[StephaneFima]

Many thanks for your messages Said.

In your code, if I choose to switch on the sector filter, “SectFilt = IIf(SectTog,Sectors,1);” will be equal to the variable “Sectors” which in turn will just be a number (successively incremented by 1). How Amibroker will know which sector to include or not?

I am going to think again about this tonight.

[StephaneFima]

Thanks Said.
Well, I still have a problem.

1) when I test my strategy with this filter off (i.e. all industries included), I have a given result
2) but when I switch the industry filter on and leave all the industries “included” (which should be equivalent to my previous point, I have no results from the backtester.

This is strange.

[StephaneFima]

Hi,

I’ve just tried the IB Excel DDE and I was just about going crazy because it was not working. After 1 day of reseach, I found what was wrong and it is really simple:

1) I rounded the quantity figure with “AddTextColumn(WriteIf(BO1,””+Round(STB1),””),”Quantity”,1.0,29,55,Width);” as TWS doesn’t like commas.
2) I had to leave the “Time in Force” column blank, so I deleted “AddTextColumn(WriteIf(BO1,”DAY”,””),”Time in Force”,1.3,29,55,Width1);” in the code

With those two modifications, this is perfectly working and it’s really quick and nice now.

[StephaneFima]

Great idea.
I pretty flexible. I am also on GMT +1.

Said, where are you?

[StephaneFima]

Hi,

Just a quick question on my side regarding coding Buy limits.

In the above MR Strategy, we buy the next day if price touches L – [Multiplier x ATR(10)]. I guess this is one way to compute Buy limits: what would be the other methods? Is there one which is better than another?

Thanks
S

[StephaneFima]

Hi

I am now working also on the Clenow System.

1) Just one remark on the code above: are you sure we have to convert the price with the common log and not the natural one (i.e. ln () )?
2) Nick, on the Gap code you posted above, I read again Clenow’s book and I think that he wants to avoid not only gap up but also gap down.

[StephaneFima]

Hi,

On my side, in order to be sure that a system is profitable, I set my commission to $5.0 per trade, which takes into account the real commission (it is usually $1.0 per trade with Interactive Broker) + $4.0 of slippage (which I admit is important).

[StephaneFima]

Hi Nick,

It would be a pleasure to meet you in Paris! (and also anyone on this forum)
Just send me a mail some time in advance so we can get organized.

[StephaneFima]

Hi Oliver,

My goal is also to code Clenow’s system.

I think I am not the only one here to try to do so. Why not putting our efforts all together under the supervision of Nick and Craig?
We could start a new thread about it.

What do you think?

Regards
Stephane

[StephaneFima]

I thought that as there was an ExRem on the Buy command, it was necessary to do it also on the BuySetUp.
But that’s clear now.

Thanks Craig.

[StephaneFima]

Thanks Craig

[StephaneFima]

That’s clear.

Thank you Nick.

[Author]

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