Re: [amibroker] Daily system as a filter for intraday system, AmiBroker Email List Archive

Ed,

Sorry for the delay, seems volatility has picked up. I believe the problem with your code below is that in my daily system, there is not a continuous condition for buyDaily as C > emaDaily. There is a set of conditions that trigger a buy and the system is long until it goes short. Therefore, buyDaily is only true, or equal to 1, on the day the daily system has a buy. I need a different way to define long or short, perhaps based on the last signal. Any ideas?

James

----- Original Message ----
From: Edward Pottasch <empottasch@xxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, September 16, 2008 2:22:31 AM
Subject: Re: [amibroker] Daily system as a filter for intraday system

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@xxxxxxxxx ps.com

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