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Hi Dennis,
Not 100% sure what you mean... But what I do is actually just a simple collection of the Close for each higher TF. So if I for example want to calculate a 10 periods Moving Average for a 5 min TF, I collect the Close of each 5 min period for the last 10 times. Basically in 1 min chart interval, I step 5 bars collect Close value, and continue like that for 10 times.
Jorgen
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Jorgen,
>
> Your data looks like your are using a trick I have been using for many
> years. I do the timeframe calculation for higher timeframes, but
> instead of aligning it on timeframe unit boundaries, I calculate it at
> every lowest timeframe boundary. It is a lot more calculations, but
> the results are continuous. It is like calculating a 10 bar MA on 10
> minute bars by doing a 100 bar MA on 1 minute bars. This is good for
> some uses, but you lose the filtering effect of timeframe bars which
> is good for other uses.
>
> BR,
> Dennis
>
> On Aug 14, 2009, at 7:11 AM, jorgen_wallgren wrote:
>
> > Hi there!
> >
> > You should be able to see one set of data here with Normal vs Hig
> > res data:
> >
> > http://smg.photobucket.com/albums/v325/wallgrenj/AmiBroker/?action=view¤t=Normal3TFvsNotNormal.jpg
> >
> > Regards,
> >
> > Jorgen
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@>
> > wrote:
> >>
> >> Jorgen,
> >>
> >> Interesting discussion.
> >> I have to admit that I'm finding it difficult to visualize exactly
> >> what you are suggesting. Would you mind posting a screen shot
> >> somewhere that we can see as an example of how you are using time
> >> frames differently...?
> >>
> >> TIA
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "jorgen_wallgren"
> >> <jorgen.wallgren@> wrote:
> >>>
> >>> Thank you Tomasz and Dennis for your input and comments! First of
> >>> all, the classic future leak error is taken care of, but it's not
> >>> clear in the short code example I gave. Thank you!
> >>>
> >>> Then I agree with what you say Tomasz, and my solution is not what
> >>> we would call a normal multiple timeframe system. But that's also
> >>> the whole idea with it. Because as a day trader I basically want
> >>> to know what's going on every mS. I don't sit and wait for a 1, 5
> >>> or 15 min bar to be completed before I take a decision. I look at
> >>> it and try to figure out where it's going. And here is where my
> >>> data sampling is created in such way it gives me continuous
> >>> timeframe data so I can tell with very high probability where the
> >>> price is heading. Then why waste chart space when all timeframe
> >>> data can be in the same chart! But to be clear and easy to
> >>> interpret, it then has to have the same resolution.
> >>>
> >>> The power of timeframes in day trading is when people using
> >>> different timeframes "start to agree" where the price should go-
> >>> and as a result you have high probability trades in front of you.
> >>> But it's of course more to it than that. :-)
> >>>
> >>> Regards,
> >>>
> >>> Jorgen
> >>>
> >>> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
> >>>>
> >>>> Hello,
> >>>>
> >>>> Thank you for your post.
> >>>> That kind of explanation of what you are after I was expecting
> >>>> and I am glad you posted it because
> >>>> now we can discuss facts not opinions. I was not expecting
> >>>> appologies, but just the information what you are after and you
> >>>> delivered
> >>>> it now.
> >>>> Thank you.
> >>>>
> >>>> To the matter - there seems to be some kind of misunderstanding
> >>>> what AmiBroker's built-in time frame functions
> >>>> are for. To make it straight - they are provided to build the
> >>>> systems based on many time intervals in exactly the same
> >>>> way as human would do, looking at 2 or more charts at the same
> >>>> time.
> >>>> Imagine you have the system that looks onto daily and weekly
> >>>> chart. That is exactly the purpose of time frame functions.
> >>>> So time frame functions allow you to get the "weekly" data from
> >>>> within "daily" chart. As in weekly chart, there is ONE
> >>>> open, ONE close, ONE high and ONE low PER WEEK. That is exactly
> >>>> what you would see on the weekly chart if
> >>>> you combined daily and weekly "by eye".
> >>>> Not only that, you will know weekly high/low and close values
> >>>> only when week has ended (on Friday close).
> >>>> And that is exactly how AmiBroker's timeframe functions work -
> >>>> they give you the value of higher timeframe
> >>>> at the bar when higher interval is completed.
> >>>> The manual
> >>>> http://www.amibroker.com/guide/h_timeframe.html
> >>>> gives example of so called "triple Elder screen" that combines
> >>>> signals generated in daily and weekly timeframes.
> >>>>
> >>>> What you are doing with your functions is different, you are not
> >>>> creating higher timeframe data at all.
> >>>> What you do is some gated data sampling. The following code will
> >>>> generate something like that,
> >>>> you will get upto 5 different "weekly" values per one week,
> >>>> instead of one, as you wanted:
> >>>>
> >>>> newframe = TimeFrameExpand( BarIndex(), inWeekly );
> >>>> newframe = newframe != Ref( newframe, -1 );
> >>>>
> >>>> SteppedHigh = HighestSince( newframe, High );
> >>>> SteppedLow = LowestSince( newframe, Low );
> >>>>
> >>>> Plot( SteppedHigh, "SteppedHigh", colorBlue );
> >>>> Plot( SteppedLow, "SteppedLow", colorBlue );
> >>>> Plot( C, "Price", colorBlack, styleCandle );
> >>>>
> >>>> There are two caveats however:
> >>>> - such approach is not equivalent to "normal" mutiple timeframe
> >>>> system that only uses data from *completed* interval
> >>>> - as Dennis pointed out in his reply, such approach may very
> >>>> quickly lead to classic future leak error,
> >>>> because you may be using your "quick weekly" data before they are
> >>>> settled.
> >>>>
> >>>> (The above uses daily/weekly intervals for illustration purposes,
> >>>> but the same applies to any time frame).
> >>>>
> >>>> Best regards,
> >>>> Tomasz Janeczko
> >>>> amibroker.com
> >>>> ----- Original Message -----
> >>>> From: "jorgen_wallgren" <jorgen.wallgren@>
> >>>> To: <amibroker@xxxxxxxxxxxxxxx>
> >>>> Sent: Thursday, August 13, 2009 4:18 PM
> >>>> Subject: [amibroker] Re: TimeFrames: Is their use flawed?
> >>>>
> >>>>
> >>>> If I have offended you, I am sincerely sorry! AmiBroker is the
> >>>> best program available and I love working with it!!! Nothing wrong
> >>>> with AB!!!
> >>>>
> >>>> One of the reasons the TF Functions didn't do the job in my
> >>>> specific case was that my systems works with 1, 5 and 15 minute
> >>>> timeframes. In the chart I need to see (and save) all the values
> >>>> from all the TFs plotted with 1 minute resolution. Basically to
> >>>> plot the TF data as a staircase is probably the best way to
> >>>> display the results for easy viewing and it's actually often so
> >>>> that
> >>>> some TF values in a 1 minute resolutions often very closely
> >>>> follow a staircase pattern- such as a Moving Average. But the AB TF
> >>>> Functions gives me the last value for each period. I needed more.
> >>>> Now when I have all values in each period it reveals huge amount
> >>>> of information when the three time frames are plotted in one
> >>>> indicator with the same data resolution. For example instead of 1
> >>>> value
> >>>> for a 15 minute period, I have now 15 values.
> >>>>
> >>>> Then I wouldn't like to go so far to prove my point by publish
> >>>> the work and system I have been working on for months. I have a
> >>>> system which seems to work rather well and I am sorry, but that
> >>>> one I will keep for myself. I could send anyone who wants a screen
> >>>> capture of the indicator with data from 3 TFs plotted. But such
> >>>> a screen capture could be faked. So I will instead give a short
> >>>> explanation how easy it is to create what I was looking for. And
> >>>> the reason it was easy to create, after I figured it out, was
> >>>> because AmiBroker is a great program with fantastic features.
> >>>>
> >>>> First of all, I use AB TF Functions to get the BarIndex in each
> >>>> TF. By having that I can tell when each TF has a new period, and
> >>>> any
> >>>> holes doesn't matter. Then I just go in a loop from first visible
> >>>> bar - as many bars I need extra, until end of the array. So in
> >>>> this loop when a new period is detected, I jump 1 step back and
> >>>> collect the values I need and the jump is equal to the TF I need
> >>>> data from. Here is a part of that code:
> >>>> if ( NewTFBar[i] )
> >>>> {
> >>>> for ( n = i; Counter < Periods AND n >= 0 ; n-- )
> >>>> {
> >>>> if ( NewTFBar[n] )
> >>>> {
> >>>> SUMA = SUMA + Close[ n - 1 ];
> >>>> if ( Counter < BBPeriods - 1 )
> >>>> SUMB = SUMB + Close[ n - 1 ];
> >>>>
> >>>> Counter++;
> >>>> }
> >>>> }
> >>>> Etc.
> >>>> I hope that settles it and again it's not my intention to talk
> >>>> bad about AmiBroker or to insult anyone.
> >>>>
> >>>> Regards,
> >>>>
> >>>> Jorgen
> >>>>
> >>>>
> >>>>
> >>>> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@>
> >>>> wrote:
> >>>>>
> >>>>> Hello,
> >>>>>
> >>>>> TimeFrame functions work perfectly.
> >>>>> You may not understand them but it is not the reason to send
> >>>>> such unjustified opinions.
> >>>>>
> >>>>> If you "wrote your own" why don't you publish your formulas so
> >>>>> everyone can judge?
> >>>>> Otherwise it is just plain useless talk.
> >>>>>
> >>>>> Best regards,
> >>>>> Tomasz Janeczko
> >>>>> amibroker.com
> >>>>> ----- Original Message -----
> >>>>> From: "jorgen_wallgren" <jorgen.wallgren@>
> >>>>> To: <amibroker@xxxxxxxxxxxxxxx>
> >>>>> Sent: Thursday, August 13, 2009 10:59 AM
> >>>>> Subject: [amibroker] Re: TimeFrames: Is their use flawed?
> >>>>>
> >>>>>
> >>>>>> Herman, I agree with you and I have the same questions. I have
> >>>>>> been working on a RT system using data from 2 additional time
> >>>>>> frames and the result was very clear! I can't use the AB
> >>>>>> TimeFrame Functions and get a system which works in real time
> >>>>>> and can
> >>>>>> also be properly be back tested.
> >>>>>>
> >>>>>> Therefore I wrote my own TimeFrame Function and now when I have
> >>>>>> the data from the 2 longer timeframes in the same resolution as
> >>>>>> my
> >>>>>> chart interval, 1 minute, everything works very well.
> >>>>>>
> >>>>>> Regards,
> >>>>>>
> >>>>>> Jorgen
> >>>>>>
> >>>>>>
> >>>>>>
> >>>>>>
> >>>>>> ------------------------------------
> >>>>>>
> >>>>>> **** 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)
> >>>>>>
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> >>>>>>
> >>>>>> 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 ****
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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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