You might try some experiments.
Pick a data series that has the holes you are concerned about. Write a simple trading system that has entries and exits just before, on, and just after those dates. See how AmiBroker handles them.
Try this code:
// EnterOnSpecificDate.afl
//
// Entry on a specific date.
//
// Used to force an entry so that the operation of
// a trading system or indicator can be checked.
//
// For market orders, enter and exit Market On Close
// with no delay
SetTradeDelays(0,0,0,0);
BuyPrice = C;
SellPrice = C;
// Enter on June 23, 1995
Buy = IIf(DateNum()==950623,1,0);
// or Buy = Datenum()==950623;
// Exit on September 12, 2002
Sell = IIf(DateNum()==1020912,1,0);
// or Sell = Datenum()==1020912;
//Figure 7.4 Enter on Specific Date
Best,
Howard
With using IQFeed, if their is no trades within the particular time frame requested, their is no data sent. So for EOD data if their was 0 volume on a particular day, their no EOD bar sent.
Just trying to clarify how this works in back tester to make sure I'm doing things right. Judging by past back test runs the trade list is generated with dates so I'm guessing that Amibroker runs through each date in a chronological order to generate buy/sell signals and if a value doesn't exist for a date/time a null value is given? Correct?
Any issues I should be aware of when using BarIndex or Barcount in AFL and back tester with a list of tickers that may have a missing date?
Pad and align to reference symbol
When this is turned on, all symbols' quotes are padded and aligned to reference symbol. Note: by default this setting is OFF. Use responsibly. It may slow down backtest/exploration/scan and introduce some slight changes to indicator values when your data has holes and holes are filled with previous bar data. The feature is intended to be used when your system uses general market timing (generates global signals based on data and/or indicators calculated using Foreign from 'reference' symbol) or when you are creating composites out of unaligned data. Note: if reference symbol does not exist, data won't be padded.
I am aware of the Pad and Align option when using Foreign() in AFL.
Sorry for the probably "dumb" question.
Posted by: Howard B <howardbandy@gmail.com>
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