Amibroker FAQ

jamesfisher · 21 September 2015

I'm trying to get HHV of first 5 bars of the day on EUR/USD (timeframe 1 H). I know how to get the first bar of the day and value for first high:

Code:

FirstBar = DateNum() !=  Ref(DateNum(),-1);
FirstHigh = ValueWhen(FirstBar ,H);

but don't know how to get HHV of first 5 bars. Thanks for prompt.

trash · 21 September 2015

jamesfisher said:
I'm trying to get HHV of first 5 bars of the day on EUR/USD (timeframe 1 H). I know how to get the first bar of the day and value for first high:

Code:

FirstBar = DateNum() != Ref(DateNum(),-1); FirstHigh = ValueWhen(FirstBar ,H);

but don't know how to get HHV of first 5 bars. Thanks for prompt.

Code:

bars = 5;

dn = DateNum();
newday = dn != Ref(dn,-1); 
FirstHigh = ValueWhen( Barssince( newday ) == bars-1, HHV( H, bars ) );

Plot( C, "Price", colorDefault, styleCandle, Null, Null, 0, 1 ); 
Plot( FirstHigh, "HHV" + bars, colorGreen, styleStaircase | styleDashed, Null, Null, 0, 1 );

jamesfisher · 21 September 2015

trash said:

Code:

bars = 5;

dn = DateNum();
newday = dn != Ref(dn,-1); 
FirstHigh = ValueWhen( Barssince( newday ) == bars-1, HHV( H, bars ) );

Plot( C, "Price", colorDefault, styleCandle, Null, Null, 0, 1 ); 
Plot( FirstHigh, "HHV" + bars, colorGreen, styleStaircase | styleDashed, Null, Null, 0, 1 );

Thanks a lot. It works

Gringotts Bank · 22 September 2015

trash (or anyone else),

Would you be interested in a small job? Will pay (small) fee. Uses AHK (AutoHotKey macro software).
I've done half of it but got stuck. Involves getting orders into TWS from a csv file.

trash · 22 September 2015

Gringotts Bank said:
trash (or anyone else),

Would you be interested in a small job? Will pay (small) fee. Uses AHK (AutoHotKey macro software).
I've done half of it but got stuck. Involves getting orders into TWS from a csv file.

Why AHK?
Just use Amibroker's IBcontroller.

Gringotts Bank · 22 September 2015

trash said:
Why AHK?
Just use Amibroker's IBcontroller.

Hey,

IBcontroller doesn't let you create conditional orders.

Gringotts Bank · 22 September 2015

Don't worry trash. I'm fairly close now, and AHK language is quite different to others apparently.

I'm two days in, starting from scratch!

trash · 23 September 2015

Gringotts Bank said:
Hey,

IBcontroller doesn't let you create conditional orders.

Yes, you can but rather read from TWS API docs http://i.imgur.com/42UM2KV.png

You have to monitor on your end.

Gringotts Bank · 23 September 2015

trash said:
Yes, you can but rather read from TWS API docs http://i.imgur.com/42UM2KV.png

You have to monitor on your end.

Thanks trash, but I would prefer to be able to have my PC switched off at least for part of the day.

Here's where I'm at it you're interested.

http://www.autohotkey.com/board/topic/149517-read-data-from-csv-file-form-fill-to-app/?p=732770

jamesfisher · 30 September 2015

I implemented simple breakout from range (from first 10 bars during a day) as below and try to add break even (after reaching 20% of target) to the code but I don't know if it is possible without using loops. Thanks for prompt

Code:

SetTradeDelays(0,0,0,0);

bars= 10;

firstBar = DateNum() !=  Ref(DateNum(),-1);

max_from_bars = ValueWhen(BarsSince(firstBar)==bars-1, HHV(H,bars));
min_from_bars = ValueWhen(BarsSince(firstBar)==bars-1, LLV(L,bars));

range = max_from_bars - min_from_bars;

Buy = H > max_from_bars AND BarsSince(firstBar)>=bars ;
Sell =  L < min_from_bars OR H >= max_from_bars+range;
Short = L < min_from_bars AND BarsSince(firstBar)>=bars;
Cover =  H > max_from_bars OR L <= min_from_bars-range;

BuyPrice = Max(O,max_from_bars);
SellPrice = 0;
ShortPrice = Min(O,min_from_bars);
CoverPrice = 0;

ApplyStop(stopTypeProfit,stopModePoint,range);
ApplyStop(stopTypeLoss,stopModePoint,range);

Wysiwyg · 1 October 2015

jamesfisher said:
I implemented simple breakout from range (from first 10 bars during a day) as below and try to add break even (after reaching 20% of target) to the code but I don't know if it is possible without using loops. Thanks for prompt

Do you know ValueWhen references the future and is therefore misleading in backtesting?

Gringotts Bank · 1 October 2015

Wysiwyg said:
Do you know ValueWhen references the future and is therefore misleading in backtesting?

Not necessarily. Valuewhen can reference historical data.

Wysiwyg · 1 October 2015

Gringotts Bank said:
Not necessarily. Valuewhen can reference historical data.

Yes in this case it defaults to n = 1.

Firstbar = any day other than yesterday (random day)
ValueWhen BarsSince Firstbar is equivalent to 9 (any bar 9 days from random day), returns the HHV(H, 10), most recently (1)

Is not ---- Ref(HHV(H, 10), -1); the same?

trash · 1 October 2015

Wysiwyg said:
Do you know ValueWhen references the future and is therefore misleading in backtesting?

I'm sorry to say but that's nonsense.

Wysiwyg said:
Yes in this case it defaults to n = 1.

No. All positive n values equal or higher than 1 in ValueWhen(EXPRESSION, ARRAY, n = 1) reference past occurrences! If you set n to 5 then it would look for the 5-th past occurrence. n = 1 is just default if you don't define any other n value yourself. Nothing more nothing less.

https://www.amibroker.com/guide/afl/valuewhen.html

Wysiwyg said:
Firstbar = any day other than yesterday (random day)
ValueWhen BarsSince Firstbar is equivalent to 9 (any bar 9 days from random day), returns the HHV(H, 10), most recently (1)

Is not ---- Ref(HHV(H, 10), -1); the same?

The code

Code:

bars = 5;

dn = DateNum();
newday = dn != Ref(dn,-1); 
FirstHigh = ValueWhen( Barssince( newday ) == bars-1, HHV( H, bars ) );

is for intra-day data but not for EOD! It makes no sense using it on EOD data.
The code pinpoints that single bar that has past the same number of bars being set in 'bars' variable since new day. It is an equality check. Then from that point backwards it looks for the highest defined array of that day only. If there is a new day then it starts again. ValueWhen keeps "currently" found value available until there is a new one being true. http://i.imgur.com/x0EENHA.png

There is no "looking into future" and random involved in upper code.

trash · 1 October 2015

If you wanna do something similar on EOD bars then you would have to change to something like the following code

Code:

bars = 5;

mth = Month();
newmonth = mth != Ref(mth,-1); 
FirstHigh = ValueWhen( Barssince( newmonth ) == bars-1, HHV( H, bars ) );

Plot( C, "Price", colorDefault, styleCandle, Null, Null, 0, 1 ); 
Plot( FirstHigh, "HHV" + bars, colorGreen, styleStaircase | styleDashed, Null, Null, 0, 1 );

jamesfisher · 2 October 2015

I know that . Do do you have idea if it's possible to add break even after reaching 20% of target without loops to my intraday code?

Code:

SetTradeDelays(0,0,0,0);

bars= 10;

firstBar = DateNum() !=  Ref(DateNum(),-1);

max_from_bars = ValueWhen(BarsSince(firstBar)==bars-1, HHV(H,bars));
min_from_bars = ValueWhen(BarsSince(firstBar)==bars-1, LLV(L,bars));

range = max_from_bars - min_from_bars;

Buy = H > max_from_bars AND BarsSince(firstBar)>=bars ;
Sell =  L < min_from_bars OR H >= max_from_bars+range;
Short = L < min_from_bars AND BarsSince(firstBar)>=bars;
Cover =  H > max_from_bars OR L <= min_from_bars-range;

BuyPrice = Max(O,max_from_bars);
SellPrice = 0;
ShortPrice = Min(O,min_from_bars);
CoverPrice = 0;

ApplyStop(stopTypeProfit,stopModePoint,range);
ApplyStop(stopTypeLoss,stopModePoint,range);

trash · 2 October 2015

AFAICS, you would have to do looping.

Gringotts Bank · 2 October 2015

Some help please.

I'm testing on a weekly time frame.

I want to ensure my Buyprice <=H and >=L on a daily time frame.

I've tried priceboundcheck and TimeFrameSet(InDaily), but no luck.

jamesfisher · 5 October 2015

Gringotts Bank said:
Some help please.

I'm testing on a weekly time frame.

I want to ensure my Buyprice <=H and >=L on a daily time frame.

I've tried priceboundcheck and TimeFrameSet(InDaily), but no luck.

As far as I know you should use daily time frame to test and use:
TimeFrameSet(inWeekly);
//your calculations
TimeFrameRestore();

Gringotts Bank · 5 October 2015

jamesfisher said:
As far as I know you should use daily time frame to test and use:
TimeFrameSet(inWeekly);
//your calculations
TimeFrameRestore();

ok thanks

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