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Re: [amibroker] Back testing a Score Based System in AB



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Jayson,
thanks for the code. It is going to help me 
much.
BTW: is it required to manually delete <FONT 
face=Arial>the ~T2108 
artifical ticker file before 
each scan. If yes, is there 
an AFL command to automate this?
UM
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=jcasavant@xxxxxxxxxxxx 
  href="">Jayson 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Friday, April 11, 2003 6:47 
AM
  Subject: RE: [amibroker] Back testing a 
  Score Based System in AB
  
  <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 
   <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 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 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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