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Thanks Brian.
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Correction.
>
> Example:
>
> IF you want ATR for 5 daily bars in 5 min RT -
>
> - use NewDay to mark the start of each daily bar
> - one day == 78 bars (careful with this if days have data missing)
> - use HHV(newday) to get the intraday H and L
> - find the previous close (close of lastbar before NewDay)
> - use ValueWhen to get PrevC, H and L for lookback 'daily' bars
> - manually calc the TrueRange for each 'daily bar' (geatest of H - L OR PrevClose - L OR
> PrevClose - H)
> - and then average the result from each of the last 5 'days'
> - include the current RT build as day 1
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > nizar.mahri
> >
> > Re the previous discussions on this issue ... I think the difficulties of comms via the internet contribute more to detracting from an outcome rather than the degree of difficulty of the code.
> >
> >
> > I have done a good deal of thinking about the correspondence between intraday bars (any reasonable period) and daily bars ... I haven't written much code though as I do most of the tesing in my head.
> > So, I do understand your trade quite well.
> >
> > I am very sorry but I don't think I can write any code examples at the moment, however some comments might help you.
> >
> > From Barry's comments:
> >
> > Barry is writing an example for AT and I believe it is correct.
> > I agree with his definition that we are considering the intraday 'build' of the daily bar ... that is what I call it.
> > The 'build' changes with time ... if it can only change in one direction e.g. Sum(V) I call that a progressive indicator (it uses lookback periods.... compare that to a dynamic indicator e.g. an UpBar which is contained in a single timeframe.
> >
> > His objective is to 'latch' the intraday signal, using a StaticVar, so that intraday 'bounce' won't produce on again/off again signals for the AT engine (or whatever is is called).
> >
> > I don't autotrade but I guess this is a major consideration in AT systems.
> >
> > He does say that it is not for backtesting.
> >
> >
> >
> > For Scanning/BT use:
> >
> > - IMO you should do this in the RT database of your choice (5 min bars etc)
> >
> > - the intraday timing improves granularity
> > - as soon as all your ducks are in a row you have to buy (system rules) and AB will only let you into one trade per symbol ... even if one of your indicators is dynamic and bounces off again it is too late to pull out of the trade (this is the BT equivalent of the AT latched buy signal).
> > - scanning large numbers of stocks RT may be a problem but since you were formerly trading this system EOD it seems a big step to then go to 30 sec timeframes for a refined intraday entry
> > - smaller RT timeframes will give you a more accurate entry with the progressive indicators e.g. Open to Close % change but cause 'bounce' with your dynamic indicators e.g. UpBar (a 5 min UpBar may disappear into a the 'smoothed' 15 min bar.
> > - Since your exit is a volatility trailing stop it should be possible to translate that into the corresponding RT code.
> >
> > Looking at your indicators they seem to be a progressive build starting from the daily open so your barsince(newday) code should be doing the trick for you.... at a guess I would say you are stuck on the idea of compressing RT bars into daily bars and somehow seeing it all there but there is absolutely no need for that approach.
> >
> > Example:
> >
> > IF you want ATR for 5 daily bars in 5 min RT -
> > - use NewDay to mark the start of each daily bar
> > - one day == 78 bars
> > - use HHV(newday) to get the intraday H and L
> > - manually calc the TrueRange for each 'daily bar' (geatest of H - L OR O - L OR O - H)
> > - and then average the result from each of the last 5 'days'
> > - include the current RT build as day 1
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "nizar.mahri@" <nizar.mahri@> wrote:
> > >
> > > Brian.
> > >
> > > This is what Barry over at the AT board said in response to a similar request, I think it may be helpful in my case here.
> > >
> > > One thing you need to realize is that using intraday data as it comes
> > > in reduces the need to use the formula as you have it designed or
> > > even the necessity to use smaller time frames. When data comes in
> > > Close is the last tick value. We usually think of close as the price
> > > at the end of the bar. But when intraday data is building a bar the
> > > last tick is the close and when the next one comes in that is the
> > > close, etc., until the end of the bar. Then it is set in concrete.
> > > The fist tick to come in is the open. The highest and lowest are the
> > > high and low tick so far. The next tick may be higher or lower. Just
> > > stop and think about that for a minute. It tool a while before it got
> > > past all my white hair.
> > >
> > > I am assuming again but I think you intend to use this in auto
> > > trading mode. If so you are looking for the first tick that meets or
> > > exceeds your entry price. Then you need to change the formula to:
> > >
> > > LastC = LastValue(c);
> > > // when your set up is reached set BuySetup True
> > > BuySetup = Ref(Open,0) < EntryPrice AND LastC > EntryPrice;
> > > // if buySetup is true save your target price
> > > if(LastValue(BuySetup))
> > > StaticVarSet("BuyTarget", LastC + yourStopDelta);
> > > // when C >= to your target price you send a buy order
> > > Buy = LastC >= StaticVarGet("BuyTarget");
> > > // set the buy value when you sent the order
> > > BuyPrice = iif(buy, LastC, 0);
> > >
> > > Using a static var will save the setup condition because the next
> > > tick may make the condition false and you could miss the trade or set
> > > the trade at a later time. Setting it in a static will eliminate the
> > > need to use shorter time frames to see the condition. High might work
> > > here but I think AFL will wait until the end of the bar to act on > H
> > > logic. Using static vars will allow you to send the order mid bar,
> > > which is what I think you want to do.
> > >
> > > Set BuyPrice to the last C because you want to catch the actual value
> > > where the trade was triggered and transmitted to TWS.
> > >
> > > The rub to what I just wrote is that it will not back test. But in my
> > > opinion back testing is a waste of time once you have your design
> > > completed, optimized and back tested on static out of sample blocks
> > > of data. If you want to back test this and get really close to actual
> > > trade value create a new database for tick data. You can run two
> > > instances of AB, one for tick data and another instance for minute
> > > data. I do this often to capture data to use in BarReplay, which is
> > > an awesome place to do debugging. I use 5 second data rather than
> > > tick data. I think IB only sends tick data three times a second so 5
> > > second data may be more accurate.
> > >
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "nizar.mahri@" <nizar.mahri@> wrote:
> > > >
> > > > Hi Brian,
> > > >
> > > > Let me explain further.
> > > >
> > > > What Im looking to do is trade high volume breakouts.
> > > > So the entry is just a mix of HHV, %increase, UpBar, Increase in volume, and sufficient liquidity.
> > > > So if previous bar criteria meets the above, i buy on the next bar open. I have backtested this using Daily bars.
> > > >
> > > > Though the strategy is profitable, on the majority of occassions, a considerable chunk of the move happens in that first bar (between the initial breakout maybe and the close ie. in the first few hours)
> > > >
> > > > So what Im trying to do here is, instead of waiting for the close, and entering tomorrow, I want to buy AS SOON AS the current bar (daily) meets the requirements for %change, liquidity, volume, HHV, etc. ie. Mid-bar.
> > > >
> > > > So ideally I would want to auto-run an exploration every 30-60seconds, for example, and each time the scan catches a stock in which todays bar, treating the LAST price as the close, meets my criteria, then I enter right then and there, or as soon as practicable.
> > > >
> > > > Hope that makes it clearer.
> > > >
> > > > Thanks.
> > > >
> > > > Nizar.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > > > >
> > > > > >snip< you can only access H and L bars dailybars from intraday. You cannot access any of the daily indicators intraday in your backtesting.>snip<
> > > > >
> > > > > I think it can be done (subject to the actual problem because some case studies might exceed my capabilities).
> > > > > I didn't post any example code because I am in the middle of some theoretical work on PowerFactor (will post to the Zboard if it works out) and also because, in your prev posts you didn't stipulate which indicator you wanted to use to get in and out using RT bars (possibly you can't say because it will reveal too much about your system ... which is understandable).
> > > > >
> > > > > Example:
> > > > >
> > > > > EOD strategy = Buy on Close and Sell on Close the next day (1 bar);
> > > > >
> > > > > In RT the same strategy can be applied by:
> > > > >
> > > > > RT EOD trade equivalent = Buy on Close (last intraday bar) and Sell on Close (entry bar + 78 bars);
> > > > >
> > > > > Isn't it the same thing, expressed in different timeframes (without tricky timeframe compression ... well tricky for me anyway).
> > > > >
> > > > > I always consider that macrobars e.g. weekly, are an approximation of the corresponding microbars e.g. daily.
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "murthysuresh" <money@> wrote:
> > > > > >
> > > > > > let me know when you find a way to do it. check my earlier posts on the same issue.
> > > > > > you can only access H and L bars dailybars from intraday. You cannot access any of the daily indicators intraday in your backtesting.
> > > > > >
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "nizar.mahri@" <nizar.mahri@> wrote:
> > > > > > >
> > > > > > > Hi,
> > > > > > >
> > > > > > > I currently have my system set up as below.
> > > > > > > The way its set up is as an EOD system.
> > > > > > >
> > > > > > > Now I want to modify it to have intraday entries.
> > > > > > > So as soon as todays bar meets the system entry criteria (in terms of price% change, volume, and liquidity) then enter immediately (ie. don't wait for the close).
> > > > > > >
> > > > > > > How would i do that?
> > > > > > >
> > > > > > > Thanks.
> > > > > > >
> > > > > > > Nizar.
> > > > > > >
> > > > > > > settradedelays( 1, 1, 1, 1 );
> > > > > > >
> > > > > > > LBP = Param("ATR Look Back", 10, 5, 50, 1);;
> > > > > > > Multi = Param("ATR Multiple", 2, 1, 5, 0.1);;
> > > > > > > Pr = Close;
> > > > > > > AT = ATR(LBP);
> > > > > > >
> > > > > > > Entry1 = Indicator1;
> > > > > > > Entry2 = Indicator2;
> > > > > > > Entry3 = Indicator3;
> > > > > > > Entry4 = Indicator4;
> > > > > > > Entry5 = Indicator5;
> > > > > > >
> > > > > > > Buy = Entry1 && Entry2 && Entry3 && Entry4 && Entry5;
> > > > > > > BuyPrice = Open;
> > > > > > > trailARRAY = Null;
> > > > > > > trailstop = 0;
> > > > > > > Longtriggerbar = 0;
> > > > > > >
> > > > > > > for( i = 1; i < BarCount; i++ )
> > > > > > > {
> > > > > > >
> > > > > > > if( trailstop == 0 AND Buy[ i ] )
> > > > > > > {
> > > > > > > trailstop = Pr[ i ] - Multi * AT[i];
> > > > > > > Longtriggerbar = i;
> > > > > > > }
> > > > > > > else Buy[ i ] = 0; // remove excess buy signals
> > > > > > >
> > > > > > > if( trailstop > 0 AND Low[ i ] < trailstop and i != Longtriggerbar)
> > > > > > > {
> > > > > > > Sell[ i ] = 1;
> > > > > > > SellPrice[ i ] = trailstop;
> > > > > > > trailstop = 0;
> > > > > > > }
> > > > > > >
> > > > > > > if( trailstop > 0 )
> > > > > > > {
> > > > > > > trailstop = Max( Pr[ i ] - Multi * AT [i], trailstop );
> > > > > > > trailARRAY[ i ] = trailstop;
> > > > > > > }
> > > > > > >
> > > > > > > }
> > > > > > >
> > > > > > >
> > > > > > > Plot( Close,"Price",colorBlack,styleBar);
> > > > > > > Plot( trailARRAY,"trailing stop level", colorRed );
> > > > > > >
> > > > > > > // Rank trades according to ATR if insufficient capital
> > > > > > >
> > > > > > > PositionScore = 100-ATR(10);
> > > > > > >
> > > > > > > // Divide capital into 4 positions
> > > > > > > // Plot equity chart
> > > > > > >
> > > > > > > NumPos = 4;
> > > > > > > SetOption("MaxOpenPositions",NumPos);
> > > > > > > PositionSize = -100/NumPos;
> > > > > > >
> > > > > > > Plot(C,"C",colorBlack,styleCandle);
> > > > > > > e = Equity();
> > > > > > > Plot(e,"Equity",colorGreen,styleLine | styleOwnScale);
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
------------------------------------
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