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Thanks for your help. I am sure nizar.mahri appreciates the clarification
> TimeFrameXXXs and ATR(5) will give you the required result.
To confirm.
Two of the issues of the discussion (per Murthyuresh) seems to be the opportunity to look forward, when using compressed data, and the currency of the daily bar values being used, when they are applied to intraday entries or exits.
Changing the discussion to consider MAM5 = MA(Midpoint, 5); daily bars, where M = (H + L)/2; which is easier for me to understand.
For BackTesting - say I want to exit a trade, intraday, when the C crosses MA(M,5), including the current daily bar in the MAM5 calc .... if I use the compressed daily array then I am using the EOD M which doesn't exist yet, in RT, so I need to include the RT 'daily build bar' in the MAM calc. Then I can test for a cross, in RT, of the MAM, as it is for real.
How would I do that with compression (assuming my base timeframe = 1 sec and I am using 5 min bars as the setting for this system)?
The only way I can see to do that is to:
- use compression to create the daily MAM5 array
- use RT to reference the current intraday bar and calc the Midpoint
- know my datenum()
- go into the compressed daily bars array
- pick out the MAM of the 4 datenums() that precede the datenum() of interest
- bring the current four MA back to RT? (or somewhere) and add them to the Midpoint of the intraday 'build bar' then divide by 5.
- use the returned result dynamically in further calculations involving the dynamic intraday close.
I don't know anything about AFL/processing speed etc but I guess that in Scan mode we only need to get the lookback daily bars once (OR di we?) whereas in BT mode we have to get a new batch for every 78 RT bars OR maybe every RT bar ... the code could get complicated if we stipulate that the daily four are only acquired on RT newday == 1;
I assume there isn't an issue there, with efficiency, when backtesting. I don't know how cross referencing between RT arrays and compressed arrays compares, speedwise, with doing it all in one timeframe i.e. RT.
Is there another way to accomplish the above (MAM5) task?
Perhaps the execution would be a little different in the scanner .. not sure about that one.
--- In amibroker@xxxxxxxxxxxxxxx, "Yofa" <jtoth100@xxx> wrote:
>
> Hi Brian,
>
> what you suggested seems to be correct logically but it is a lot of work to
> code and to test it that way.
> TimeFrameXXXs and ATR(5) will give you the required result.
>
> If you have a multitimeframe system you have to backtest it in the shorter
> timeframe on the database with the same shorter bar interval. That solves
> the backtesting problem.
>
> Regards,
>
> Y
>
>
> --------------------------------------------------
> From: "brian_z111" <brian_z111@xxx>
> Sent: Wednesday, May 27, 2009 12:14 PM
> To: <amibroker@xxxxxxxxxxxxxxx>
> Subject: [amibroker] Re: Intrabar entries
>
> > Hi Yofa,
> >
> > I'm not certain about it because I am still doing it 'in me head' bit I
> > think the Timeframe functions will do a better job, than my suggestion,
> > for intraday scanning because it will show the intraday build, as the data
> > comes in, but not so for BackTesting where the compression will crunch
> > everything to the EOD values.
> >
> > I have had challenges, in the past, with TimeframeSet etc because it also
> > crunches any indicators in use .... in some charts I found that I had to
> > rewrite the RT indicators to make them suitable for compression so it
> > doesn't always work out.
> >
> > However I still have more to learn about compression so maybe it is easier
> > than I think.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Yofa" <jtoth100@> wrote:
> >>
> >> Hi,
> >>
> >> use TimeFrameSet and TimeFrameRestore to calculate daily data!
> >>
> >> Y
> >>
> >> --------------------------------------------------
> >> From: "brian_z111" <brian_z111@>
> >> 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@> 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);
> >> >> > > > > >
> >> >> > > > >
> >> >> > > >
> >> >> > >
> >> >> >
> >> >>
> >> >
> >> >
> >> >
> >> >
> >> > ------------------------------------
> >> >
> >> > **** IMPORTANT PLEASE READ ****
> >> > This group is for the discussion between users only.
> >> > This is *NOT* technical support channel.
> >> >
> >> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> >> > SUPPORT {at} amibroker.com
> >> >
> >> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> >> > http://www.amibroker.com/feedback/
> >> > (submissions sent via other channels won't be considered)
> >> >
> >> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> >> > http://www.amibroker.com/devlog/
> >> >
> >> > Yahoo! Groups Links
> >> >
> >> >
> >> >
> >> >
> >>
> >
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT PLEASE READ ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > http://www.amibroker.com/feedback/
> > (submissions sent via other channels won't be considered)
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
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