Amibroker help

[rb250660]

Regarding volatility, for me I find that the shorter your hold period the more you want, the longer your hold period the less you want. This becomes especially important in relation to exit style. If you trade once a week or once a month you almost certainly want lower volatility to keep draw downs to a minimum. However, of you trade end of day higher volatility ensures that things move enough to generate quick profits. It's also obvious that high volatility trades can move against you a lot more than low volatility trades over time. Things you might want to try is filtering for ATR or standard deviation or any other number of volatility measures.

 

[howardbandy]

Regarding volatility, for me I find that the shorter your hold period the more you want, the longer your hold period the less you want. This becomes especially important in relation to exit style. If you trade once a week or once a month you almost certainly want lower volatility to keep draw downs to a minimum. However, of you trade end of day higher volatility ensures that things move enough to generate quick profits. It's also obvious that high volatility trades can move against you a lot more than low volatility trades over time. Things you might want to try is filtering for ATR or standard deviation or any other number of volatility measures.

Hi RB, and all --

I don't think the relationship is that simple.

Volatility -- changes in the price of the issue being traded.

We need price change in the direction of our holding to produce profit. Price change opposite to our holding produces drawdown.

The limitation to a trading system is the maximum drawdown the trader can tolerate before declaring that the system is broken and must be taken offline.

So, we need "positive" volatility, but want to avoid "negative" volatility.

There is volatility inherent in the price series of the issue being traded, and that can be measured even before a model is fit to it. If the inherent volatility is too high, no set of rules will produce enough profit to offset the drawdown. If the inherent volatility is too low, there will not be enough profit to warrant the risk and / or to have this series preferred over some other series. When the volatility is in the Goldilocks range, we need a model (a set of rules) that identify good trades -- good entries that have us take a position before a period of "positive" volatility, and good exits that have us exit from the position before a period of ""negative" volatility.

So ---- First measure the inherent volatility in the price series. (And liquidity. -- We want high liquidity.) Then fit a model to the data in-sample, and verify that those rules continue to identify "good" trades out-of-sample. Analyze the risk and profit potential of the OOS trades and give those results a score. Do the same for whatever alternative systems are being considered. Trade the best one.

Best, Howard

 

[rb250660]

Hi Howard. Totally agree with what you have said. With my models I usually set an upper limit and lower limit to volatility filters. The lower limit is there to make sure we get into things that are going to actually move a reasonable amount during the holding period.

 

[lgmqy2000]

This is the Indicator thats standard in Amibroker for a composite volume profile or simply volume at price

PlotVAPOverlay( Param("Lines", 300, 100, 1000, 1 ), Param("Width", 5, 1, 100, 1 ), ParamColor("Color", colorCycle ), ParamToggle("Side", "Left|Right" ) | 4*ParamToggle("Z-order", "On top|Behind", 1 ) );

Now what I would like to have is a modified version of this that can draw colored lines of your choice in thickness and style at peaks and troughs on the profile depending on how much of the profile is showing. So these lines would be dynamic according to how much of the chart is in view, or alternatively by specified date range. I would also like to be able to specify the sensitivity of the peaks and troughs so that the lower the number the more peaks and troughs show up. So 01 is more sensitive and 99 is less sensitive and ignores all but the deepest troughs and the highest peaks. Labels on the levels is also required.

I'm willing to pay for this modification, upon agreement to a quote. Rather than put it out to quote on eLance, i thought i would do it here and then share the code.

CanOz

Hi canoz,
Any luck with finding someone able to customise the volume at price stats? I've been looking for the same feature but no luck so far. Willing to pay if you've got this working and don't mind sharing.

Cheers,
Tony

 

[CanOz]

Hi, tony. No I couldn't get a reliable coder coder to take this on, even ceasar Alvarez turned it down. I'd be willing to split costs on something that runs intraday on amibroker....

 

[Gringotts Bank]

Hi, tony. No I couldn't get a reliable coder coder to take this on, even ceasar Alvarez turned it down. I'd be willing to split costs on something that runs intraday on amibroker....

I've got a guy.

Or maybe use trash. Very hard guy to deal with, but great coder.

This is for AB.

 

[CanOz]

GB that's the thing i need except one profile for each 1440 minute period. I can only get 120 days of history from IQFeed though. The logic is simple: If the POC (high volume node on the profile) is "naked" that is it is untested, then its in play. If price tests this from a higher price then buy 1, stop -10 ticks. If price tests this from a lower price then sell 1, stop +10 ticks. Profit target = 10 ticks. Back test that for 120 days and see what the win rate is. There are similar tests for the prior days POC, VAL, VAH (value area high and low), range value area highs and lows, etc.

I don't have the data currently in AB format, unless NT8 can export it. Not sure if it can export metastock data format?

 

[Gringotts Bank]

GB that's the thing i need except one profile for each 1440 minute period. I can only get 120 days of history from IQFeed though. The logic is simple: If the POC (high volume node on the profile) is "naked" that is it is untested, then its in play. If price tests this from a higher price then buy 1, stop -10 ticks. If price tests this from a lower price then sell 1, stop +10 ticks. Profit target = 10 ticks. Back test that for 120 days and see what the win rate is. There are similar tests for the prior days POC, VAL, VAH (value area high and low), range value area highs and lows, etc.

I don't have the data currently in AB format, unless NT8 can export it. Not sure if it can export metastock data format?

The code for that screenshot is from trash's forum. You could follow up there and ask to get it modified. If he's prickly, try the new forum: http://forum.amibroker.com/

edit. As you can see he's already coded several versions.

http://amibrokerforum.proboards.com/thread/159/volume-price-buying-selling-volumes?page=3

 

[DaveDaGr8]

There are 2 ways to do this

the easy way = https://www.amibroker.com/guide/afl/plotvapoverlaya.html. ( note the "A" at the end )

The other way is write something based on Anderson Wilson/Trash vap code.

 

[lgmqy2000]

Hi, tony. No I couldn't get a reliable coder coder to take this on, even ceasar Alvarez turned it down. I'd be willing to split costs on something that runs intraday on amibroker....

Hi Canoz, thanks for the reply. Let me know if one day you find someone could do this and i'll help you halve the bill