[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [amibroker] Pad Non-trading Days Feature



PureBytes Links

Trading Reference Links

Hello,

I disagree with statement that "linear interpolation [...] needs to be done".
It is *your private* need, not everyone else need.
Interpolated prices create "artificial reality" (a.ka. fiction) and not everyone wants
fictional prices.

General rule for markets that are closed for trading is that LAST actually traded price is used
and this rule is applied in AmiBroker.


If you have private need for interpolation, you can write your own formula to do this
 - detect those bars with volume = 0 and interpolate between bars with non-zero volume.

You like linear interpolation, the others may want polynomial, bi-cubic, Lagrange, band-limited and other kind of
interpolations. One would like to use (H/L)/2 the other one would like to connect last close with next open.
I could spend months on adding different interpolation methods for 1 or 2 users
who need specifically that or another.
But there is no one-size-fits-all,  you should implement it in your own formula, if you need that particular realisation.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "wavetrader2005" <wave-trader@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, August 07, 2009 8:35 PM
Subject: [amibroker] Pad Non-trading Days Feature


> Hello TJ,
>
> I've just tried out the "Pad non-trading days" feature in 5.26.5. When conducting a cycle analysis on daily data, it's important 
> to account for all non-trading days and this feature is a step in the right direction.
>
> However, as discussed in an earlier email, when adding the non-trading days, a linear interpolation calculation using median price 
> ( (H+L/2) ) needs to be done to populate the price fields for those added days. Your current method of using just the closing 
> price of the bar preceding the "gap" causes problems with the cycle indicators I use, as they require a linear interpolated median 
> price to calculate on for the added non-trading days (otherwise they will plot incorrectly).
>
> The linear interpolation is simple enough:
> 1. Take the difference between the median price of the bar preceding the gap and the bar subsequent to the gap.
> 2. Divide this difference by the number of days in the gap PLUS 1; so, for a two day gap, the divisor would be 3.
> 3. Add this result to the median price of the bar preceding the gap and use this value to populate the price field for the first 
> gap; add this same result to the newly calculated price for the first gap price, and so on, until all gaps have a calculated 
> price.
>
> Could you change your current method over to this method so the cycle indicators will work correctly?
>
> Regards,
>
> David Preston
> a.k.a. Wave~Trader
>
>
>
> ------------------------------------
>
> **** 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

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/