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I've applied to the other list but can't access it yet.
Maybe it's apparent from what you say there but would there be a need
for simultaneous instances if you could access the EOD database
directly from an RT instance? If not, you could just run the EOD
version once a day to update the data. Does the EOD version ever need
to access the RT version for anything?
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> You may want to read my post on the DLL list
> http://finance.groups.yahoo.com/group/amibroker-dll/message/1320
>
> From my post you will see that I prefer two independent but
simultaeous,
> AmiBroker instances (one RT and one EOD) so that they can
communicate with
> each other. I would be quite happy to run the EOD on one screen and
run the
> RT on another - as long as my RT could access the EOD Signals and
> Statistics.
>
> I currently have a prototype running in this fashion, it requires
Exporting
> the EOD tradelist to allow my RT code to read it. I use String
Manipulation
> to parse the code, match dates, and fill in my RT data with EOD
> signals/prices. While running RT i use the selected (or loop) date
to
> retrieve the relevant Row from the TradeReport file. It works but
is slow
> and still buggie, I would prefer a simple and fast DLL as outlined
in my DLL
> post. As you can read there it would offer a variety of other
attractive
> applications. With a little luck somebody with C-expertise will
like the
> idea and write a DLL. Most of the work has already been done and is
> available from the public domain OSAKA C-Sourcecode in DLL files.
>
> wrt the -at list, I gave up on Ninja because i found it too highly
> integrated with it's proprietary Entry/Exit strategies. I prefer to
do my
> "own thing" using the simplest possible API interface. There
haven't been
> many posts because Tomasz may be offering Automated trading at some
point,
> it would be unlikely for any parallel efforts to be competative in
terms of
> features, reliability and delivery date.
>
> best regards,
> herman
> -----Original Message-----
> From: mrdavis9 [mailto:mrdavis9@x...]
> Sent: Sunday, April 11, 2004 5:23 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Re: Real-Time Trading System Examples
> Importance: High
>
>
> My post below was intended to encourage you to keep this
discussion
> PUBLIC, and only use private emails where necessary. I won't have
time to
> study it in depth till later. However, I am saving all automated
trading
> discussions that I see in an Outlook Express folder entitled
AUTOMATED
> TRADING. I don't have a lot of saved messages yet, but I have
copied one
> here as an example of what I am saving, I saw this on the Ninja
Trader yahoo
> group. I stopped watching their discussions awhile back. Ron D
> ==================================================================
>
> I've taken 5 systems which I was using to trade manually, changed
> them so they can run without me, backtested them on IRT until I'm
> happy with them and set them off live.
>
> Expectancy (based on (Pw * Aw)- (Pl * Al) where P = probability,
A =
> Average, w = win and l = loss) ranges from 1.8 to 2.7 and R/R from
> 2.4 to 6.1. Percent wins range from 38% to 52% in the backtest
> period. All systems use a variety of indicators (CCI, FASTD and
> custom indicators mostly) and multiple time frames.
>
> The single most important factor in improving backtested
performance
> turned out to be identifying conditions in longer timeframes which
> lead to poor results and modifying the scans to prevent trading
when
> those conditions apply. With some scans this results in very few
> trades (15 or 20 per quarter) so backtest results are
statistically
> dubious and, as backtesting itself is not a 100% representation of
> what will happen in real life, I will hold off buying the yacht
for
> the timebeing.
>
> ========================================================
> ----- Original Message -----
> From: dingo
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, April 11, 2004 1:49 PM
> Subject: RE: [amibroker] Re: Real-Time Trading System Examples
>
>
> I posted some code (vbScript) to export the trade list under
some
> circumstances - look back using this thread subject.
>
> d
>
>
>
> --------------------------------------------------------------------
------
> From: mrdavis9 [mailto:mrdavis9@x...]
> Sent: Sunday, April 11, 2004 2:38 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Re: Real-Time Trading System Examples
>
>
> I am also interested in the subject of this thread. Ron D
> ----- Original Message -----
> From: danielwardadams
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, April 11, 2004 1:30 PM
> Subject: [amibroker] Re: Real-Time Trading System Examples
>
>
> Herman & dingo,
> I'd also be interested in anything you come up with. I want
to solve
> the same problem as you Herman. Hope you're making better
progress
> than me though ...
>
> Dan
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx>
wrote:
> > sounds neat. I'll contact you off-line to work up some
specs.
> >
> > d
> >
> >
> > _____
> >
> > From: Herman van den Bergen [mailto:psytek@x...]
> > Sent: Friday, April 09, 2004 9:51 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Real-Time Trading System Examples
> >
> >
> > Anytime you are ready, if you write the code for the
tradelist
> export I'll
> > share whatever afl I turn out to read the file from RT :-)
> > I have the basics working and hope to finish it over the
weekend.
> It is kind
> > of neat you just click anywhere on the RT chart and see
all the
> EOD
> > particulars in the RT Interpretation window :-) still
have to do
> the date
> > matching...
> >
> > h
> >
> >
> >
> > -----Original Message-----
> > From: dingo [mailto:dingo@x...]
> > Sent: Friday, April 09, 2004 9:37 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Real-Time Trading System Examples
> > Importance: High
> >
> >
> > Your BTW is EXACTLY what I was going to suggest.
> >
> > I'll work you up something to do the exporting (and
little bit
> more). How
> > soon do you need it?
> >
> > d
> >
> >
> >
> > _____
> >
> > From: Herman van den Bergen [mailto:psytek@x...]
> > Sent: Friday, April 09, 2004 9:13 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Real-Time Trading System Examples
> >
> >
> > InLine...
> >
> > -----Original Message-----
> > From: dingo [mailto:dingo@x...]
> > Sent: Friday, April 09, 2004 7:49 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Real-Time Trading System Examples
> > Importance: High
> >
> >
> > I'm still trying to get my head around what approach
you're
> wanting
> to take.
> >
> > Are you going to use EOD data and formula to produce your
buy
> signals?
> > Yes, because they are more accurate than RT signals - for
what i
> am
> doing.
> >
> > Or are you going to use Realtime data and another formula
to do
> your
> > entries?
> > Yes.
> >
> > Are you going to use Realtime data and formula to manage
> stops/exits for
> > open positions?
> > Yes.
> >
> > If that's the case then you won't need to mix your
databases and
> your EOD
> > formula can be separate from the realtime formula, right?
> > Indeed, but only in real trading, the problem is that I
need to
> > develop&optimize the RT components with backtesting. How
would I
> optimize my
> > RT stops over historical data if I don't have access to
the EOD
> signals,
> > stock picks, scores, shares, and trade-prices in my
formula? All
> these are
> > based on EOD data and can not be calculated accurately in
RT.
> >
> > I assume you have the EOD formula that generates the buys
working
> > satisfactorily?
> > Yes, but is is price sensitive and gets all confused
dealing with
>
> things
> > like -17 to +30 cts RT volatility/noise of the OHLC
Prices (AAPL).
> >
> > If you are going to use a formula to manage your
stops/exits have
> you been
> > able to complete this or is this the question that you're
asking?
> > There are many formulas and i haven't decided which to
use, My
> system must
> > first work with EOD performance in an RT environment.
> >
> > Assuming you have a formula to manage those stops/exits -
have you
> worked
> > out a way to trigger the trade?
> > NO.
> >
> > I believe you mentioned that Ninja Trader wasn't the
answer. Is
> this a
> > piece you're asking about as well?
> > Not now, waiting for TJ to introduce automation... i
still have
> work to do
> > and hope to be ready when TJ is...
> >
> > Lots of questions, eh?
> > Not really; I have a lot more :-)
> >
> > I'm asking because I'm headed in that direction as well -
just not
> as ready
> > as you are right now.
> > Let me know how things work out for you... and what path
you
> decide
> on.
> >
> > BTW, today I thought of another approach, a brute force
method
> alright but
> > it might work. I simply export the entire EOD trade list
and read
> it from
> > the RT code. For each RT date I look up the matching EOD
row in
> the
> Trade
> > list, I then extract whatever information i need. Tried
it, It is
> actually
> > faster than i expected. All i need now is an automatic
Export at
> the end of
> > my EOD backtest ;-) any ideas?
> >
> > h
> >
> > TIA
> >
> > d
> >
> >
> > _____
> >
> > From: Herman van den Bergen [mailto:psytek@x...]
> > Sent: Friday, April 09, 2004 12:01 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Real-Time Trading System Examples
> >
> >
> > [d]Or are you trying to take an EOD system and trying to
make your
> system
> > "more granular" and pick the same patterns in intraday
data?
> >
> > I am mainly trying to improve Entries and Exits, i am not
looking
> for
> > patterns. The systems work fine in EOD but I observed on
the RT
> charts that
> > i often miss locking in some really nice profits that
fade before
> I
> exit. So
> > i want to code in Trailing stops that activate at a
certain profit
> and than
> > exit when the price drops back a bit. For example, if my
profits
> reaches 2%
> > during the first two hours of the trade, then i want to
activate a
> Stop and
> > exit when my profits drop back to 1.5%. ApplyStops cannot
be used
> in very
> > short-term (1-3 days) trading because on the day of exit
it is
> unknown which
> > came first, the High or the Low, or with profit stops,
how many
> dips there
> > were during the day that would have terminated the trade.
RT data
> is needed
> > to develop proper stops. limits, etc. with the short
trades i use.
> >
> > If i trade 1-3 times a week and i might be able to reduce
my
> exposure by 50%
> > if I managed to get out based on profits instead of
timing. I
> would
> prefer
> > overall less profits if it came with less exposure. Also,
the
> strength of
> > signals fades pretty fast... have you ever tested your n-
Bar
> profits? i.e.
> > profits made on the 1st, 2nd and 3rd day? You can vary
the entry
> delay and
> > use n-Bar stops to limit the trade duration, that way you
> can "isolated"
> > single days (profits) of your trade. For me, typical
profit
> distributions
> > might be 65% 25% 10% for a system with an average of 3-
bar trades.
> So the
> > first day obviously has the greatest profit potential at
the least
> exposure.
> > IMHO, short term signals have a limited life-time: after
a certain
> number of
> > days you are just hoping to get lucky :-) knowing your n-
Bar
> profits may
> > help you decide whether it is worth it (risk) to stay in
a trade
> or
> not.
> >
> > [d] IMHO you are in un-charted waters as far as AB goes.
> >
> > We got some smart cookies on this list, I just can't
believe that
> nobody is
> > working on this; it appears the obvious way to keep your
EOD
> system
> working
> > now that RT trading is catching on. So I hope you are
wrong on
> this
> one :-)
> >
> > h
> >
> > -----Original Message-----
> > From: dingo [mailto:dingo@x...]
> > Sent: Friday, April 09, 2004 11:21 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Real-Time Trading System Examples
> > Importance: High
> >
> >
> > IMHO you are in un-charted waters as far as AB goes.
> >
> > Are you trying to come up with a system to do backtesting
with or
> one to
> > monitor trades / manage stops for real-time trading? Or
are you
> trying to
> > take an EOD system and trying to make your system "more
granular"
> and pick
> > the same patterns in intraday data?
> >
> > d
> >
> >
> > _____
> >
> > From: Herman van den Bergen [mailto:psytek@x...]
> > Sent: Friday, April 09, 2004 11:14 AM
> > To: AmiBroker YahooGroups
> > Subject: [amibroker] Real-Time Trading System Examples
> >
> >
> > Would anybody have some example code for Real Time trading
> systems?
> I have
> > considerable trouble converting EOD systems to RT data -
tried too
> many ways
> > to mention but always hit a snag at some advanced point.
My
> problem
> areas
> > are:
> >
> > 1) Converting or duplicating EOD signals to RT, I need
this
> because
> EOD data
> > prices are more accurate than those I get from RT sources.
> > 2) Running the basic EOD system in RT, i.e. reproduce EOD
signals
> in RT. I
> > want this as a verification stage before trying to
enhance the
> system with
> > RT data
> > 3) Custom coding Profit targets, Limit Prices and Stops.
> > 4) Optimizing entry points by using Pre/after hours
trading and/or
> using
> > delayed/early entries and exits.
> > 5) Showing EOD Arrows (derived from EOD data, not from RT
data) on
> my minute
> > charts.
> >
> > If anybody has example code or reference URLs to share
that would
> be much
> > appreciated.
> >
> > Also, i am beginning to wonder how many subscribers, if
any, have
> actually
> > solved the above problems. If you have done so perhaps
you can
> share this
> > simple fact (no code needed), knowing that it has been
done
> successfully is
> > a great motivator :-)
> >
> > TIA and best regards,
> > herman.
> >
> >
> >
> >
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> > _____
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