Hi Ed, ok, thank you very much.
I don't have the exact code here
right now, but i can try to sum up a short version from memory.
I don't
know the exact applystop rules i used.
And also don't know the Dhigh and
the Dlow rules right now, but they describe a high and a low taken from a
couple hours in the morning (Dutch).
I hope you can show me the loop with
this data, or else i will post the code later this
evening.
****************************************
timeopen
= 070000;
timeclose = 180000;
tod = TimeNum();
inRange = tod >=
timeopen AND tod <= timeclose;
Dhigh = ....;
DLow =
....;
Buy = inRange AND Cross(High,Dhigh);
Sell =
0;
applystop(...);
Short = inRange AND
Cross(ShortStop,Dlow);
Cover =
0;
applystop(...);
Buy = ExRem(Buy,tod==180000);
Sell =
ExRem(Sell,tod==180000);
**********************************************
regards
---
In amibroker@xxxxxxxxxps.com,
"Edward Pottasch" <empottasch@...> wrote:
>
> simplest
way to do this is using loops. If you post your problem (buy, sell, short and
cover array constraints) I can show you how,
>
> rgds, Ed
>
>
>
>
>
> ----- Original Message -----
> From: chaoss45
> To: amibroker@xxxxxxxxxps.com
> Sent: Wednesday, August 05, 2009 10:28 AM
> Subject:
[amibroker] Re: remove all excessive signals
>
>
> Hi
Mike, thanks.
>
> I am talking about one symbol, just take the
first signal that appears and remove all others.
> Further i made a
mistake in my previous postings, i said "Sell" but it should be
"Short".
> So for a recap: I want to take the first signal that appears
(Buy or Short) and remove all other signals for that symbol for that
day.
> Right now i'm working with Exrem and got all excessive Buys and
Shorts removed, but that still leaves me with 1 Buy and 1 Short signal a
day.
>
> How can i remove this last excessive Buy or Short
signal?
>
> Your idea should work, but i'm not a great coder so i
hope there is a simpler way to do this.
>
> --- In amibroker@xxxxxxxxxps.com,
"Mike" <sfclimbers@> wrote:
> >
> >
Sorry,
> >
> > I think that I misread your question.
Though, the answer is laregely the same; you could use custom
backtester.
> >
> > Iterate through the signals at each
bar. If an open position already exists for the symbol, reset the position
size to zero for the new signal if the date of the bar is the same as the
entry date of the open position.
> >
> > Any attempt to use
arrays outside of the custom backtester using such approaches as flip, exrem,
etc. do not take into account that some signals simply will not get filled due
to portfolio limitations. Thus, custom backtester is the only reliable way of
knowing if a position was *actually* taken.
> >
> >
Mike
> >
> > --- In amibroker@xxxxxxxxxps.com,
"Mike" <sfclimbers@> wrote:
> > >
> > > One
sure fire way to do it would be to write custom backtester code that iterated
through the trade signals at each bar and simply reset the position size to 0
for all remaining signals.
> > >
> > > Regardless of
how you accomplish your task, if you are trading more than a single symbol you
are at risk of getting highly biased results. How do you determine which
signal occured first? If you get 3 Buys from 3 symbols on the same bar, which
one do you take? Whatever logic you use to make that determination will bias
your results. You would likely be best to select from the 3 at random.
>
> >
> > > Mike
> > >
> > > --- In
amibroker@xxxxxxxxxps.com,
"chaoss45" <chaoss45@> wrote:
> > > >
> > >
>
> > > > Hello all,
> > > >
> >
> > I'm trying to write code for a breakout system.
> > >
> Right now i have my system working (demo) but i'm having trouble
to
> > > > remove all excessive signals.
> > > >
I want to take the first Buy or Sell signal of the day, and all other
>
> > > signals for the day removed.
> > > > For
example: if the first signal is a buy signal, all other buy and sell
>
> > > signals should be removed (or ignored) but i cannot do
it.
> > > > I tried Exrem and that is working fine only for
removing the other buy
> > > > or sell signals, but not for
removing all the other buy and sell
> > > > signals.
>
> > > I think it is something simple, but for some reason i do not
see it.
> > > > Could somebody help me with the code?
>
> > >
> > >
> >
>