Registered: Jun 2004
10-12-07 09:25 AM
BOTH your "roadmap" points are already possible with AB. Limit / stop orders are 2 lines. For example limit:
BuyPrice = Min( Open, LimitPrice );
Buy = EnterLong AND Low < LimitPrice;
Scaling is possible too (Did you see http://www.amibroker.com/guide/h_pyramid.html )
Actually everything imaginable is possible.
Did you see custom backtester ?
Did you see our rebalancing examples?
PositionSizing: that's as easy as it gets - one liner - see
Thank you Tomasz, I know I can build Limit and Stop with code, but "Built orders Function" could be better. I had already developped my own "Built In" Order library with position sizing 3 years ago (single position size for the moment) ... But I didn't know I could exit a position at any given price, I stoped working with Amibroker just after the first release allowing multiple exits (what you called pyramiding) because only the first exit could be setting up at a given price, the rest of position could only be exit at the close of signal bar.
You send me links showing a better control of the execution prices ... so multiple exist seems to be possible ... But It's only usable If I can include it in my "Fast System Developpement" Famework ... I will check it out and if everything is Ok, I will leave Multicharts until they solve their database performance issue.
Another very important suggestion (or question if you already have the answer) :
- I had saved a lot of Tradestation Historical data before to cancel my subscription to switch to eSignal
- TS Bars Date/Time is based on Close
- eSignal Bars Bars Date/Time is based on Open
- Amibroker use the native eSignal Mode so if I import my existing long intraday historical TS data into Amibroker then connect my eSignal data feed to complete missing recent datas ... the Time Stamp of recent data comming from eSignal is not the same as the old datas coming from TS
- Multichart transform the eSignal Timestamp reference into a TS TimeStamp reference, so Historicals and Recent datas matches perfectly
- With Amibroker that's a very big problem for Backtest :
Example : Non Farm Payroll is at 12h30 GMT : If I want to enter at the close just before the NFP on a 5 minutes based char: on TS data I will enter at the close of the 12h30 bar, on the eSignal data I will enter at the Open of the 12h30 bar or at the close of the 12h25 bar.
Precision : I don't want to use Excel or any script to convert my hudge amount of data ... It's much better to add a "TimeStamp Reference Tuning" capability to Amibroker.
Is it possible to add the capability to set up the TimeStamp reference for eSignal Backfill ? So imports and realtime will match perfectly ...