hi,
i have a indicator which gives buy and sell signals
i want to get out of this signal after it moves 20 points in any direction.
but prior to this i want ot test this afl, need a exploration or someinput
in my afl
where i can know how many times it actually went up 20 points immediately
inthe
I'll suggest the following simple script :
cd /D P:\zz1
for %f in (*-T.dly) do tail -n 3 %f > ..\zz2\%f
remember you have to change %f to %%f if you store the script in a .BAT or
.CMD file
2009/11/13 lesv99
>
>
>
>
> Thanks. "Tail.exe" sounds like a good idea but I have problems with
> outputt
Hello ram,
I agree with Rick, the UKB is a good place for a start...
http://www.amibroker.org/userkb/
Besides this point, your question is endless and not easy.
First You have to ask yourself which rules do you want to trade ?
In the case of Donchian lines, this is not a simple cross. It's mu
I'm not familiar with ivolatility.com, but I would guess they are calculating
an implied volatility based on closing SP option prices using an option pricing
model like Black-Scholes.
Regards,
David
--- In amibroker@yahoogroups.com, Potato Soup wrote:
>
> I'm trying to plot the 30 day hist
Thx but they are showing historical or realized volatility, not implied as far
as I can tell.
More to the point is what I'm doing correct or are there other preferred
methods of calculating historical volatility?
-Original Message-
From: "dbwyatt_1999"
Date: Sat, 14 Nov 2009 14:01:24
here is how I calculate Historical volatility: ( 20 period )
hv1=20;
vl= StDev(log(C/Ref(C,-1)),hv1)*sqrt(365);
- Original Message -
From: Potato Soup
To: AmiBroker (Discussion List)
Sent: Saturday, November 14, 2009 9:33 AM
Subject: Re: [amibroker] Re: Trying to plot histor
Thanks, I think your formula is correct, except you should be multiplying by
260, not 365, since 260 reflects actual trading days.
See here: http://www2.barchart.com/support/learning.asp?what=hisvol&code=BSTK
When I change your formula to 260, the results look very close to what is found
on IVo
Yes, you are right. I can rewrite it...
But 50 is not defined. But after searching in the WEB I think I translated it
quite correctly.
Thanks, dubi
--- In amibroker@yahoogroups.com, Rajiv Arya wrote:
>
>
> Can rewrite this
>
> summ = 0;
> for( i = 5; i < BarCount; i++ )
> {
> if ((22*KAdjus
Hi Howard and all,
yes SPSO is the inbuild particle optimizer When I optimize for Ulcer Index
I do not take everytime the best choice, as I do not do it when I optimize for
%Net Perf or CAR/MDD. Eaxmple: If I have let's say 3 parameters 100x100x100 I
would get 1mn options. If I optimize for
I believe there is much discussion about Trading days or calender year in
calculating historical volatility...I trade options
and use calender days in my calculation...
Anthony
- Original Message -
From: potatosoupz
To: amibroker@yahoogroups.com
Sent: Saturday, November 14, 2
Hi,
Maybe I was not clear. With SetOption( field, value ) I can set a lot of
options in the AA window. Also in the Toolbar I can change the filtering from
24hours to just day session etc.
But sometimes I would like to change this for one and the same contract (as one
indicator/system uses 24h h
No, I don`t want to buy another copy of Amibroker, I am a legal user holding
non-mandatory accessorial licenses as well. Atr least I thought so. But through
this amibroker trojan I am unable to access amibroker on any of my machines.
No, I never distributed Amibroker, when I hear of copyright vi
No performance increase with RAM Disk and CDI data.
If anyone is using these and gets better performance, please let me know. I'm
running Vista. And created 500mb RAM disk. I copy the database to the Ram disk
and reset Amibroker(5.2) to use it, but get no increase in performance. My one
year da
On the contrary, you show amazingly close agreement, especially since you
scale up using calendar days rather than trading days: The difference is
less than 1.9 %, what is insignificant for volatility data. The difference
can be the result of different data source or interpretation.
1. You have t
> I trade options and use calender days in my calculation...
Why are calendar days any better for options trading
than trading days?
Have you used the AFL Code Profiler (AFL Editor: Tools->Code Check & Profile)?
You can determine which functions are consuming the most time and sometimes
find faster ways of implementing them. For example, I found WMA (weighted
moving average) to be much slower than EMA (exponential moving av
my belief is because of the time decay portion of optionsoption decay does
not ** turn off **during non trading
days
- Original Message -
From: windwhupper
To: amibroker@yahoogroups.com
Sent: Saturday, November 14, 2009 1:50 PM
Subject: [amibroker] Re: Trying to plot h
It may not be a problem with Amibroker. Sometimes if a malware gets on your
computer it can make strange things happen. Happened to me once making some
of my registered software stop functioning. You should be able to work it
out with AB support.
On Sat, Nov 14, 2009 at 11:36 AM, frankphd_us wrot
Thanks a lot. The batch file works like a charm. Here it is, for the record:
File: zz.bat
cd /D P:\zz1
for %%f in (*-T.dly) do tail -n 3 %%f > ..\zz2\%%f
http://img188.imageshack.us/img188/6497/11142009181112.png
--- In amibroker@yahoogroups.com, Robert Chevallier
wrote:
>
> I'll
I'm working with IQFeed tick data. They don't seem to provide bid/ask quotes,
just trades. What's the consensus on whether this matters? I've seen it argued
that a lot of games go on with quotes, fakeouts, etc. And that trade ticks are
all that matter. Seems though for less liquid instruments yo
Hello,
What the heck are you talking about ?!?!?!?!?
AmiBroker does not phone home.
If you got viruses you caught them by yourself from sites that you have visited
on your own.
You better run virus check or restore your backups or reinstall windows as last
resort.
Best regards,
Tomasz Janeczko
Here is my take on it. I've enjoyed seeing how others are approaching this.
Periods=Param("Periods", 10, 5, 252, 1);
DailyChg=ROC(C,1);
STD = StDev(DailyChg, Periods );
HV = STD*sqrt(252);
--- In amibroker@yahoogroups.com, Potato Soup wrote:
>
> I'm trying to plot the 30 day historical volat
Ah! so a 'copy' was run... Methinks you watch too much 'Fox News' .
- frankphd_us wrote:
> ... But through this amibroker trojan I am unable to access amibroker
> on any of my machines.
> ... That -maybe- was my mistake, somebody might have run an illegal
> copy off his stick on my
This may solve some of your problems. Check it out.
http://preview.collective2.com/
Mike wrote:
I wouldn't be too quick to jump to that conclusion. There are many
vendors that have been marketing trading subscription services for
years, not to mention print media doing the same (albeit at a
and then, as someone else posted here some time ago, there is Parkinsons
Historical Volatility
Periods=Param( "Periods" , 10, 5, 252, 1);
Rt = log( H / L );
R2 = sqrt( Sum( Rt ^ 2 * ( 1 / ( 4 * log( 2 ) ) ), Periods) / Periods) *
100;
which produced results similar in shape (but diff
Dubi --
You can make up your own metric. See addcustommetric() and custom back
test, CBT, in the users guide and on amibroker.com.
http://www.amibroker.com/docs/ab401.html
For example, say you want maximum UPI, but you also feel that you would
prefer number of trades to be near 5.
OptTrades
Hi,
If using trading days, the 260 figure does not take into consideration the
various holidays, but rather is just the number of calendar days minus the
number of weekend days.
Running a simple Scan on EOD data will show that US markets typically have
about 252 trading days/year, ranging from
Read about time frame support and see if that helps you:
http://amibroker.com/guide/h_timeframe.html
Mike
--- In amibroker@yahoogroups.com, "dubi1974" wrote:
>
> Hi,
>
> Maybe I was not clear. With SetOption( field, value ) I can set a lot of
> options in the AA window. Also in the Toolbar I
Thanks Keith.
I was looking for a link like that to include in my original reply. However,
that does not help for vendors producing tools as opposed to strategies (e.g.
an indicator, an optimizer, etc). For tools vendors, the vendor would still
need some kind of license solution.
Mike
--- In
Dear all...
I send u 2 attachment file which show different value of VWAP (volume weighted
average price)
I want to export VWAP values in1Minutes chart into daily chart, and here my AFL
code:
In 1 minutes chart i plot this AFL:
Bars_so_far_today = 1 + BarsSince( Day() != Ref(Day(), -1));
StartB
DON'T let your 'Protection' scheme reduce your profits!
Nobody asked for my opinions on software marketing. But here they are
anyway (you are not required to read any further if you don't want to).
If you are selling, or renting, software, you want to maximize the
number of PAYING customers.
Hi h153tu,
Please try this , by adding these lines
TimeFrameSet( inDaily) ;
Bars_so_far_today = 1+BarsSince( Day() != Ref(Day(), -1));
StartBar = ValueWhen(TimeNum( ) == 093000, BarIndex());
TodayVolume = Sum(V,Bars_so_far_today) ;
IIf (BarIndex() >= StartBar, VWAPd = Sum (C * V, Bars_so_far_to
There are several ways of calculating and each is a bit different. If you want
to duplicate iVolatility why not start with their formulation?
http://www.ivolatility.com/help/2.html#hv
- Original Message -
From: Potato Soup
To: amibroker@yahoogroups.com
Sent: November 13, 2009
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