|
PureBytes Links
Trading Reference Links
|
<SPAN
class=616364304-11042003>UM,
Take a
look at the T2108 indicator I just posted. That code used addtocomposit to do
the math. Basically you create an artificial ticker where you can assign values
to the standard open/close/high/low/vol/OI fields. There is a detailed Tutorial
in the help file written by Herman...well worth reading....Let me know if you
are still stuck
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: uenal.mutlu@xxxxxxxxxxx
[mailto:uenal.mutlu@xxxxxxxxxxx]Sent: Thursday, April 10, 2003 2:29
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Backtesting a Score Based System in AB
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 href=""
title=jcasavant@xxxxxxxxxxxx>Jayson
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>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 color=#0000ff face=Arial
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?UMSend
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|