hi,
these guys at inditraders did some programming,
in this thread there is some code:
it is nice for charting (on a limited amount of
data, e.g. 15 days of 5-min data) but not for backtesting purposes
on 2 years of data. I am also not interested in all these letters, just
need the value area and the POC. I would think Amibroker could implement
this quite easily because PlotVapOverlayA basicly contains the data already
from which you can derive the POC and the VA. If you want to solve it in AFL
doing it straightforward would require you to step through the entire range
of the day with a certain step density and store this data in an array
or static array temporarily and derive the POC and VA's from this storage
array. To my knowledge AFL is not really suitable for these type
of calculations. When you could store this information in smaller subarrays
and one could do some sorting and calculations on much smaller subarrays
that would make it much faster. Not sure if the Osaka plugin could be
used.
regards, Ed
----- Original Message -----
Sent: Monday, October 12, 2009 12:08
PM
Subject: Re: [amibroker] Market
profile, Value Area, POC etc
I dreamed about it... I planned to code it in two decades or more
up to
my programming skill .
BR
Edward Pottasch a écrit
:
>
>
> hi,
>
> anyone managed to program
this in AFL or a plugin? There are several
> AFL's on the net that
basicly are designed to display the last few days.
> I am
interested in code that generates the upper/lower value area
> and
POC for backtesting purposes. But it seems you need some *clever
>
programming* to make this usable else it will be very slow. The code I
> found sofar is slow indeed and I can't come up with something
smart
> either. Try loading 2 years of 5 minute data and AB locks
up completely.
> Camarilla is a nice substitute but as I read
somewhere "Camarilla is the
> poor man's Market Profile",
>
> regards, Ed
>