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Hi Dennis,
Thanks again for the advice. I renamed the buy/sell/short/cover vars
as you suggested. I was setting and then resetting these during the
processing but now use other names until all the processing was
complete and then set them along with price vars. When I did that it
started working as expected. Also the back tester now works and
agrees with the Explore export calculations I was doing in Excel. I
guess the hot tip is if the back tester gives unexpected results,
look for errors in the code. BT has been around so long that is a
good test for accurate code. I have been using AB since 2003 and I
still find things about AB I didn't quite understand. One nice thing
is that I don't have to do this checking in a DLL. That will save
some effort.
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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