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Dennis -
I was just making sure about you understanding of the SetBarsRequired() placement. I agree with most of your summary, but let's put the minor points aside and turn to your issue. FWIW, I'd like to have full control over bar requirements also. Actually - even more than you want, but that's another story. Its something that I and Fred and I have both discussed with Tomasz some time ago. I might even muse on TJ's reasoning in his current design, but he really should comment. But, we have to deal with the hand that we're dealt.
My impression is that you have an "all in one" indicator that you try to use as a control and analysis center. I'll confess that I've written one of these also, but moved away from that type of design for various reasons. I think that we are at a point that if you want to explore some workarounds, we'll have to examine your requirements in detail, and this is probably best moved offline to e-mail.
Before I do that, I'll offer some comments that I hope might be of general interest about this general problem. Let's recap your statement about the design issue -
You said - "In my case, I sometimes want to take a one shot pass at allthe bars to gather some statistics and save them, then immediately dropback to some minimum number of bars to speed up the user interface for changing parameters in the parameter window or even working with on-chart buttons, and go back to real time trading."
So, given that as the problem statement, some alternatives are -
- Note that having say SetBarsRequired(100,0), for example, DOES NOT preclude passing all of the data. I suspect that what you want is to expand the back bars then call Equity() and gather stats. A viable alternative in some cases is just to programatically zoom to the full range, run and store the stats,and programatically zoom back to the original range. This preserves the 100 bars back setting.
- Another slightly more flexible alternative is to run the backtestin the AA. To do this, you shell out to a JScript "controller" program which invokes the appropriate AA backtest and stores the results. In your case, though, this might require the passing of many parameters in static variables, though. However, I use this technique for running a portfolio backtest over a dynamic watchlist on demand from an indicator. BTW, it seems to "free up" the indicator display, but I have only run this on EOD data and can't comment on how much parallelism can be achieved on RT data. And, I assume that TJ has the appropriate lock-outs, but after about a year and a half of use, no problems.
- The backtest "indicator" can be run in another document. This document can have a different, full data range. This has the advantage of only calculating when when visible, but I'd still put a trigger on it. But, again, some parameter communication would be needed.
Each individual would have to decide on the trade-off's. #1 is the easiest. #2 might allow for some interesting things if and when TJ implements multi-processor support. There are even a few other alternatives. But this is probably enough food for thought.
-- BruceR
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Bruce,
>
> Yes, I understand the SBR requirements. My AFLs have it as the last
> statement. The thing I was showing below was some wishful thinking if
> the way SBR worked were modified to allow for reducing the number of
> bars at each call. In fact it would be good to iterate how it works
> here so nobody gets confused by my musings:
>
> When the indicator chart is first run, it takes a pass just to figure
> out how many bars are required (it also compiles other information to
> speed executions). Each function, or loop may have a different
> requirement for historical bars previous to the FirstVisibleBar. This
> first AFL pass might give erroneous results since it does not know
> until the end of the pass what all the requirements are, but I think
> it uses all bars, so that should not cause a problem. It is a peak
> detecting function, so that it only increased the number of bars
> required, and never decreases them. If I have operations that write
> information to files or static variables, I disable the writes during
> this pass since the ChartID is not valid yet.
>
> Subsequent AFL passes now know how many bars to load from the database
> to make sure that the visible bars show accurate results.
>
> If some new conditional AFL code executes during one of the subsequent
> AFL passes, for instance an AddToComposite() function that requires
> all bars, or an SetBarsRequired() function with a larger number of
> bars, the next pass of AFL will load more bars and this will be the
> new minimum bars requirement. However, I have noticed in my charts,
> that the first pass after a new requirement may not use the higher
> number of bars for an extra pass, so I am not sure about the exact
> sequence. Perhaps, a new requirement caused another "bar
> requirements" gathering pass first. This can lead to errors if you
> are saving results on a one shot basis in a static variable or file.
>
> If an SetBarsRequired() statement is found at the very end of the AFL,
> then it will override the previous requirements. However, it still
> will not allow you to reduce the requirements after the first pass.
>
> I am not aware of any detailed descriptions or flow charts of this
> execution process for AFL, so all of this is just from observations
> while debugging code, and might be incorrect.
>
> I was musing about giving the user AFL control over the reducing the
> number of bars used on subsequent passes.
>
> In my case, I sometimes want to take a one shot pass at all the bars
> to gather some statistics and save them, then immediately drop back to
> some minimum number of bars to speed up the user interface for
> changing parameters in the parameter window or even working with on-
> chart buttons, and go back to real time trading. It is a real drag
> when I have to wait 5 seconds between every parameter change -- which
> is the fastest I have been able to drop back to from the 20 second
> full pass with SBR working in its current operating mode. At 5
> seconds, a lot of the user interface functions stop working. It takes
> me quite a while to get my chart back to trading fast after using more
> bars for a (not so) quick test.
>
> Of course, once the user takes control of the number of bars required,
> it is his responsibility to monitor the requirements carefully.
>
> BR,
> Dennis
>
>
> On Jun 28, 2009, at 9:17 PM, bruce1r wrote:
>
> > Dennis -
> >
> > Close, but not quite. If you were going to use SetBarsRequired() to
> > control the lookback, it is CRITICAL that it be the LAST statement in
> > the program. If it is not, subsequent statements ( such as HHV() )
> > may
> > add to the requirement. If you want to see a detailed explanation of
> > this, refer to Tomasz's QuickAFL article in the KB.
> >
> > Regarding the issues that you described in your previous response to
> > me,
> > there are a couple of ways to deal with the issue that you are
> > describing. When the teenagers go to bed and its quiet later, I'll
> > try
> > to outline one.
> >
> > -- BruceR
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown see3d@ wrote:
> >>
> >> Yes Tony,
> >>
> >> This is close to what I was referring to as the array solution,
> >> though
> >> I would probably write it like this to make it symmetrical:
> >>
> >> minmax = LastValue( HHV( abs( m ), r ) );
> >>
> >> It would be interesting if we could have a faster operation such that
> >> if we used a SetBarsRequired( r, 0 ) in the preceding statement to
> >> reduce the range so the the range equaled the number of bars
> >> specified, that the returned value would be a single number of the
> >> result. Hmmmmm. If that mode were available, it would look like
> > this:
> >>
> >> m = MACD();
> >>
> >> fb = Status("FirstVisibleBar");
> >> lb = Status("LastVisibleBar");
> >> r = lb - fb;
> >>
> >> SetBarsRequired( r, 0 )
> >> maximum = HHV( abs( m ), r );
> >> Plot( m, "MACD", colorRed, styleOwnScale, -maximum, maximum );
> >> Plot(0, "", colorBlack, styleOwnScale, -maximum, maximum);
> >>
> >> Just a little brainstorming.
> >>
> >> BR,
> >> Dennis
> >>
> >> On Jun 28, 2009, at 8:31 AM, Tony Grimes wrote:
> >>
> >>>
> >>>
> >>> Try this solution, array style:
> >>>
> >>> m = MACD();
> >>>
> >>> fb = Status("FirstVisibleBar");
> >>> lb = Status("LastVisibleBar");
> >>> r = lb - fb;
> >>>
> >>> minimum = LastValue( LLV( m, r ) );
> >>> maximum = LastValue( HHV( m, r ) );
> >>>
> >>> Plot( m, "MACD", colorRed, styleOwnScale, minimum, maximum );
> >>> Plot(0, "", colorBlack, styleOwnScale, minimum, maximum);
> >>>
> >>>
> >>> On Sat, Jun 27, 2009 at 11:16 AM, Dennis Brown see3d@
> >>> wrote:
> >>>
> >>>
> >>> Maybe not...
> >>>
> >>> Through this discussion, the problem has been reduced to aligning
> > the
> >>> min/max range of a MACD styleOwnScale plot to another zero line
> >>> styleOwnScale plot statement. Therefore, the only way to do this is
> >>> to find the min/max values of the MACD function in the visible bars
> >>> range and use those numbers in both plot statements, or make the
> > MACD
> >>> range symmetrical and then the zero line statement can be any
> >>> symmetrical range.
> >>>
> >>> I am happy with my dual colored plot line at this point. However, to
> >>> complete the original idea, I could use a simple loop to find the
> > min/
> >>> max numbers of the MACD, but I am now wondering if there is a
> > "faster"
> >>> execution way using array logic instead?
> >>>
> >>> It seems like a waist of time to create an array of the Min/Max over
> >>> that range for all bars, then just use the last value. I use loops
> >>> when I only want a single number result related to the Min/Max value
> >>> over the last n bars only (like the visible bar range). Am I missing
> >>> an opportunity to approach this in a more efficient way?
> >>>
> >>> BR,
> >>> Dennis
> >>>
> >>>
> >>>
> >>> On Jun 27, 2009, at 9:06 AM, gmorlosky wrote:
> >>>
> >>>> maybe....
> >>>>
> >>>> IF ( MACDline == Signalline) // histogram value equals zero
> >>>> X = lastvalue(MACDline-Signalline);
> >>>> Plot (X,"", colorblack);
> >>>>
> >>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown see3d@ wrote:
> >>>>>
> >>>>> Yes, I have it set to 100%. The absolute values of the indicator
> >>>>> will
> >>>>> vary wildly, depending on the price and volatility of the stock.
> > I
> >>>>> plot ES, so the values are quite large at times.
> >>>>>
> >>>>> BR,
> >>>>> Dennis
> >>>>>
> >>>>> On Jun 26, 2009, at 5:58 PM, monitorit wrote:
> >>>>>
> >>>>>> If that's all you needed, the color change would be best. But, I
> >>>>>> think the solution I suggested would work... you would still
> > plot/
> >>>>>> see value very high or low just within a section defined by
> >>> pane*1/
> >>>>>> minvalue [at least it has for me]. BTW, presently what is the
> >>> upper
> >>>>>> and lower bounds of the MACD in relationship to the height of
> > the
> >>>>>> pane? Is it 100% of the pane height?
> >>>>>> Dan
> >>>>>>
> >>>>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >>>>>>>
> >>>>>>> Dan,
> >>>>>>>
> >>>>>>> This is what I usually do for indicators when I know the range
> > of
> >>>>>>> values. However, MACD is an unbounded indicator, so I don't
> > know
> >>>>>>> how
> >>>>>>> large the values are. It is only the zero crossings and
> > relative
> >>>>>>> peaks that are useful info here.
> >>>>>>>
> >>>>>>> I just thought there would be some simple shortcut to actually
> >>>>>>> scanning the visible bars for the min/max values to use in the
> >>> plot
> >>>>>>> statements. I think I will just switch colors of the MACD from
> >>> red
> >>>>>>> to
> >>>>>>> green if it is above or below zero instead of resorting to yet
> >>>>>>> another
> >>>>>>> loop.
> >>>>>>>
> >>>>>>> Thanks,
> >>>>>>> Dennis
> >>>>>>>
> >>>>>>>
> >>>>>>> On Jun 26, 2009, at 4:40 PM, monitorit wrote:
> >>>>>>>
> >>>>>>>> Dennis,
> >>>>>>>> Hi. You might try this- Place a value in minvalue section but
> >>>>>>>> none
> >>>>>>>> in maxvalue section [I think maybe a value like 2 equates to
> > 1/2
> >>>>>>>> pane height] of your MACD and zero plot statements.
> >>>>>>>> Also,styleNoRescale in the zero plot statement. This worked
> > for
> >>>>>>>> me
> >>>>>>>> when I wanted to plot a histogram and a dot on the top of the
> >>>>>>>> histogram. Not sure if it works with a line. If it doesn't,
> > you
> >>>>>>>> could try plotohlc with H=max(0,my#) and L=min(0,my#).
> >>>>>>>>
> >>>>>>>> Dan
> >>>>>>>>
> >>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >>>>>>>>>
> >>>>>>>>> Hello,
> >>>>>>>>>
> >>>>>>>>> This must be simple, but my AFL brain is fried today. I have
> > an
> >>>>>>>>> MACD
> >>>>>>>>> plot on top of my main price chart, and I want to plot a zero
> >>>>>>>>> line
> >>>>>>>>> over it. It is plotted as StyleOwnScale of course. I can't
> > use
> >>>>>>>>> StyleLeftAxis because I am using it for something else. I
> >>>>>>>>> guess I
> >>>>>>>>> could do something to figure out where the visible high and
> > low
> >>>>>>>>> values
> >>>>>>>>> of the MACD are, but it seems like it should be easier than
> >>> that.
> >>>>>>>>>
> >>>>>>>>> TIA,
> >>>>>>>>> Dennis
> >>>>>>>>>
> >>>>>>>>
> >>>>>>>>
> >>>>>>>>
> >>>>>>>>
> >>>>>>>> ------------------------------------
> >>>>>>>>
> >>>>>>>> **** 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/
> >>>> (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/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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