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Hi Jayson,
I unfortunately have only little knowledge about composite
creation
or its use in AB. Can
you explain a little bit more the method you mean
please.
Here my manual method which I would like to backtest in
AB:
Say I have 100 stocks in my universe. Each
day before market open
I calculate a score
for every stock. Then I sort this and take the
first
5 stocks with the highest
scores into my watchlist for trading. This
scenario I would like to backtest
in AB to see how good or bad such
a scoring system
performs.
UM
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jcasavant@xxxxxxxxxxxx
href="">Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 10, 2003 3:34
PM
Subject: RE: [amibroker] Backtesting a
Score Based System in AB
<SPAN
class=965432813-10042003>Um,
If
you can create an indicator that does the score could you perhaps create a
composite of your basket scores and do the math within the composite to
determine your top 10%? If so then running a scan to create your composite
then calling that composite value in your exploration or back test filter
should accomplish your task.....
<FONT face=Arial color=#0000ff
size=2>Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: uenal.mutlu@xxxxxxxxxxx
[mailto:uenal.mutlu@xxxxxxxxxxx]Sent: Thursday, April 10, 2003 8:56
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Backtesting a Score Based System in ABIn a score
based trading system each stock getssome (weighted/normalized) scores
assigned and all the scores of the underlying indicators and
methodsare cumulated for each stock. From this list I wouldlike to
take the first (or the first x) stocks for backtesting.How could this be
realized in an exploration or in the backtester?One would need to filter
and collect the stocks meetingthe underlying criteria and then would need
to sort the table and pick item number(s) and assign them to the Buy
array.This would be very interessting for testing the performanceof
such a system in ABs backtester. Can this be done in
AB?UM
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