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Peter,
Yes, you can modify them. However, unless you are using tick data it
is hard to determine if a bar has a bad H or L. Once you load up a
longer timeframe, or Volume or Range bars it becomes more difficult to
filter them properly. Of course you can switch timeframes after the
fact with timeframe functions, but the actual chart display and
studies will continue to run in the original timeframe. That is the
thing that killed my plans to filter in one chart --I could not set
the display timeframe to match the timeframe shifted data.
Best of luck getting it to work, Let us know if you succeed.
Dennis
On Sep 1, 2008, at 5:21 AM, bleifish wrote:
> Hi Dennis,
>
>
> thank you for your helpfull comment.
>
> I just got the idea, to modify the O,H,C,L-Values infront
> of the indicator code instead of using "AddToComposite". They aren't
> write-only, as I expected.
>
> It seems to work, as check with this code:
>
> O=L;
> C=H;
> Plot(C,Name(),colorGreen,styleBar);
>
> Best regards
> Peter
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>>
>> Peter,
>>
>> I struggled with this problem for some time. I did come up with a
>> solution I applied to 5 second data, but I was not really happy
> with
>> the results because it was slow, complex and was not 100%
> correct.
>> Using tick data would make for a better algorithm, but that would
> have
>> been even slower to process.
>>
>> The basic idea I used was to have a filter chart that ran at the
>> native database timeframe which looked for and removed bad ticks
> (just
>> using a test of reasonableness between 3 sequential bars). It
> would
>> write out the cleaned up data to an artificial ticker with
>> AddToComposite(). My main chart would be set to this artificial
>> ticker. Both charts would have to be running all the time.
>>
>> However, this ran very slow. So I added complexity for the main
> chart
>> to pass its timeframe and bar start time to the filter chart. The
>> filter chart would then figure out what the current incomplete bar
>> data would be and pass that back to the main chart to modify its
> last
>> bar. Only when the bar was complete would the filter chart do an
> ADC
>> write of a new ticker. This is just the quick overview. There
> were
>> other edge conditions to consider. This ran fast enough to be
> usable
>> in most cases, but was a nightmare to maintain. If AFL had the
>> ability to do this all in one chart without messing up the display
>> timeframe I would have stayed with it, but it was too hard to
> maintain
>> this dual chart setup.
>>
>> I decided I would not trade equities or ETFs any more because the
> bad
>> tick was such a problem realtime. I solved all my bad tick problem
> by
>> switching to trading only market index futures. The data is very
>> clean and bad ticks are not part of my concerns for trading now.
>>
>> I found several other factors to be superior for futures vs
> equities
>> so I would not go back now even if the equities data were perfect.
>> However, some trade strategies are not designed for market indexes
> and
>> would not work on futures.
>>
>> BTW, Bad ticks (data integrity) has been discussed at length in
> past
>> posts by Tomasz and others.
>>
>> Best regards,
>> Dennis
>
>
>
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