Re: [amibroker] Daily system as a filter for intraday system

["Edward Pottasch" <empottasch@xxxxxxxxx>]

hi James,

 

what you need to do is use the same timeframes in the Buy/Sell equations.

 

So for instance you are working in the 1-minute time frame then you define your daily constraints as:

 

// set timeframe

TimeFrameSet( inDaily );
emaDaily = EMA(C,50); buyDaily = C > emaDaily;

// restore to current time frame
TimeFrameRestore();

 

// expand the Daily timeframe array to the timeframe you are using currently

buyDaily = TimeFrameExpand( buyDaily, inDaily );

 

// now you can use this array in your buy/sell constraints

Buy = Cross (High, BuyUpper) AND buyDaily;

 

regards,Ed

 

----- Original Message -----

From: James

To: amibroker@xxxxxxxxxxxxxxx

Sent: Monday, September 15, 2008 11:16 PM

Subject: [amibroker] Daily system as a filter for intraday system

I would like to test using a daily system as a filter for an intraday system so that long positions are only taken if the daily system is long and vice-versa.

I understand the set time frame aspect, what I don't understand is how to set the daily system's position as a condition. See AFL thought illustration in red below. Could someone point me in the right direction.

 

Buy = Cross (High, BuyUpper) AND (Daily system is long);
Sell = Cross (StopLower, Low);
Short = Cross (SellLower, Low) AND (Daily system is short); 
Cover = Cross (High, StopUpper);

Thank you,

James

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