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Hi DT,
is it a bug of AB that AddToComposite seems not be able
to write to two fields (ie. C and V) of the same composite file
during a scan if that file wasn't existing yet? (That is: if the
file already exists, then it works; but otherwise one needs
a second scan run until both fields get written to the file).
IMHO very curious. Perhaps this is also the reason you
used two different files in your code?
BTW, I did test the code below. It was hard to understand
due to my lacking of understanding of the AddToComposite
function, but I think I've got it now. As the name says it simply
adds (ie. cumulates) passed values into the given field.
In step 1 one needs to create a composite for a basket of stocks
over past data (I took 10/1/2001 to today) . The second step
is doing an exploration for the same basket of stocks for today
and hoping for signals (for testing reasons one also can take a past
date range).
Using factor 1.0 did not find any stocks for tomorrow, so one has
to wait for better days.
Thanks, I've learned a new useful feature of AB.
UM
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, April 10, 2003 9:26 PM
Subject: [amibroker] Re: Backtesting a Score Based System in AB
> Here is an interesting selection method :
> Run first the
> Buy=Cross(StochD(),35);
> Sell=Cross(65,StochD());// the trading rules
> e1=LastValue(Equity());
> e2=IIf(e1>10000,e1,0);
> AddToComposite(e2,"~e2","c");
> AddToComposite(e1>10000,"~profitables","v");
> Buy=0;
> for all stocks, n=1 last quotations.
> With the line
> e2=IIf(e1>10000,e1,0); you filter out loosing stocks and with
> AddToComposite(e1>10000,"~profitables","v"); you count the profitable
> ones.
> Then select the top stocks with the exploration
> Buy=Cross(StochD(),35);
> Sell=Cross(65,StochD());
> e1=LastValue(Equity());
> e11=Foreign("~e2","c")/Foreign("~profitables","v");
> f=1;
> Filter=e1>f*e11;
> AddColumn(e1,"e1");
> AddColumn(e11,"e11");
> for all stocks, n=1 last quotations.
> In this exploration you ask, among the profitable stocks, these
> equities above the average.
> Note1: If you see more than 10 stocks, increase f=1 to f=1.2 or f=1.5.
> Note 2 : If you still see more than 10 stocks, then you have a great
> system and take action tomorrow morning
> without any further delay !!!
> DT
>
> --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > In a score based trading system each stock gets
> > some (weighted/normalized) scores assigned and
> > all the scores of the underlying indicators and methods
> > are cumulated for each stock. From this list I would
> > like 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 meeting
> > the 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 performance
> > of such a system in ABs backtester.
> > Can this be done in AB?
> >
> > UM
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