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also this should work
buyprice=buy*buyprice*0.01+not(buy)*buyprice,
since you don't trade if buy is zero, the second part is useless, but
is equivalent to the iif statemet proposed.
I wonder if the above solution is slower tha IIF
regards
ly
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine" <rockprog80@xxx>
wrote:
>
> Hi all,
>
> Wow what a nice thread! I feel like I finally asked omething that's
> intelligent enough to be worthy! ;-)
>
> Some thoughts:
>
> 1)Graham and Tomasz: I really like the simplicity of the SetOption(
> "PriceBoundChecking", 0 ); Kind of funny. I was scratching my
head all
> over and that was all there, so easy... Thanks! I was wondering, is
> there any hidden danger of setting priceboundchecking to "off"? I mean:
> what is the utility of this anyway?
>
> 2) Howard, thank you a lot for your loop. What I am wondering, is
what can
> be the advantage of such a loop over a more simple IIF command? I'd
like to
> use loops in my codes, but so far I found nothing that needed a loop
badly,
> or maybe I am missing something? What I am trying to do is to
change that %
> adjustment depending on situations. I'd like to set like 5-10 different
> conditions of my own; would that be easier to do with a loop or with
IIF?
> Also, does it take longer for a loop? If I scan thousands of tickers in
> 1-minute bars, can it be a problem? Thanks!
>
> 3) Barry: I understand your point. Why I badly need such slippage
> adjustment is because I want to trade in less liquid markets and I
want the
> results to be more accurate. When there is a 1-2% difference
between bid
> and ask, well that's the difference between buying a new home or
dinning at
> the YMCA in the long run...
>
> Thank you all,
>
> Louis
>
>
>
>
> 2008/7/2 Howard B <howardbandy@xxx>:
>
> > Hi Ed --
> >
> > The question I received wanted the solution to be programmed using
a loop.
> >
> > Thanks,
> > Howard
> >
> >
> >
> > On Wed, Jul 2, 2008 at 10:26 AM, Edward Pottasch <empottasch@xxx>
> > wrote:
> >
> >> hi Howard,
> >>
> >> why use a loop, why not use IIF?
> >>
> >> BuyPrice = IIF(Buy,BuyPrice * 1.01, BuyPrice);
> >>
> >> rgds, Ed
> >>
> >>
> >>
> >>
> >> ----- Original Message -----
> >> *From:* Howard B <howardbandy@xxx>
> >> *To:* amibroker@xxxxxxxxxxxxxxx
> >> *Sent:* Wednesday, July 02, 2008 7:11 PM
> >> *Subject:* Re: [amibroker] Re: Buyprice and sellprice...
> >>
> >> Greetings all --
> >>
> >> I received a private email asking for more clarification about
the code
> >> segment I posted. Since the technique may be of general
interest, I've
> >> posted it to the forum.
> >>
> >> Here is a complete trading system that adjusts the BuyPrice and
SellPrice,
> >>
> >> under the control of a Param.
> >>
> >> Replace the simple moving average crossover for the Buy with a more
> >> intelligent one of your own. And the Sell as well.
> >>
> >> Run this with AdjustBuyPrice set to 0, and again with it set to 1.
> >>
> >> For each run, open the Report, then look at Trades and compare
the price
> >> of entry and exit.
> >>
> >> /////////////////////////////////////////////////////
> >>
> >> // adjustBuyPrice.afl
> >>
> >> // In response to a question on the Yahoo AmiBroker Forum,
> >> // this code shows one way to adjust the Buyprice and Sell Price,
> >> // perhaps to model slippage.
> >>
> >> // Howard Bandy
> >> // July 2, 2008
> >>
> >>
> >> SetTradeDelays(0,0,0,0);
> >> BuyPrice = C;
> >> SellPrice = C;
> >>
> >> // When AdjustBuyPrice is 0, no changes are made
> >> // When AdjustBuyPrice is 1, BuyPrice and Sell Price are adjusted
> >>
> >> AdjustBuyPrice = Param("adjBuyPrice",0,0,1,1);
> >>
> >> MA1 = 10;
> >> MA2 = 5;
> >> Buy = Cross(MA(C,MA1),MA(C,MA2));
> >>
> >> if (AdjustBuyPrice)
> >> {
> >> for (i=0; i<BarCount; i++)
> >> {
> >> // test to see if there was a Buy on this bar
> >> // and if there was, adjust BuyPrice
> >> if (Buy[i] == 1)
> >> {
> >> BuyPrice[i] = 1.01*BuyPrice[i];
> >> }
> >> }
> >> }
> >>
> >> Sell = BarsSince(Buy)>=3;
> >>
> >>
> >> if (AdjustBuyPrice)
> >> {
> >> for (i=0; i<BarCount; i++)
> >> {
> >> // test to see if there was a Sell on this bar
> >> // and if there was, adjust SellPrice
> >> if (Sell[i] == 1)
> >> {
> >> SellPrice[i] = 0.99*BuyPrice[i];
> >> }
> >> }
> >> }
> >>
> >>
> >>
> >>
> >>
> >> //////////////////////////////////////////////////////
> >>
> >> Thanks,
> >> Howard
> >> www.quantitativetradingsystems.com
> >>
> >> On Wed, Jul 2, 2008 at 9:08 AM, Dennis Brown <see3d@xxx> wrote:
> >>
> >>> Barry,
> >>>
> >>> About the only comment I can make is that I have produced
systems the
> >>> generate in real life what they backtest to. If you understand all
> >>> the issues, you can make it match. Another point is that when I
trade
> >>> against my system --deciding the best second to send the order after
> >>> it says to send it, I generally get a better result. This is trading
> >>> one minute bars. It all just depends on the details of the
system and
> >>> the trader --and the delays from the data feed.
> >>>
> >>> Other than that, I generally agree with your assessment.
> >>>
> >>> BR,
> >>> Dennis
> >>>
> >>>
> >>> On Jul 2, 2008, at 11:40 AM, Barry Scarborough wrote:
> >>>
> >>> > I guess I will start a debate that I don't intend to
participate in
> >>> > but state it for consideration. It seems many are trying to tweak
> >>> > their back tester to find the absolute best performance but
include
> >>> > intangibles like slippage. Back testing, in my opinion, should
only
> >>> > be used to compare systems to find which out performs another.
That
> >>> > is all you need to do because the market will change and the
system
> >>> > will not work as you expect. So it is a waste of time to try
to eek
> >>> > our more gain or try to factor in slippage or all such nonsense.
> >>> >
> >>> > Why do I say this? I have a system that consistently will back
test
> >>> > 200% to 1000% A DAY using 1 Russell emini contract ER2 and a 1
minute
> >>> > chart. In longer periods the gain is less and I use various time
> >>> > periods and data samples. In the real world it does not make a
profit
> >>> > on a 1 minute chart. But that system works much better than
one that
> >>> > back tests with less gain and the system does not even start
to make
> >>> > a consistent gain with a period under 15 minutes. Using hour
charts
> >>> > it is much better but no where near 200% a day the back tester
shows.
> >>> >
> >>> > The problem is when you enter the real world, especially with auto
> >>> > trading, whipsaw during sideways periods and during trend changes
> >>> > will eat your lunch. Auto trading will come close to getting the
> >>> > value of the close at the time the signal was generated by your
> >>> > system. But there is slippage and that can be significant
depending
> >>> > on the buy/ask spread and the volatility of the market. You can't
> >>> > predict what it will be. Don't even try! Even if you use a simple
> >>> > button pushing auto trading system, where you hit the buy or sell
> >>> > button when you see your signal, you can't hit the button fast
enough
> >>> > to simulate the price you get on the static chart. So your results
> >>> > will not come close to your back test results. I REPEAT NOT EVEN
> >>> > CLOSE!!! So it is a waste of time to do more than use back
testing to
> >>> > compare systems. Trying to predict what it will do in the real
world
> >>> > is deceitful, sheer folly, don't do it.
> >>> >
> >>> > Well that's my two cents worth. I am going back to sleep now.
> >>> >
> >>> > Cheers,
> >>> > Barry
> >>> >
> >>> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>,
> >>> "Howard B" <howardbandy@> wrote:
> >>> >>
> >>> >> Hi Louis --
> >>> >>
> >>> >> Perhaps write a simple loop?
> >>> >>
> >>> >> for (i=0; i<BarCount; i++)
> >>> >> {
> >>> >> // test to see if there was a Buy on this bar
> >>> >> // and if there was, adjust BuyPrice
> >>> >> if (Buy[i] == 1)
> >>> >> {
> >>> >> BuyPrice[i] = 1.01*BuyPrice[i];
> >>> >> }
> >>> >> }
> >>> >>
> >>> >> Or am I missing something?
> >>> >>
> >>> >> Thanks,
> >>> >> Howard
> >>> >>
> >>> >>
> >>> >>
> >>> >>
> >>> >> On Tue, Jul 1, 2008 at 9:27 PM, tayamaan <tayamaan@> wrote:
> >>> >>
> >>> >>> Louis, you now assume your slippage to be 1%, which is a guess
> >>> >>> anyways. It differs per situation what your system considers
to be
> >>> >>> the Buy/Sell Price and what you actually pay or get at the
market.
> >>> >>> These are still two different things. I wouln't know how to
> >>> > calculate
> >>> >>> the real slippage, all you can do is comparing the difference
> >>> > over a
> >>> >>> period of time and take some kind of average.
> >>> >>>
> >>> >>> Adrian
> >>> >>>
> >>> >>> --- In amibroker@xxxxxxxxxxxxxxx
<amibroker%40yahoogroups.com><amibroker%
> >>> 40yahoogroups.com>,
> >>> > Graham
> >>> >>> <kavemanperth@> wrote:
> >>> >>>>
> >>> >>>> turn off the option of PriceBoundChecking in the Analyser
> >>> > settings
> >>> >>> of in the AFL
> >>> >>>>
> >>> >>>> SetOption( "PriceBoundChecking", 0 );
> >>> >>>>
> >>> >>>> --
> >>> >>>> Cheers
> >>> >>>> Graham Kav
> >>> >>>> AFL Writing Service
> >>> >>>> http://www.aflwriting.com
> >>> >>>>
> >>> >>>>
> >>> >>>> 2008/7/2 Louis Préfontaine <rockprog80@>:
> >>> >>>>> Hi,
> >>> >>>>>
> >>> >>>>> But is it possible to set the backtester to consider that the
> >>> >>> buyprice was
> >>> >>>>> let's say 1% higher than the Close on the bar the trade was
> >>> > made?
> >>> >>>>>
> >>> >>>>> That's what I tried to do. If it's complicated, I can live
> >>> > with
> >>> >>> this (well,
> >>> >>>>> I can at least try, since I believe I am still a beginner in
> >>> >>> understanding
> >>> >>>>> AFL), but I'd need to know if it is possible, and if yes, what
> >>> >>> can be a good
> >>> >>>>> start...
> >>> >>>>>
> >>> >>>>> Was I on the right track with
> >>> >>>>>
> >>> >>>>> SetTradeDelays( 1, 1, 1, 1 );
> >>> >>>>> BuyPrice = c*1.01;
> >>> >>>>> SellPrice = c*0.99;
> >>> >>>>>
> >>> >>>>> Cause it does not work at all...
> >>> >>>>>
> >>> >>>>> Thanks again,
> >>> >>>>>
> >>> >>>>> Louis
> >>> >>>>>
> >>> >>>>> 2008/7/1 Graham <kavemanperth@>:
> >>> >>>>>>
> >>> >>>>>> Then you need to set out exactly what you need to do and
> >>> > write
> >>> >>> the afl to
> >>> >>>>>> match
> >>> >>>>>> It is all logical steps
> >>> >>>>>> I do it by writing down all the restrictions and
> >>> > possibilities
> >>> >>> and
> >>> >>>>>> what I need at the end and how I think is best way to achieve
> >>> >>> this
> >>> >>>>>> ......... in detail. There are no short cuts and can be very
> >>> >>> tedious.
> >>> >>>>>> I also more often than not write out a flow chart to map all
> >>> >>>>>> decisions, inputs, outputs, calculations etc.
> >>> >>>>>>
> >>> >>>>>> --
> >>> >>>>>>
> >>> >>>>>> Cheers
> >>> >>>>>> Graham Kav
> >>> >>>>>> AFL Writing Service
> >>> >>>>>> http://www.aflwriting.com
> >>> >>>>>>
> >>> >>>>>> 2008/7/2 Louis Préfontaine <rockprog80@>:
> >>> >>>>>>> Hi Adrian,
> >>> >>>>>>>
> >>> >>>>>>> Thanks for your suggestion. But still... How can I do
> >>> > this? I
> >>> >>> mean: I
> >>> >>>>>>> want to be precise. With the kind of markets I am in and
> >>> > what
> >>> >>> I am
> >>> >>>>>>> trying
> >>> >>>>>>> to do, precision is very important... I need to be able to
> >>> > set
> >>> >>> a
> >>> >>>>>>> particular % adjustment for particular situations...
> >>> >>>>>>>
> >>> >>>>>>> Louis
> >>> >>>>>>>
> >>> >>>>>>> 2008/7/1 tayamaan <tayamaan@>:
> >>> >>>
> >>> >>>>>>>>
> >>> >>>>>>>> Hi, if you would really like to try to compensate for
> >>> >>> slippage,
> >>> >>>>>>>> adding this to your commissions as part of your
> >>> > transaction
> >>> >>> costs is
> >>> >>>>>>>> perhaps an idea.
> >>> >>>>>>>>
> >>> >>>>>>>> Adrian
> >>> >>>>>>>>
> >>> >>>>>>>>> Hi Graham,
> >>> >>>>>>>>>
> >>> >>>>>>>>> How can I put more information so that my buy price is
> >>> > 1%
> >>> >>> higher
> >>> >>>>>>>> than C and
> >>> >>>>>>>>> sell price 1% lower than C?
> >>> >>>>>>>>>
> >>> >>>>>>>>> Thanks,
> >>> >>>>>>>>>
> >>> >>>>>>>>> Louis
> >>> >>>>>>>>>
> >>> >>>>>>>>> 2008/7/1 Graham <kavemanperth@>:
> >>> >>>>>>>>>
> >>> >>>>>>>>>> Without more information on what you are trying to
> >>> > achieve
> >>> >>>>>>>>>> The price will be for the bar of actual entry C*1.01
> >>> > or
> >>> >>> C*0.99
> >>> >>>>>>>>>>
> >>> >>>>>>>>>> Also the prices may be outside than the bar range in
> >>> >>> which case
> >>> >>>>>>>> the
> >>> >>>>>>>>>> closer of high or low is used if you have the
> >>> >>> PriceBoundChecking
> >>> >>>>>>>> on
> >>> >>>>>>>>>>
> >>> >>>>>>>>>> --
> >>> >>>>>>>>>> Cheers
> >>> >>>>>>>>>> Graham Kav
> >>> >>>>>>>>>> AFL Writing Service
> >>> >>>>>>>>>> http://www.aflwriting.com
> >>> >>>>>>>>>>
> >>> >>>>>>>>>> 2008/7/1 Louis Préfontaine <rockprog80@ <rockprog80%
> >>> >>>>>>>> 40gmail.com>
> >>> >>>>>>>>>>> :
> >>> >>>>>>>>>>
> >>> >>>>>>>>>>> Hi,
> >>> >>>>>>>>>>>
> >>> >>>>>>>>>>> I have been trying to set a formula for slippage:
> >>> >>>>>>>>>>>
> >>> >>>>>>>>>>> SetTradeDelays( 1, 1, 1, 1 );
> >>> >>>>>>>>>>>
> >>> >>>>>>>>>>> BuyPrice = C*1.01;
> >>> >>>>>>>>>>> SellPrice = C*0.99;
> >>> >>>>>>>>>>>
> >>> >>>>>>>>>>> It doesn't work at all. I tried to write C*50 just
> >>> > for
> >>> >>> fun, but
> >>> >>>>>>>> it didn't
> >>> >>>>>>>>>>> change the buyprice at all. What can possibly be
> >>> > wrong?
> >>> >>>>>>>>>>>
> >>> >>>>>>>>>>> Thanks,
> >>> >>>>>>>>>>>
> >>> >>>>>>>>>>> Louis
> >>> >>>>
> >>> >>>
> >>> >>>
> >>> >>>
> >>> >>
> >>> >
> >>> >
> >>> >
> >>> > ------------------------------------
> >>> >
> >>> > 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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