very different from backtesting static
> > data.
> >>
> >> Sorry I don't have any AFL for you on this --I am still working
on
> > my
> >> own system strategy.
> >>
> >> Best regards,
> >> Dennis
> >>
> >> On Jan 28, 2008, at 6:37 PM, Barry Scarborough wrote:
> >>
> >>> I am working on a system where I try to buy or sell when a
couple
> > of
> >>> indicators become true within the bar. I using this intraday and
> > was
> >>> watching the charts. I have the conditions ANDed and it places
> > arrows
> >>> on the chart when the Buy is true. The problem I ran into today
> > was
> >>> that the conditions were true within a minute bar, the buy arrow
> >>> flashed on, then off a number of times within the bar. But
> > BuyPrice
> >>> which is set at the same time, never changed. What is going on?
> >>>
> >>> I want to generate a buy/sell immediately when the conditions
are
> >>> true. I thought maybe the conditions had to be true at the end
of
> > the
> >>> bar before the Buy and BuyPrice become active. That does not
seem
> > to
> >>> be the case, at least not all the time. I noticed that if the
> >>> conditions occurred during the bar but were not true at the end
of
> >>> the bar the Buy was not set. But if the conditions were true at
> > the
> >>> beginning of the next bar the Buy and BuyPrice were set
> > immediately,
> >>> before the end of the bar. What is going on? Is this a bug? How
> > can
> >>> Buy come on without BuyPrice being set. Why does it work at the
> >>> beginning of the bar but not intra bar? How is this supposed to
> >>> work?
> >>>
> >>> I added the code below with the exception of the system code.
> >>>
> >>> Another problem that we noticed was that using AddColumn to dump
> > the
> >>> trade prices to Excel does not always have the same value as
what
> > is
> >>> plotted on the chart.
> >>>
> >>> Thanks for the help,
> >>> Barry
> >>>
> >>> Code fragment:
> >>>
> >>> // AND the indicator conditions to find the buy points
> >>> Buy = BuySigA AND upIND;
> >>> // normal sell or if last bar and buy state
> >>> Sell = (SellSigA AND dnIND) OR tod == timeclose;
> >>> // AND the indicator conditions to find the short points
> >>> Short = ShortSigA AND dnIND;
> >>> // normal cover or if last bar and short state
> >>> Cover = (CoverSigA AND upIND) OR tod == timeclose;
> >>>
> >>> // in the following code fInRAnge determines whether to use the
> >>> calculated price or the open price on a gap.
> >>> // roundd the price up or down then adds or subtracts a tick
> >>> depending on the signal, buy or short.
> >>> pBuyPrice = tick + fRound(fInRange(IIf(Buy, fInd2, 0), up),
> > up);
> >>> pShortPrice = -tick + fRound(fInRange(IIf(Short, fInd2, 0), dn),
> > dn);
> >>> pSellPrice = -tick + fRound(fInRange(IIf(Sell, fInd2, 0), dn),
> > dn);
> >>> pCoverPrice = tick + fRound(fInRange(IIf(Cover, fInd2, 0), up),
> > up);
> >>>
> >>>
> >>> // make sure there are no multiple buys OR sells while a like
> >>> position is Open
> >>> Buy = ExRem(Buy, Sell );
> >>> Sell = ExRem(Sell , Buy);
> >>> Cover = ExRem(Cover, Short );
> >>> Short = ExRem(Short , Cover);
> >>> BuyPrice = IIf(Buy, pBuyPrice, 0);
> >>> SellPrice = IIf(Sell, pSellPrice, 0);
> >>> CoverPrice = IIf(Cover, pCoverPrice, 0);
> >>> ShortPrice = IIf(Short, pShortPrice, 0);
> >>>
> >>> Filter = Buy OR Sell OR Short OR Cover; // set the conditions to
> >>> monitor in analysis - back test, scan and explore
> >>>
> >>> // plot buy and sell arrows on the chart
> >>> PlotShapes(Buy * shapeUpArrow, uparrow, 0, Low);
> >>> PlotShapes(Sell * shapeDownArrow, dnarrow,0,Low );
> >>> PlotShapes(Short * shapeCircle, dnarrow);
> >>> PlotShapes(Cover * shapeHollowCircle, uparrow);
> >>>
> >>> // plotting functions
> >>> Plot(C, Date() + " - System 1a " + NumToStr(search, 1.0) + " -
C",
> >>> background, styleCandle); // plot candles on the chart
> >>> Plot(BuyPrice, "\nBuy Price", background , styleOwnScale |
> >>> styleNoLine | styleNoLabel );
> >>> Plot(SellPrice, "Sell Price", background , styleOwnScale |
> >>> styleNoLine | styleNoLabel );
> >>> Plot(ShortPrice, "Short Price", background , styleOwnScale |
> >>> styleNoLine | styleNoLabel );
> >>> Plot(CoverPrice, "Cover Price", background , styleOwnScale |
> >>> styleNoLine | styleNoLabel );
> >>> Plot(Buy, "\nBuy", background , styleOwnScale | styleNoLine |
> >>> styleNoLabel );
> >>> Plot(Sell, "Sell", background , styleOwnScale | styleNoLine |
> >>> styleNoLabel );
> >>> Plot(Short, "Short", background , styleOwnScale | styleNoLine |
> >>> styleNoLabel );
> >>> Plot(Cover, "Cover", background , styleOwnScale | styleNoLine |
> >>> styleNoLabel );
> >>>
> >>> // code for exploration and export to spreadsheet
> >>> AddColumn(BuyPrice, "Buy price", 1.3);
> >>> AddColumn(SellPrice, "Sell price", 1.3);
> >>> AddColumn(ShortPrice, "Short price", 1.3);
> >>> AddColumn(CoverPrice, "Cover price", 1.3);
> >>>
> >>>
> >>>
> >>>
> >>>
> >>> 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.
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
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