Re: [amibroker] Is there a way to backtest on a minutely basis but still reference hourly data?, AmiBroker Email List Archive

Thanks James, but I believe I'm doing it the correct way. Here's exactly what I'm doing:

I have a chart with say MSFT, it's a minutely chart. I then load up the backtester tool, and pick out my AFL code. In the settings, I ensure that the period for the backtest is also minutely. I then have the following script in the beginning of my AFL:

TimeFrameSet(inHourly);
cr = Correlation(Foreign("MSFT", "Close"), Foreign("ZZZZ", "Close"), 24);
TimeFrameRestore();

That time series should be based on an hourly closing price, right? Well when I look at the data in this series when taken from the above code, and compare it to when I apply the Correlation function to an hourly chart of MSFT + ZZZZ, the two series are not the same.

In fact, the series I'm getting is a minutely one. So is there something I'm doing wrong?

Thanks for any suggestions, this is bugging me a lot!

From: James <jamesmemphis@xxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tue, December 1, 2009 10:50:39 PM
Subject: Re: [amibroker] Is there a way to backtest on a minutely basis but still reference hourly data?

Potato,

I'm pretty sure you cannot work in larger time frames and analyze smaller time frames. It sounds to me like you are trying to work off an hourly chart, but get analysis from a minute chart. I think it needs to be the other way around, ie, get analysis from an hourly chart looking at a minute chart.

James

From: Potato Soup <potatosoupz@xxxxxxxxx>
To: AmiBroker (Discussion List) <amibroker@xxxxxxxxxxxxxxx>
Sent: Tue, December 1, 2009 10:05:17 AM
Subject: Re: [amibroker] Is there a way to backtest on a minutely basis but still reference hourly data?

Anyone have any ideas?

From: Potato Soup <potatosoupz@ yahoo.com>

Date: Mon, 30 Nov 2009 22:27:57 -0800 (PST)

To: <amibroker@xxxxxxxxx ps.com>

Subject: Re: [amibroker] Is there a way to backtest on a minutely basis but still reference hourly data?

Thanks, but it seems this doesn't work during backtests, am I wrong? When I use this during backtests, it seems the backtest is still using the time series from the interval of the backtest settings, say 30 minutes, even though the series that I am accessing in the backtest is sandwiched between calls to SetTimeFrame/ RestoreTimeFrame calls, having set it at 1hr. Is it known that backtests will ignore this function?

From: Ronald Davis <xokie7@xxxxxx com>
To: amibroker@xxxxxxxxx ps.com
Sent: Tue, December 1, 2009 12:09:22 AM
Subject: Re: [amibroker] Is there a way to backtest on a minutely basis but still reference hourly data?

Hi potato, I have never used it, but here is a link about changing time frames>http://www.amibroke r.com/guide/ h_timeframe. html

From: potatosoupz <potatosoupz@ yahoo.com>
To: amibroker@xxxxxxxxx ps.com
Sent: Mon, November 30, 2009 7:05:57 PM
Subject: [amibroker] Is there a way to backtest on a minutely basis but still reference hourly data?

I would like to check the signal on every minute bar, but my signals are based on indicators that are setup with hourly bars.

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