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Hi
It is possible to input the stock trade record manually
can the program then see a chart of the value of the account on a day by day basis taking into account the value of all of the stocks each day and the buys and sells ?
IF so.........help..........please
How do i do it??
Thanks
Ron
-------Original Message-------
Date: 3/8/2008 1:12:06 AM
Subject: [amibroker] Digest Number 7753
Messages In This Digest (10 Messages)
Messages
- 1a.
-
Fri Mar 7, 2008 12:13 pm (PST)
Hi Ton -- Here is some simple code that will demonstrate. //---------- --------------
//
// Optimization.afl
//
// A very simple example to illustrate
// trend-following versus mean-reversion
//
// Set MALength1 = 5, MALength2 = 20 for trend following
// Set MALength1 = 20, MALength2 = 5 for mean reversion
MALength1 = 20; //Optimize("MALength1",11,1,31,2);
MALength2 = 5; //Optimize("MALength2",4,2,32,2);
HoldDays = 5; //Optimize("HoldDays",9,1,10,1);
MA1 = MA(C,MALength1);
MA2 = MA(C,MALength2);
Buy = Cross(MA1,MA2);
Sell = Cross(MA2,MA1); // OR BarsSince(Buy)>=HoldDays;
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
e=Equity();
Plot(C,"C",colorBlack,styleCandle);
PlotShapes(shapeUpArrow*Buy+shapeDownArrow*Sell,
IIf(Buy,colorGreen,colorRed));
Plot(MA1,"MA1",colorRed,styleLine|styleLeftAxisScale);
Plot(MA2,"MA2",colorBlue,styleLine|styleLeftAxisScale);
Plot(e,"equity",colorGreen,styleLine|styleOwnScale);
//
//-----------------------
Set the MA lengths as suggested in the comments in the code (two runs, one
for each pair of values) and click the "Apply Indicator" icon to plot
everything that has a Plot statement. Note that when the "fast" MA length
(MALength1) is shorter than the "slow" length (MALength2), the buys happen
after upward price trends have already begun -- hoping that the trend will
continue, hence a trend following system. When the "fast" length is longer
than the "slow" length, the buys come after a period of price decline --
hoping that prices return to the longer term average, or mean, hence a mean
reversion system. By letting an optimizer choose which works better over an
in-sample period of time, the same code can give trend following systems
when the price trends well, and switch to mean reversion when the prices
oscillate. Examine the results in the out-of-sample period that follows to
see if it works.
Run this code, with the Optimize statements enabled, using AmiBroker
5.05.1and the new automatic walk-forward testing. Use RAR/MDD as the
objective
function (or UPI, K-Ratio, RRR). Set the in-sample period to one or two
years of daily data, the out-of-sample period to 6 months or one year, and
give it enough data so that it makes ten or more steps. Look at the values
of MALength1 and MALength2 that are found to be best (at the right hand side
of the walk-forward report). Depending on the price series, you will
probably see some periods were trend-following and some were mean-reverting.
Thanks,
Howard
www.quantitativetradingsystems.com
On Fri, Mar 7, 2008 at 3:40 AM, Ton Sieverding <ton.sieverding@scarlet.be>
wrote:
> Correct Howard, thanks for your remark and frankly this is one of the
> things I never understood. May be because I am a typical trend follower and
> am using mean reversion only as warning signals. In Dutch there is an
> _expression_ saying that "what the farmer doesn't like he will not eat". So
> for me the MAFast must per definition be less than the MASlow period. And
> yes I know that people let this rule invert when looking to mean reverting
> systems. Although I understand what they do and what it will create, I do
> not really understand what is going on. Something like solving a complex
> partial differential equation. You know how to do it but you don't know what
> you're really doing. Or to put it in another way, I understand mean
> reversion when using bands like Bollinger or even better with Hurst
> Envelops. I do not understand how you can get mean reverting system when
> letting MASloW<MAFast. Can you give me a hint or perhaps a source that
> will explain me what's going on ?
>
> Regards, Ton.
>
> *PS : When is your new book coming ?*
>
>
> ----- Original Message -----
> *From:* Howard B <howardbandy@gmail.com>
> *To:* amibroker@xxxxxxxxxps.com
> *Sent:* Thursday, March 06, 2008 5:54 PM
> *Subject:* Re: [amibroker] Sequential Optimizations for independent
> variables
>
> Hi Ton --
>
> A comment on your example of insisting on fast being less than slow in
> your example code ---
>
> I understand that that might just have been an example for ease of
> understanding.
>
> But when the moving average lengths are fast < slow, the system is trend
> following; when fast > slow, the system is mean reverting. Trading system
> developers might let fast and slow change relationship, which changes the
> type of system, creating an adaptive trading system.
>
> Thanks,
> Howard
>
>
>
> On Tue, Mar 4, 2008 at 3:04 PM, Ton Sieverding <ton.sieverding@scarlet.be>
> wrote:
>
> > Of course ... thanks.
> >
> > Regards, Ton.
> >
> >
> > ----- Original Message -----
> > *From:* Tomasz Janeczko <groups@xxxxxxxxxxcom>
> > *To:* amibroker@xxxxxxxxxps.com
> > *Sent:* Tuesday, March 04, 2008 10:41 PM
> > *Subject:* Re: [amibroker] Sequential Optimizations for independent
> > variables
> >
> > Hello,
> >
> > You should do this the other way round - don't generate trades when
> > values are conflicting:
> >
> > For example, in the main code (not in custom backtester), add the
> > following
> >
> > if( Fast > Slow )
> > {
> > PositionSize = 0; // don't enter any trades
> > }
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> >
> > ----- Original Message -----
> > *From:* Ton Sieverding <ton.sieverding@scarlet.be>
> > *To:* amibroker@xxxxxxxxxps.com
> > *Sent:* Tuesday, March 04, 2008 10:33 PM
> > *Subject:* Re: [amibroker] Sequential Optimizations for independent
> > variables
> >
> > Sure, I know Tomasz... But that doesn't solve my problem. And my problem
> > is that I am getting several conflicting values from the optimizer. In the
> > underneath mentioned code there is a logical rule that says : Fast must be
> > smaller than Slow. So when I am getting as optimal values a result like
> > let's say Fast = 100 and Slow = 10, there is something wrong from a logical
> > perspective. In practice I cannot accept these values. To avoid them I want
> > to alter the result of the 'Objective Function' ( ObFn ) during the
> > optimization process by simply changing the result in a very negative value
> > so that in the Sort it will no longer be on top of the list. During the
> > optimization process I need something like : if fast>slow then ObFn = -100.
> > And that doesn't work because AB tells me that I am using a variable ( fast
> > or slow ) not being initialized. What of course is correct. Therefore I
> > would like to get these values with GetValue(). Hoping not to get the error
> > message again -)
> >
> > Regards, Ton.
> >
> >
> >
> > ----- Original Message -----
> > *From:* Tomasz Janeczko <groups@xxxxxxxxxxcom>
> > *To:* amibroker@xxxxxxxxxps.com
> > *Sent:* Tuesday, March 04, 2008 9:28 PM
> > *Subject:* Re: [amibroker] Sequential Optimizations for independent
> > variables
> >
> > The values are available as a result of OPTIMIZE function:
> >
> > fast = Optimize("fast", 12, 5, 20, 1 ); // 'these are values of opt
> > variables
> > slow = Optimize("slow", 26, 10, 25, 1 );
> >
> > (note optimize calls should be on GLOBAL level (i.e OUTSIDE "if"
> > of custom backtest proc)
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> >
> > ----- Original Message -----
> > *From:* Ton Sieverding <ton.sieverding@scarlet.be>
> > *To:* amibroker@xxxxxxxxxps.com
> > *Sent:* Tuesday, March 04, 2008 9:14 PM
> > *Subject:* Re: [amibroker] Sequential Optimizations for independent
> > variables
> >
> > Thanks for that one and something else about optimization
> > Thomasz/Herman. I know how to get the built-in backtester statistics with
> > GetValue. Let's say :
> >
> > *RetValue = st.getvalue("CAR");*
> >
> > But how do I get the values of both optimized values in underneath
> > mentioned code ?
> > I tried the same way as above but failed. What I did was something like
> > :
> >
> > *OptFast = st.getvalue("fast");*
> > *OptSlow = st.getvalue("slow");*
> >
> > But that did gave me errors. What's wrong with that ? Why ? The
> > requested field is not available ? But didn't I initialize both fields in
> > the Optimize instruction ? Both fields show up in the optimization list in
> > AA. I don't understand what going wrong ...
> >
> > SetCustomBacktestProc("");
> > *if*( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> > bo.Backtest();
> > st = bo.GetPerformanceStats(0);
> > fast = Optimize("fast", 12, 5, 20, 1 );
> > slow = Optimize("slow", 26, 10, 25, 1 );
> > Regards, Ton.
> >
> >
> >
> > ----- Original Message -----
> > *From:* Tomasz Janeczko <groups@xxxxxxxxxxcom>
> > *To:* amibroker@xxxxxxxxxps.com
> > *Sent:* Tuesday, March 04, 2008 2:19 PM
> > *Subject:* Re: [amibroker] Sequential Optimizations for independent
> > variables
> >
> >
> > Opt = Optimize("TotalOpt",10,1,200,1);
> >
> > switch( 1 )
> > {
> > case TotalOpt <=100:
> > Opt1 = TotalOpt;
> > Opt2 = 10;
> > break;
> > case TotalOpt > 100:
> > Opt1 = 10;
> > Opt2 = TotalOpt - 100;
> > break;
> > }
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> >
> > ----- Original Message -----
> > *From:* Herman <psytek@xxxxxxca>
> > *To:* AmiBroker User Group <amibroker@xxxxxxxxxps.com>
> > *Sent:* Tuesday, March 04, 2008 2:10 PM
> > *Subject:* [amibroker] Sequential Optimizations for independent
> > variables
> >
> > Awhile back I suggested, on the feedback site, an option to perform
> > sequential optimizations. The response was that this is already possible,
> > however I can't figure out how. Can someone explain to me how to run the
> > following two optimizations sequentially, that is independently, one after
> > another?
> >
> >
> > Opt1 = Optimize("Opt1",10,1,100,1);
> >
> > Opt2 = Optimize("Opt2",10,1,100,1);
> >
> >
> > Sequential optimization would only require 200 opt cycles, while the
> > normal opt procedure is designed for dependent variables and requires 10,000
> > opt cycles. Sequential opts for independent variables would, in this case,
> > be almost 100 times faster. I bet many users don't consider whether the opt
> > variables are independent or not... doing so could turn a two hour opt into
> > a 1 minute opt.
> >
> >
> > AFAIK, Opt()s cannot be if()d, and their arguments cannot be changed
> > dynamically, right?
> >
> >
> > I must be (again) missing something obvious.
> >
> >
> > many thanks,
> >
> > herman
> >
> >
>
>
>
- 2a.
-
Fri Mar 7, 2008 12:27 pm (PST)
Hi Steve -- Be care to avoid a "future leak." If you use the following set of statements: settradedelays( 0,0,0,0);
BuyPrice = Open;
The you are telling AmiBroker to trade at the open of the bar that is used
to compute your signal. This causes a future leak -- like reading tomorrows
newspaper before you decide whether or not to buy at today's price.
The following set of statements has no future leak, since the signal is
computed today and trade taken tomorrow:
settradedelays(1,1,1,1);
BuyPrice = Open;
When you are using the Formula Editor, pull down the menu next to the "!"
mark, then click "Check." AmiBroker will report future leaks in the code it
is examining. (Note that it cannot look into the code that might be called
from your program, so be careful if you call external code).
Thanks,
Howard
www.quantitativetradingsystems.com
On Tue, Mar 4, 2008 at 4:08 AM, Steve Carlsson <stevecar144@iinet.net.au>
wrote:
> Hello all
>
> I have been testing a system with trade delays set to 1 for long short
> entry
> exit in the backtester and keep getting very different results if I
> alternatively code settradedealys(1,1,1,1) in the code. The results are
> hugely different....
>
> Just to clarify, when the settradedelays is used in the code the settings
> in
> the backtester are for no trade delays.
>
> Code below shows how I have used the Settradedelays..
>
> PositionSize = Close * (1200/(3*ATR(30))); //max risk/sls * close
> SetOption("InitialEquity", 120000 );
> SetOption("AllowPositionShrinking", True );
> SetOption("MaxOpenPositions", 10 );
>
> SetTradeDelays( 1, 1, 1, 1);
>
> trigger = Cross(C,Ref(LLV(L,14),-1));
> Cond1 = trigger;
> Cond2=ATR(30)/C >.01;
> Cond3=ATR(30)/C<.03;
> cond4= Close > Ref(HHV(Close,20),-1)-5*ATR(30);
> Cond5=MA(C,200)>Ref(MA(C,200),-50) + 6*ATR(200) ;
> cond7=MA(C,21)*MA(V,21)>200000;
>
> Buy = Cond1 AND Cond2 AND Cond3 AND Cond5 AND Cond7 AND Cond4;
> SellPrice = Open;
>
> Sell= C < Ref(LLV(C,2),-1);
>
> Steve Carlsson
> Home and Property Maintenance
> 12 WInsham Rd
> KARRINYUP WA 6018
> 0432990469
>
>
- 3a.
-
Fri Mar 7, 2008 12:51 pm (PST)
Louis, I answered your earlier post in message 120865. I believe that Example 1 from the first link of that post is what you are looking for. Mike --- In amibroker@xxxxxxxxxps.com, "Louis Préfontaine" <rockprog80@ ...> wrote:
>
> Hi Mike,
>
> Do you know how to create an artificial index with multiple tickers?
>
> Thanks,
>
> Louis
>
> 2008/3/6, Mike <sfclimbers@...>:
> >
> > Thomas,
> >
> > You only need to run the formula once (use selected symbol option
> > from AA window on any symbol), then you can reference the symbol
from
> > any _other_ script as applied against any number of symbols.
> >
> > Or, if you are trying to include the code segment within some
other
> > script applied to multiple symbols, what about wrapping the logic
> > inside an if condition such that it only gets executed the first
time
> > (e.g. use a static variable to control the flow
> > http://www.amibroker.com/guide/afl/afl_view.php?id=263 )
> >
> > ...
> > if (StaticVarGet("ATCFlag") != 1) {
> > AddToComposite(...);
> > AddToComposite(...);
> > AddToComposite(...);
> > AddToComposite(...);
> > StaticVarSet("ATCFlag", 1);
> > }
> >
> > I've never used statics, so double check the syntax above, and
test
> > what happens when the variable is Null.
> >
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxps.com <amibroker%40yahoogroups.com>,
Thomas
> > Ludwig <Thomas.Ludwig@>
> > wrote:
> > >
> > > Mike,
> > >
> > > thanks for your reply. In fact, I had tried the ATC solution
> > before. The
> > > problem: When used as an indicator (as mentioned in my previous
> > post)
> > > the chart looks as expected. However, with ATC the Open, High,
Low
> > and
> > > Close of both time series are added up. Thus, the logic of my
> > formulas
> > > that works for the indicator code doesn't work with ATC. Any
idea
> > how
> > > to modfiy that?
> > >
> > > Best regards,
> > >
> > > Thomas
> > >
> > > > Have a look at AddToComposite
> > > > http://www.amibroker.com/guide/afl/afl_view.php?id=7
> > > >
> > > > AddToComposite(Foreign("846900","o"), "~MyDAX", "O");
> > > >
> > > > AddToComposite(IIF(IsEmpty(Foreign("A0C4CA","h")),Foreign
> > > > ("846900","h"),Max(Foreign("846900","h"),Foreign
> > > > ("A0C4CA","h"))), "~MyDAX", "H");
> > > >
> > > > AddToComposite(IIf(IsEmpty(Foreign("A0C4CA","l")),Foreign
> > > > ("846900","l"),Min(Foreign("846900","l"),Foreign
> > > > ("A0C4CA","l"))), "~MyDAX", "L");
> > > >
> > > > AddToComposite(IIf(IsEmpty(Foreign("A0C4CA","c")),Foreign
> > > > ("846900","c"),Foreign("A0C4CA","c")), "~MyDAX", "C");
> > > >
> > > > New symbol ~MyDAX will appear under Market253 fully populated
> > > > according to your logic.
> > > >
> > > > Add flags for exploration and backtesting as needed.
> > > >
> > > > Mike
> > > >
> > > > --- In amibroker@xxxxxxxxxps.com <amibroker%
40yahoogroups.com>, Thomas
> > Ludwig <Thomas.Ludwig@>
> > > >
> > > > wrote:
> > > > > Hello,
> > > > >
> > > > > I want to create an artificial ticker from two existing
> > tickers. If
> > > >
> > > > I do
> > > >
> > > > > it this way:
> > > > >
> > > > > O1=Foreign("846900","o");
> > > > > H1=IIf(IsEmpty(Foreign("A0C4CA","h")),Foreign
("846900","h"),Max
> > > >
> > > > (Foreign("846900","h"),Foreign("A0C4CA","h")));
> > > >
> > > > > L1=IIf(IsEmpty(Foreign("A0C4CA","l")),Foreign
("846900","l"),Min
> > > >
> > > > (Foreign("846900","l"),Foreign("A0C4CA","l")));
> > > >
> > > > > C1=IIf(IsEmpty(Foreign("A0C4CA","c")),Foreign
> > ("846900","c"),Foreign
> > > >
> > > > ("A0C4CA","c"));
> > > >
> > > > > PlotOHLC(O1,H1,L1,C1,"MyDAX",colorBlack,styleCandle);
> > > > >
> > > > >
> > > > > ... I get it as an indicator - but that's not what I want.
In
> > order
> > > >
> > > > to
> > > >
> > > > > get an artificial ticker I guess that I have to export the
> > values
> > > >
> > > > to an
> > > >
> > > > > ASCII file and import it again using fputs() and fgets()
but I'm
> > > >
> > > > not
> > > >
> > > > > sure how to do it. Any suggestions would be highly welcome.
> > > > >
> > > > > Regards,
> > > > >
> > > > > Thomas
> > > >
> > > > 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
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>
- 4a.
-
Fri Mar 7, 2008 12:56 pm (PST)
Hello Thomas, Can you please explain how we can plot a horizontal line from the lower of the candle as a stop loss, not as what it showing in KB article? Regards. --- In amibroker@xxxxxxxxxps.com, Thomas Ludwig <Thomas.Ludwig@ ...>
wrote:
>
> This KB article by TJ might help you:
> http://www.amibroker.com/kb/2007/03/24/how-to-plot-a-trailing-stop-
in-the-price-chart/
>
> Regards,
>
> Thomas
>
> > I can't get the Plot function to plot the stop level at each point
> > during the duration of the trade. I'm using this which is at the
end
> > of my backtest AFL file. trailARRAY is an array with the current
> > stop level at each point, null otherwise.
> >
> > Nothing appears on the chart. Any ideas?
> >
> > Plot( trailARRAY, "trailing stop level", colorRed );
> >
> > --- In amibroker@xxxxxxxxxps.com, "Tomasz Janeczko" <groups@>
> wrote:
> > > Sure, use PlotShapes function.
> > > http://www.amibroker.com/f?plotshapes
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: "davemabe2000" <davemabe@>
> > > To: <amibroker@xxxxxxxxxps.com>
> > > Sent: Wednesday, March 05, 2008 11:02 PM
> > > Subject: [amibroker] How to Plot Trailing Stop from Analysis
Window
> > >
> > > > I'd like to plot the custom trailing stop that I'm using in
one
> > > > of my AFL scripts. I can create an array that contains the
> > > > current trailing stop, but I'm not sure how to plot it.
> > > >
> > > > I'd like to have it show up when I right-click on a trade in
the
> > > > analysis results window and select "Show Current Trade
Arrows".
> > > >
> > > > Also, when I do that the arrows appear as I'd expect, but then
> > > > when I new bar appears (during market hours) the trade arrows
> > > > disappear until I right-click and select "Show Current Trade
> > > > Arrows" again. Any way to get them to stay?
> > > >
> > > > Thanks!
> > > >
> > > >
> > > >
> > > > 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
> >
> >
> >
>
- 5a.
-
Fri Mar 7, 2008 1:00 pm (PST)
Which function would I use to signal a sell because it crossed a
moving average line today and had previously exceeded the value of a
higher one within a certain number of days? I want it to climb and
touch one line and then trigger a signal when it drops to a lower
line. Thanks, Lloyd
- 5b.
-
Fri Mar 7, 2008 2:26 pm (PST)
What about a combination of Cross and BarsSince? e.g. If close falls within 5 days of first passing original target: Sell = Cross(SecondConditi on, Close) && BarsSince(Cross(Close,
FirstCondition)) <= 5;
--- In amibroker@xxxxxxxxxps.com, "burlap58" <eversfm@xxx> wrote:
>
> Which function would I use to signal a sell because it crossed a
> moving average line today and had previously exceeded the value of a
> higher one within a certain number of days? I want it to climb and
> touch one line and then trigger a signal when it drops to a lower
> line. Thanks, Lloyd
>
- 6a.
-
Fri Mar 7, 2008 5:49 pm (PST)
Jeremy, Thks for posting the link. Since I haven't found any use for Vol so far (limited to EOD equity trading) and you have had some success with VPCI: Have you done much work with V indicators? If so, what is your pick as the top three? Any hints on how to use VPCI or should I just follow Dormeiers recommendations? brian_z --- In amibroker@xxxxxxxxxps.com, "jeremy7827110028" <jberkovits1@ ...> wrote:
>
> kethek,
>
> I dont know if you are familiar with the VPCI indicator. It was
> created by Buff Dormeier CMT of Wachovia Securities. Buff recived
the
> Charls Dow award for his orignal research. I have tested the VPCI
> extensivly and it has a stitastiaclly signifigant positive impact
on a
> wide vierity of systems. You might find it of value. here is a
link
> to the code and a TSC article from July 2007.
>
> Regards,
>
> jeremy
>
>
http://www.traders.com/Documentation/FEEDbk_docs/Archive/072007/Trader
sT
> ips/TradersTips.html#amibroker
>
- 6b.
-
Fri Mar 7, 2008 7:21 pm (PST)
Anyone? Here is why I can't get past first base with volume indicators. I have made some quick and dirty changes to Tomasz's Price * Volume code. If it is plotted it tallies the number of times that a (vol + price) up day is followed by a win (another price upday). In some old DJI components data I find that the result starts to approach 50% quite quickly (approx 2600 data points). Given the inherent errors in such a quick and dirty method it is around what I expect for a no-win signal. (for the deep thinkers 50/50 is the binomial equivalent of the golden mean). a) Insert the code into a new indicator pane. b) Scroll back to the beginning of a chart to see all of the plots and cross-check the outputs against the chart. c) Scroll to the end of the chart to get symbol by symbol totals. d) Use the keyboard arrow keys to scroll down the symbols list. //P_VolPriceSynchro nization
//adapted from code by Tomasz Janeczko
//Lookback = Param("Change lookback", 1, 1, 100 );
//ChgPrice = ROC( C, Lookback );
//ChgVolume = ROC( V, Lookback );
ChgPrice = ROC( C,1);
ChgVolume = ROC( V,1);
BothUp = IIf( ChgPrice > 0 AND ChgVolume > 0, 1,0);
//Period = Param("Sum period", 25, 1, 100 );
Plot( Sum( BothUp,1), "UpVolANdPrice", colorRed );
Upday = ROC(C,1) > 0;
Plot(Upday, "CloseUpday", colorBlue,2 );
TotalUpdays = Cum(IIf(Upday,1,0));
TotalBothUp = Cum(BothUp);
Plot(TotalBothUp, "TotalBothUp", colorBlack);
BothUpWin = Upday == 1 AND Ref(BothUp,-1) == 1;
TotalBothUpWin = Cum(IIf(BothUpWin,1,0));
Plot(TotalBothUpWin, "WinFollowsVPDay", colorGreen);
If the raw signal is not significant can we improve on that by using
some form of mathematical conditioning?
brian_z
--- In amibroker@xxxxxxxxxps.com, "brian_z111" <brian_z111@...> wrote:
>
> Jeremy,
>
> Thks for posting the link.
>
> Since I haven't found any use for Vol so far (limited to EOD equity
> trading) and you have had some success with VPCI:
>
> Have you done much work with V indicators?
> If so, what is your pick as the top three?
>
> Any hints on how to use VPCI or should I just follow Dormeiers
> recommendations?
>
> brian_z
>
> --- In amibroker@xxxxxxxxxps.com, "jeremy7827110028"
> <jberkovits1@> wrote:
> >
> > kethek,
> >
> > I dont know if you are familiar with the VPCI indicator. It was
> > created by Buff Dormeier CMT of Wachovia Securities. Buff
recived
> the
> > Charls Dow award for his orignal research. I have tested the
VPCI
> > extensivly and it has a stitastiaclly signifigant positive impact
> on a
> > wide vierity of systems. You might find it of value. here is a
> link
> > to the code and a TSC article from July 2007.
> >
> > Regards,
> >
> > jeremy
> >
> >
>
http://www.traders.com/Documentation/FEEDbk_docs/Archive/072007/Trader
> sT
> > ips/TradersTips.html#amibroker
> >
>
- 7.
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Fri Mar 7, 2008 7:04 pm (PST)
for example, use opentick to backfill then switch to IB for realtime data. thanks ____________ ______________________________________________
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- 8a.
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Fri Mar 7, 2008 11:56 pm (PST)
Press the F4 key twice. Takes you to drop down symbol list. Type your symbol and press the enter key. R On Fri, Mar 7, 2008 at 7:14 PM, davemabe2000 < davemabe@xxxxxxcom> wrote: > Is there a way to get Amibroker to recognize typing in a chart as > entering a ticker symbol to change the chart to? > > Right now I have to click to focus on the chart and then go to the > main window and type in the symbol field. > > Not only would it save time and a few clicks to automatically > recognize it in the chart, but it would enable apps like Trade-Ideas > that enable clicking in one application and having it linked to a > charting program (like Amibroker). > > Is this possible? > > > > 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 > > > >
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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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