AmiBroker Users' Knowledge Base

February 21, 2009

Plotting trades on chart

the objective is to plot trades on chart so that it can be revieweed periodically to learn to trade better. the objective

is to produce a generic afl that will take in the symbol, trade dates and prices and plot on a chart.
support different timeframes so the plotting is still visible. daily, weekly, intraday, 5 minute/15 minute
ability to support position scaling as there may be multiple trade entries /exits

this afl needs the input in terms of static variables as follows. so you may need an adapter that will take your trades and put it to afl.



// defines if it is a stock or forex.

StaticVarSetText( "TradeType" , "Stocks" ); //Stocks|Forex

// defines the forex symbol

StaticVarSetText( "forexSymbol" , "SBUX" ); //"EUR.USD-IDEALPRO-CASH|

// defines the stock symbol

StaticVarSetText( "StockSymbol", "SBUX" ); // "YHOO"

// long or short trade.

StaticVarSetText( "ShortOrLong" , "Long" ); //"Short|Long"

// entry prices

StaticVarSetText( "EntryPrice" , "14.5,15.5" );

// exit prices

StaticVarSetText( "ExitPrice" , "14.3" );

// entry date in date number comma delimited

StaticVarSetText( "EntryDate" , "1080717,1080723" );

// exit date in date number. comma delimited

StaticVarSetText( "ExitDate", "1080725" );

// entry time in time number comma delimited

StaticVarSetText( "EntryTime", "142500,120000" );

// exit time in time number comma delimited

StaticVarSetText( "ExitTime" , "110500" );

// trade id. its an internal key for me

StaticVarSetText( "Tradeid" , "4" );

// trade strategy.

StaticVarSetText( "TradeStrategy" , "fsdfdsfds" );

// any comments on trade

StaticVarSetText( "TradeComments" , "this is the comment" );

/* sets no of entries so that the code loops when printing the number

of trdes.

if 1, then ther should be only 1 entry date/time

if there are more thatn 1 entry or exits, the number of comma delimited entries exits should match the static variable NoOfEntries and same applies for exits

*/

StaticVarSet( "NoOfEntries" , 2 );

//same as above.

StaticVarSet( "NoOfExits" , 1 );

SetChartOptions( 0, chartShowArrows | chartShowDates ); _N( Title = StrFormat( “{{NAME}} – {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}”, O, H, L, C, SelectedValue( ROC( C, 1 ) ) ) ); Title = Title + “\n” + NumToStr( DateNum() ); Title = Title + “\n” + NumToStr( TimeNum() ); Plot( C, “Close”, ParamColor( “Color”, colorBlack ), styleNoTitle | ParamStyle( “Style” ) | GetPriceStyle() ); //_TRACE(“ABTest: test trace1 “);


//#include “C:\Program Files\AmiBroker\sharedLibrary\DateTimeToNumber.afl”
/*

#include “C:\Program Files\AmiBroker\sharedLibrary\DateTimeToNumber.afl”

        StaticVarSetText( “TradeType” ,”Stocks”);  //Stocks|Forex

        StaticVarSetText( “forexSymbol” ,”AAPL”); //”EUR.USD-IDEALPRO-CASH|

        StaticVarSetText( “StockSymbol”,”AAPL”); //  “YHOO”

        StaticVarSetText( “ShortOrLong” ,”Short”);  //”Short|Long”

        StaticVarSet( “EntryPrice” ,163.52000);

        StaticVarSet( “ExitPrice” ,148.18000);

        StaticVarSet( “EntryDate” ,Date_To_Num(“20080721”));

        StaticVarSet( “ExitDate” ,Date_To_Num(“20080721”));

        StaticVarSet( “EntryTime”,Time_To_Num(“11:01:47”) );

        StaticVarSet( “ExitTime” ,Time_To_Num(“17:52:17”));
StaticVarSetText( “TradeType” , “Stocks” );  //Stocks|Forex

StaticVarSetText( “forexSymbol” , “SBUX” ); //”EUR.USD-IDEALPRO-CASH|

StaticVarSetText( “StockSymbol”, “SBUX” ); //  “YHOO”

StaticVarSetText( “ShortOrLong” , “Long” );  //”Short|Long”

StaticVarSetText( “EntryPrice” , “14.5,15.5” );

StaticVarSetText( “ExitPrice” , “14.3” );

StaticVarSetText( “EntryDate” , “1080717,1080723” );

StaticVarSetText( “ExitDate”, “1080725” );

StaticVarSetText( “EntryTime”, “142500,120000” );

StaticVarSetText( “ExitTime” , “110500” );

StaticVarSetText( “Tradeid” , “4” );

StaticVarSetText( “TradeStrategy” , “fsdfdsfds” );

StaticVarSetText( “TradeComments” , “this is the comment” );
StaticVarSet( “NoOfEntries” , 2 );

StaticVarSet( “NoOfExits” , 1 );
*/
function returnBarIndex( array )

{

    indx = -1;
    for ( i = 1; i < BarCount;i++ )

    {
        if ( array[i] == True )

        {

            indx = i;

        }

    }
    return indx;

}
function returnShiftedArray( array, shift )

{
    newArray = array;
    for ( i = 1; i = 0 ) && ( ( shift + i ) < BarCount ) )

        {
            newArray[shift+i] = True;

            newArray[i] = False;
        }

    }
    return newArray;

}
if (  StrToUpper( Name() ) == StrToUpper( StaticVarGetText( “forexSymbol” ) ) OR ( StrToUpper( Name() ) == StrToUpper( StaticVarGetText( “StockSymbol” ) ) ) )
{

// get the static variables
    TradeType = StaticVarGetText( “TradeType” );

    forexSymbol = StaticVarGetText( “forexSymbol” );

    StockSymbol = StaticVarGetText( “StockSymbol” );

    ShortOrLong = StaticVarGetText( “ShortOrLong” );
    if ( TradeType == “Stocks” )

    {

        stockname = stockSymbol;
        SetOption( “FuturesMode”, False );

    }

    else

    {

        stockname = forexSymbol;

        SetOption( “FuturesMode”, True );
    }
    for ( i = 0 ;i < StaticVarGet( “NoOfEntries” ) ;i++ )

    {

        VarSet( “EntryDate” + ( i ), StrToNum( StrExtract( StaticVarGetText( “EntryDate” ), ( i ) ) )  );

        VarSet( “EntryPrice” + ( i ), StrToNum( StrExtract( StaticVarGetText( “EntryPrice” ), ( i ) ) )  );

        VarSet( “EntryTime” + ( i ), StrToNum( StrExtract( StaticVarGetText( “EntryTime” ), ( i ) ) )  );
        _TRACE( “ABTest: test 182 ” + “EntryDate” + ( i ) + NumToStr( VarGet( “EntryDate” + ( i ) ) ) );

        _TRACE( “ABTest: test 182 ” + “EntryDate” + ( i ) +  “string” + StrExtract( StaticVarGetText( “EntryDate” ), ( i ) ) );

    }
// TESTING IF THE VARIABLES EXIST

    for ( i = 0 ;i < StaticVarGet( “NoOfEntries” ) ;i++ )

    {

        _TRACE( “ABTest: test 182 TESTING” + “EntryDate” + ( i ) + NumToStr( VarGet( “EntryDate” + ( i ) ) ) );

        _TRACE( “ABTest: test 182 TESTING timeframe” + inWeekly );

    }
    for ( j = 0 ;j < StaticVarGet( “NoOfExits” ) ;j++ )

    {

        VarSet( “ExitDate” + ( j ), StrToNum( StrExtract( StaticVarGetText( “ExitDate” ), ( j ) ) )  );

        VarSet( “ExitTime” + ( j ), StrToNum( StrExtract( StaticVarGetText( “ExitTime” ), ( j ) ) )  );
        VarSet( “ExitPrice” + ( j ), StrToNum( StrExtract( StaticVarGetText( “ExitPrice” ), ( j ) ) )  );

        // _TRACE( “ABTest: test 182 ” + “ExitDate” + ( j ) +  “string” + StrExtract( StaticVarGetText( “ExitDate” ), ( j ) ) );
    }
//Buy = Sell = Short = Cover = entryPrices = exitPrices = False;
    // if the symbol matches what i am looking for

    dn = DateNum();
    tn = TimeNum();
    entryPrices = exitPrices = Buy = Sell = Short = Cover = False;
    range = H – L;
    switch ( Interval() )

    {

            // START OF SWITCH.
        case inDaily:
            for ( b = 0;b < BarCount;b++ )

            {

                // START OF DAILY
                for ( i = 0 ;i 	dn[b] – 1 )  AND ( VarGet( “EntryDate” + i ) < dn[b] + 1	 )  )

                    {
                        entryPrices[b] = VarGet( “EntryPrice” + i );

                        Buy[b] = Short[b] = True;

                        //_TRACE( “ABTest: test 182 matching price ” + NumToStr( VarGet( “EntryPrice” + i ) ) ) ;
                        PlotText( StaticVarGetText( “ShortOrLong” ) +  ” entry ” + i + ” ” + “:” + entryPrices[b]   , b, High[b] + range[b], colorBlue );

                        // PlotText( “entry” + VarGet( “EntryPrice” + i )  , b, EntryPrice0, colorBlue );
                        //  _TRACE( “ABTest: test 182 MATCHED ” + NumToStr( VarGet( “EntryDate” + i ) ) + NumToStr( dn[b] ) );
                    }
                    for ( j = 0 ;j  	dn[b] – 1 )  AND ( VarGet( “ExitDate” + j ) < dn[b] + 1	 )  )
                        {
                            exitPrices[b] = VarGet( “ExitPrice” + j );

                            Sell[b] = Cover[b] = True;
                            PlotText(  StaticVarGetText( “ShortOrLong” ) + ” Exit ”  +  j  + “:” + VarGet( “ExitPrice” + j )  , b, Low[b] – range[b], colorRed );

                            // _TRACE( “ABTest: test 182 MATCHED ” + NumToStr( VarGet( “ExitPrice” + j ) ) + NumToStr( dn[b] )  + NumToStr( VarGet( “ExitDate”  + j )));
                        }
                    }
                }
            } // START OF DAILY
            break;
        case inWeekly:
            for ( b = 1;b < BarCount – 1;b++ )

            {

                // START OF weekly
                for ( i = 0 ;i 0)

                    	PreviousBar=b-1;

                    	NextBar=b;

                    	if(b=	dn[b] )  AND ( VarGet( “EntryDate” + i ) < dn[b+1]	)   )

                    {
                        entryPrices[b] = VarGet( “EntryPrice” + i );

                        Buy[b] = Short[b] = True;

                        _TRACE( “ABTest: test 182 matching price entry ” + NumToStr( VarGet( “EntryPrice” + i ) ) ) ;
                        PlotText(  StaticVarGetText( “ShortOrLong” ) + ” entry” + i + ” ” + “:” + entryPrices[b]   , b, High[b] + range[b], colorBlue );

                        // PlotText( “entry” + VarGet( “EntryPrice” + i )  , b, EntryPrice0, colorBlue );
                        //  //( “ABTest: test 182 MATCHED ” + NumToStr( VarGet( “EntryDate” + i ) ) + NumToStr( dn[b] ) );
                    }
                    for ( j = 0 ;j =	dn[b-1] )  AND (VarGet( “EntryDate” + i )= 	dn[b] )  AND ( VarGet( “ExitDate” + j ) < dn[b+1]	 )  )
                        {
                            exitPrices[b] = VarGet( “ExitPrice” + j );

                            Sell[b] = Cover[b] = True;
                            PlotText(  StaticVarGetText( “ShortOrLong” ) + ” Exit”  +  j  + “:” + VarGet( “ExitPrice” + j )  , b, Low[b] – range[b], colorRed );

                            //  _TRACE( “ABTest: test 182 MATCHED ” + NumToStr( VarGet( “ExitPrice” + j ) ) + NumToStr( dn[b] )  + NumToStr( VarGet( “ExitDate”  + j )));
                        }
                    }
                }
            } // START OF weekly
            break;
            //_TRACE(“ABTest: test 182 ” +”getting to break”);
        case in1Minute:
        case in5Minute:
        case in15Minute:
        case inHourly:
            for ( b = 1;b < BarCount – 1;b++ )

            {

                // START OF intraday
                for ( i = 0 ;i =	tn[b] )  AND ( VarGet( “EntryTime” + i ) < tn[b+1]	)  )

                    {
                        entryPrices[b] = VarGet( “EntryPrice” + i );

                        Buy[b] = Short[b] = True;

                        _TRACE( “ABTest: test 182 matching price entry ” + NumToStr( VarGet( “EntryPrice” + i ) ) ) ;
                        PlotText(  StaticVarGetText( “ShortOrLong” ) + ” entry” + i + ” ” + “:” + entryPrices[b]   , b, High[b] + range[b], colorBlue );

                        // PlotText( “entry” + VarGet( “EntryPrice” + i )  , b, EntryPrice0, colorBlue );
                        //  //( “ABTest: test 182 MATCHED ” + NumToStr( VarGet( “EntryDate” + i ) ) + NumToStr( dn[b] ) );
                    }
                    for ( j = 0 ;j =	dn[b-1] )  AND (VarGet( “EntryDate” + i )=	tn[b] )  AND ( VarGet( “ExitTime” + j ) < tn[b+1]	)  )
                        {
                            exitPrices[b] = VarGet( “ExitPrice” + j );

                            Sell[b] = Cover[b] = True;
                            PlotText(  StaticVarGetText( “ShortOrLong” ) + ” Exit”  +  j  + “:” + VarGet( “ExitPrice” + j )  , b, Low[b] – range[b], colorRed );

                            //  _TRACE( “ABTest: test 182 MATCHED ” + NumToStr( VarGet( “ExitPrice” + j ) ) + NumToStr( dn[b] )  + NumToStr( VarGet( “ExitDate”  + j )));
                        }
                    }
                }
            } // end of intraday
            break;
            //_TRACE(“ABTest: test 182 ” +”getting to break”);
    }// end of switch.
    PlotShapes( IIf( Buy OR Short, shapeSmallCircle, shapeNone ), colorBrightGreen, 0, EntryPrices, 0 );
    PlotShapes( IIf( Sell OR Cover, shapeSmallCircle, shapeNone ), colorRed, 0 , ExitPrices, 0 );
    Miny = Status( “axisminy” );
    Maxy = Status( “axismaxy” );
    pxheight = Status( “pxheight” );
    y = ( GetCursorYPosition() – Miny ) / ( Maxy – Miny );
    y = ( 1 – y ) * pxheight;
    y = y – 20;
    x = 10;
    GfxSelectPen( colorRed, 1 );
    GfxSelectSolidBrush( colorCustom1 );
//GfxRectangle( 2, y-100, 270, y ) ;
    GfxSelectFont( “Tahoma”, 8, 700 );
    GfxSetBkMode( 1 );
    GfxSetTextColor( colorGreen );
    GfxTextOut( Name()   + ” Tradeid=  ” + StaticVarGetText( “Tradeid”  )   , x, y ) ;
    GfxTextOut( ” Strategy=  ” + StaticVarGetText( “TradeStrategy”  )   , x, y + 10 ) ;
    GfxTextOut( ” Comments=  ” + StaticVarGetText( “TradeComments”  )   , x, y + 20 ) ;
} // // if the symbol matches what i am looking for

Filed by Tomasz Janeczko at 7:57 pm under AmiBroker Tools and Features,Uncategorized
Comments Off on Plotting trades on chart

February 20, 2009

Date and Time to Number Conversions

Code developed and kindly donated by Murthy Suresh.

{
    dd_ = StrToNum( StrRight( aaaammdd, 2 ) );    //printf(WriteVal(dd_) + " "  );
    mm_ = StrToNum( StrMid( aaaammdd, 4, 2 ) );    //printf(WriteVal(mm_) + " "  );
    aa_ = StrToNum( StrLeft( aaaammdd, 4 ) );    //printf(WriteVal(aa_) + " " + "\n" );
    Date_Num = ( 10000 * ( aa_ - 1900 ) ) + ( 100 * mm_ ) + dd_;
    RESULT = Date_Num;
    return RESULT;
}

function Time_To_Num( strTime ) // format for time is hh:mm:ss
{
    /*
    //do something to raise alert  if length does not match
    ????PopupWindow("Current time is: " + Now(),"Alert", 2,
    640*mtRandom(), 480*mtRandom());
    */
    hh_t = StrToNum( StrLeft( strTime, 2 ) );    //printf(WriteVal( hh_t ) + " "  );
    mm_t = StrToNum( StrMid( strTime, 3, 2 ) );    //printf(WriteVal( mm_t ) + " "  );
    ss_t = StrToNum( StrRight( strTime, 2 ) );    //printf(WriteVal( ss_t ) + " "  + "\n"  );
    Time_Num = 10000 * hh_t + 100 * mm_t + ss_t;
    RESULT = Time_Num;
    return RESULT;

Filed by Herman at 11:13 pm under AFL - Utilities and Functions,Uncategorized
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August 30, 2008

Popup Window: Preventing pile-ups

By Dennis Brown

The popup window is a great tool in debugging and can help you to keep track of what your code is doing or it can be used to alert you to special situations in your normally running formula. A common problem is that if you call PopupWindow() from a loop or if one gets generated on every AFL pass, you can get hundreds or even thousands of pop-ups piling up on your screen. Tomasz posted a simple work-around on the AmiBroker Feedback Center that took care of the problem in some cases (Suggestion 1528):

The following is a more complete version of this solution that adds a popupID to keep track of each individual popup window and re-enable the popup after its specified timeout period, or if any of the displayed text changes:

function GetSecondNum()
{
    Time = Now( 4 );
    Seconds = int( Time % 100 );
    Minutes = int( Time / 100 % 100 );
    Hours = int( Time / 10000 % 100 );
    SecondNum = int( Hours * 60 * 60 + Minutes * 60 + Seconds );
    return SecondNum;
}

function PopupWindowEx( popupID, bodytext, captiontext, timeout, left, top )
{
    displayText = bodytext + captiontext;
    if ( ( StaticVarGetText( "prevPopup" + popupID ) != displayText) OR ( StaticVarGet( "prevPopupTime" + popupID ) < GetSecondNum() ) )
    {
        StaticVarSetText( "prevPopup" + popupID, displayText);
        StaticVarSet( "prevPopupTime" + popupID, GetSecondNum() + timeout );
        PopupWindow( bodytext, Captiontext + popupID, timeout, Left, top );
    }
}

PopupWindowEx( "ID:1", "testing", "test alert ", 5, -1, -1 );
PopupWindowEx( "ID:2", "testing", "test alert ", 5, 0, 0 );

Filed by Herman at 1:03 pm under AFL - Utilities and Functions,Uncategorized
Comments Off on Popup Window: Preventing pile-ups

April 15, 2008

WordPress upgrade

Due to vulnerability found in previous version of WordPress (2.2) and attack attempts this site experienced and the compatibility issues with Windows Live Writer that surfaced after quick security fix was applied, I was forced to perform upgrade to newest version of WordPress.
This results in old Table-of-content plugin not working anymore and the need for rewrite. The new version produces ill-formatted output. Please be patient when TOC plugin is under rewrite.

Also note that although read experience does not change (the site looks identical from reader perspective), the author control panel has changed and looks different. It requires some time to adjust to new design, but after a while I think it is better. I am sorry about this mess but it was not caused by me.

Filed by Tomasz Janeczko at 10:56 am under Uncategorized
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February 28, 2008

Pattern Recognition Across Timeframes

TEMPORARY DRAFT

Two classical bullish patterns in daily bars.

Timeframe shifted to weekly.

Selector line moved to highlight the former Pivot Lo value.

Timeframe shifted to Monthly.

Selector line moved to highlight the former Pivot Lo value.

Note that the 2nd and third Pivot Lo’s (not marked on the charts) are not significant in the monthly timeframe i.e. the monthly chart does not truly represent the underlying waves (cycles) of the daily chart (which I claim is the natural rhythm of the market notwithstanding that the intra-day charts tell us as much, if not more, about the behaviour of market participants).

Bonus Commentary

Comparing perfect equity with a buy&hold strategy for three weeks (using an earlier section of the above chart).

The charts are linked and in different timeframes.

Perfect trades are an approximation of Pivot Hi to Pivot Lo marked in colour with corresponding % change obtained via the AB studies tooltips.

For the sake of the exercise I cheated a little on the perfect swings.

For convenience I ignored inside and outside days (not counted as a swing) -annoying little things those ID’s and OD’s – messing up my perfect theories like that.

Filed by brian_z at 1:50 am under Uncategorized
Comments Off on Pattern Recognition Across Timeframes

Users' Knowledge Base

February 21, 2009

Plotting trades on chart

February 20, 2009

Date and Time to Number Conversions

August 30, 2008

Popup Window: Preventing pile-ups

April 15, 2008

WordPress upgrade

February 28, 2008

Pattern Recognition Across Timeframes

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