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Hello,
> I thought AB default was to load a 'few' more bars than required by
> AFL
It does so for indicators, commentaries, tooltip display and interpretations.
It does NOT do so in AA.
Why? It was discussed in the past already.
I am wondering if any other vendor on this planet gives you inside out information
about literally everything. I should probably start saying "because of technical reasons. period".
But OK, lets go over it once again.
There are two main reasons for that:
a) AddToComposite use.
When you create composites you want them to include all data consistently,
not only say one last bar if it happens that you run scan on one last bar only
b) Trading system consistency and accurracy.
Your trading system may rely on indicators that have recursive formulation
(functions like Cum, EMA, AMA) and others having "unknown" lookback period
(ValueWhen). Because of such formulation they use unlimited or nearly unlimited
lookback period. Your trading system results may be severely affected if
you truncate time series. What does not matter for charts (due to display limitations
you can not really see difference of less than 0.5..1% on charts), may be important
if you use trading system. The same also applies for exploration. You probably
want full accurracy.
If AmiBroker truncated data series in AA by default, we would simply get
dozens of e-mails saying "results are inaccurrate/incorrect" simply because
most people are unaware of things like recursion. I have seen people comparing
absolute values of indicators such as Chaikin Oscillator, without understading
its concept of running sum over all loaded bars. Now if AA did not load all data,
they would run the same exploration code with different "start" date and they would
get different result at the same "end" date.
At support we already spend significant amount of time educating on such basic things.
For advanced users, who know what they are doing, there is a pad and align feature
that allows to use artificial ticker to control on how many bars your code is run in AA.
I have posted artificial ticker code earlier. If I implement it in "easier" way, I am still
going to "hide" it from "casual user" because of points rised above.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "brian_z111" <brian_z111@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, May 02, 2008 4:29 AM
Subject: [amibroker] Re: Copying/Limiting Database history
>> Fred and I and probably
>> others clone symbols to a specified date minus 252 bars to allow
> long
>> lookback functions to stabilize. This data truncation has a
>>PROFOUND
>> impact on execution times.
>
> Can anybody please explain why this speeds up execution.
>
> I thought AB default was to load a 'few' more bars than required by
> AFL, so if the formula filters by datenum OR range OR barindex etc
> why is that slower than using 'Pad and Align' with a 'shortened'
> symbol.
>
> Doesn't AFL only load and process from the filtered date on?
> If not, what does it do?
>
> What does a 'Pad and Align',with a 100 bar reference, do differently
> to a barindex filter of 100 days, as far as loading and processing
> time goes?
>
> I would appreciate it if anyone can clear this up for me.
>
> brian_z
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "bruce1r" <brucer@xxx> wrote:
>>
>> Herman -
>>
>> First, I agree, the new status functions look wonderful and will
> allow
>> some interesting app's.
>>
>> In reference to your note about cloning data, I've tried lobbying
> TJ
>> at conferences for 2 years to add this to the Settings. He
>> acknowledges the gain, so maybe someday soon. Fred and I and
> probably
>> others clone symbols to a specified date minus 252 bars to allow
> long
>> lookback functions to stabilize. This data truncation has a
> PROFOUND
>> impact on execution times. Depending on the amount of AFL code, and
>> if you only need a couple years of history, speedups of 3x+ are not
>> uncommon. Very important to optimizations.
>>
>> There is another way, though, and that is why I thought I'd write a
>> quick note. If this method was available through COM automation, I
>> would have used it instead of cloning because the overhead is
> minimal
>> and the benefits are almost as great.
>>
>> Go into settings and set "Pad and align...", and set the reference
>> symbol to a ticker that covers the desired date range minus a number
>> of bars for functions to stabilize. For example, if you were using
>> the QP3 database, you might set it to IEZ, which started in 5/5/2006
>> to get a 1 year history minus 1 year of bars for stabilization. You
>> will get a significant speedup.
>>
>> Plus it is simpler than an export/import. Just remember to "un-set"
>> it when it isn't needed.
>>
>> Bruce R.
>>
>
>
>
> ------------------------------------
>
> 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:
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>
> For other support material please check also:
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>
>
>
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