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Hi,
use TimeFrameSet and TimeFrameRestore to calculate daily data!
Y
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From: "brian_z111" <brian_z111@xxxxxxxxx>
Sent: Wednesday, May 27, 2009 6:11 AM
To: <amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: Intrabar entries
> 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@xxx> 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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>
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>
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>
>
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**** IMPORTANT PLEASE READ ****
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This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
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