Re: [amibroker] Why Ref(Day(), -1) does not give 29 ?

Sure Steve, a memorial should be erected for this amazing know-how. This lesson goes into my AB bible. The discovery of the array was a shock followed by "Obviously !!!" Anyway, it's beyond the words... Best regards Steve Dugas a écrit : > > You are welcome. I always found that plotting the w

[amibroker] Re: Trading Research and its Statistics

The issue is I want to handle the consecutive days. For example, for those who have read Curtis Faith, I want to check if my market is trending and quite as opposed to trending and violent. That is having huge violent ups and downs. In effect, I am trying to check, if its possible to use breakout

[amibroker] Re: Trading Research and its Statistics

Hi Anthony, I went through that formula. And indeed its a pretty good work. But I have some questions. 1. If there is an N day up(or down)trend, ending with N+1st day, then that streak will also change the 1 day Up count, 2 day up count,3 day up count.. all the way to N; 2. Also,why is the need

Re: [amibroker] Re: Trading Research and its Statistics

Soham, If I am reading correctly your questions >From the formula header: Price Persistency is based on the theory of runs..It is the idea that, given the market has moved in a particular direction for ( n ) days, thelikelihood it will either continue..or not...can be estimated and used in

[amibroker] Re: Why Ref(Day(), -1) does not give 29 ?

--- In amibroker@yahoogroups.com, reinsley wrote: > > An extra quotation produced a wrong result. Some days, a tick gives > an extra minute. Hi. Could you elaborate that a little bit? Since the original code "seems like" it should work as intended, I'd like to understand the circumstances unde

[amibroker] Re: Trading Research and its Statistics

--- In amibroker@yahoogroups.com, "Anthony Faragasso" wrote: > > Price persistency formula in the AFL library has exactly what you are looking for. > That's a nice exploration. For anyone interested, I've extended it to provide parameterized colors on the output columns here

[amibroker] Re: PairTrading on Amibroker

Hello, for more clarification, please see a JPEG of an AA results of a pair trading strategy, stored in http://www.savefile.com/files/1989358. My problem is to let Amibroker know that trades in this example are not six but just three. And – for example – as for the first two lines: I don't have

[amibroker] Re: Trading Research and its Statistics

Another option. If you toss a coin enough times you will end up with 50/50 heads tails. The chance of tossing the second head is still 0.5 this assumes independency. You can use serial dependency formulas to calculate depenendency: refer to google, RalphVince or Howard Bandy (I seem to re

[amibroker] Re:Forex Finam quotes

Hey Jacco, Thanks for your post - it gave me the idea to delete the database and re-build it - no big deal as it contained only the 6 major pairs; it worked and now I have all updated until the last day. I don't know what happened but it works. Thanks, Carl

[amibroker] How to get IBcontroller to backfill 180 days of IB data?

Hi, hoping someone can help with this. I followed the instructions on the online video: http://www.amibroker.com/video/ib.html I am trying to backfill 180 days worth of 1-minute data on a single symbol (EUR.USD IDEALPRO-CASH). I even right click on the connection icon in the lower right of AB an

[amibroker] Re: did you know DTNIQ rate increase

maybe Telvent is a bad influence. in 2007 year end, when dtn increaesd the rates, they notified us in advance. in 2008 year end, it is a surprise price increase. maybe Telvent has something to do with it. wrote: > > > Building Telvent's Strategic Vision: Implications of DTN Acquisition > >

Re: [amibroker] get Buy/SELL fill px/per each orderID via ibcontroller (& 2 other questions...)

Hi timekeeper, a) Use AFL code b) getrtdata("bid") c) 1) delay will be what is in the AA Settings Trades window unless you say otherwise in the .afl c) 2) Yes, in the scenario you outlined, it would be. That is because you'd be calculating a value (the average) that uses hi and low from differe

[amibroker] Re: PairTrading on Amibroker +rotational

Hi, I was thinking you could have a system using rotational trading which trades pairs with highest absolute value of correlation (score=abs(correlate(a,b)) and then calculate the coefficients of the pair using the linear fitting function y=a x+ b which comes with AB. One way to do it it would be

[amibroker] Re: Using Bid Ask in RT trading

Hi Herman, I actually had to deal with some related problems since I trade high spread securities some time. My philosophy is that if you want your backtesting results to be realistic you should not buy/sell at the market, but buy at bid and sell at ask (act like a market maker) if your backtestin

[amibroker] Re: PairTrading on Amibroker

Hi Angelo, I have followed Tomasz's instructions and created a code sample based on it, and I get results pretty much just like your picture. So now I know of two ways to do this: 1. Create a composite and backtest on it. Pro's include exact numbers for your entry and exit basis, and all statisti

[amibroker] New file uploaded to amibroker

Hello, This email message is a notification to let you know that a file has been uploaded to the Files area of the amibroker group. File: /Matrix Backtester.doc Uploaded by : brian_z111 Description : Initial phase notes for backtester design (AFL plugin?) You can access this

[amibroker] Re: get Buy/SELL fill px/per each orderID via ibcontroller (& 2 other questions...)

Hi Chris, Mucho appreciado on jumping to my rescue here. i didn't realize big hedge fund pros have time to participate much in usergroups! Anyway, all questions answered except in reference to (a) & (b). What I still seem unable to find is the call function for getting the actual fillprice its

Re: [amibroker] Re: get Buy/SELL fill px/per each orderID via ibcontroller (& 2 other questions...)

Timekeeper, I'm having a bit of trouble seeing stuff I've written because I cannot log onto TWS (weekend rules). I don't think you can see the child orders of a parent. You'll probably have to use either: (a) separate orders, or (b) you'll have to retrieve the aggregate position from the ac

[amibroker] Difference between RequestTimedRefresh() and refresh interval setting?

Hello, I am having a hard time understanding the interaction between RequestTimedRefresh() and refresh interval setting in the intraday Preferences tab. The Preferences tab seems to be overriding my RequestTimedRefresh() no matter what I set either of them to. I want my AFL RequestTimedRef

Re: [amibroker] Difference between RequestTimedRefresh() and refresh interval setting? --solved

Please Ignore previous post. I figured it out. It works as it should. In a recent edit I accidentally deleted my RequestTimedRefresh() statement from one of my charts (but not the parameter that was supposed to control it). No wonder the non-existent statement had no effect... Duh! BR, Den

[amibroker] New file uploaded to amibroker

Hello, This email message is a notification to let you know that a file has been uploaded to the Files area of the amibroker group. File: /Matrix Backtester_v2.doc Uploaded by : brian_z111 Description : Intitial notes for Matrix Backtester design (AFL plugin) - V2 corrections