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1. The VHTr transformation
To Explore N100 for the last RSI, select the top5 and see
their performance to a trading system, run first in AA for all stocks, all
quotations the
// VHTr, Vertical to horizontal transformation, by D.
Tsokakis, Apr 2003
<FONT
size=2>x=Status("stocknum");y=LastValue(RSI());z=LastValue(Cum(1))-x;Ry=AddToComposite(IIf(z==Cum(1),y,-1e10),"~RankY","C");Buy=0;Filter=1;AddColumn(Y,"INDICATOR",1.3);AddColumn(x,"STOCKNUM",1.0);
An atificial ticker "~RankY" is just created. It is a bit
peculiar, it has values for the last 101 bars only.[My N100 database has 101
names, the 100 stocks plus the index ^NDX itself]From left to right, each
bar of the new array is equal to the exploration result. The 1st is YHOO, the
last is ^NDX,exactly inversed from the alphabetic sorting in my Symbol tree.
But, this ticker is a normal array and accepts anyarray treatment. For
example, we may find the top5 values.Suppose, for the simplicity, that there
are no equal values* and paste in IB the
H0=Foreign("~RankY","C");L1=LastValue(Cum(1));n=101;//
the population of the
databaseH1=LastValue(HHV(H0,n));BAR1=LastValue((ValueWhen(H0==H1,Cum(1))));H2=LastValue(HHV(IIf(H0<H1
,H0,0),n));BAR2=LastValue((ValueWhen(H0==H2
,Cum(1))));H3=LastValue(HHV(IIf(H0<H1 AND
H0<H2,H0,0),n));BAR3=LastValue((ValueWhen(H0==H3
,Cum(1))));H4=LastValue(HHV(IIf(H0<H1 AND H0<H2 AND
H0<H3,H0,0),n));BAR4=LastValue((ValueWhen(H0==H4
,Cum(1))));H5=LastValue(HHV(IIf(H0<H1 AND H0<H2 AND H0<H3 AND
H0<H4,H0,0),n));BAR5=LastValue((ValueWhen(H0==H5
,Cum(1))));COLOR=IIf(H0==H1 OR H0==H2 OR H0==H3 OR H0==H4 OR
H0==H5,7,1);Plot(H0,"",COLOR,2);GraphXSpace=3;Title= "[
NUM1="+WriteVal(L1-BAR1,1.0)+",H1="+WriteVal(H1,1.2)+"]"+"[
NUM2="+WriteVal(L1-BAR2,1.0)+",H2="+WriteVal(H2,1.2)+"]"+"[
NUM3="+WriteVal(L1-BAR3,1.0)+",H3="+WriteVal(H3,1.2)+"]"+"[
NUM4="+WriteVal(L1-BAR4,1.0)+",H4="+WriteVal(H4,1.2)+"]"+"[
NUM5="+WriteVal(L1-BAR5,1.0)+",H5="+WriteVal(H5,1.2)+"]";
The top5 values are paited yellow and, in the title, you read
5 pairs [STOCKNUM,RSI]The #14 [ BRCD ] is the champion with RSI=77.43 and
the top5 isBRCD, ICOS, SPOT, PCAR, BRCMWe read in IB title the results
of the exploration [all stocks, n=1 last quotations] of VHTr.
2. The use of the VHTr
transformation
Explore now all stocks, n=1 last quotations with
the
<FONT
size=2>X=Status("STOCKNUM");H0=Foreign("~RankY","C");L1=LastValue(Cum(1));n=101;H1=LastValue(HHV(H0,n));BAR1=LastValue((ValueWhen(H0==H1,Cum(1))));H2=LastValue(HHV(IIf(H0<H1
,H0,0),n));BAR2=LastValue((ValueWhen(H0==H2
,Cum(1))));H3=LastValue(HHV(IIf(H0<H1 AND
H0<H2,H0,0),n));BAR3=LastValue((ValueWhen(H0==H3
,Cum(1))));H4=LastValue(HHV(IIf(H0<H1 AND H0<H2 AND
H0<H3,H0,0),n));BAR4=LastValue((ValueWhen(H0==H4
,Cum(1))));H5=LastValue(HHV(IIf(H0<H1 AND H0<H2 AND H0<H3 AND
H0<H4,H0,0),n));BAR5=LastValue((ValueWhen(H0==H5
,Cum(1))));Cond=X==L1-bar1 OR X==L1-bar2 OR X==L1-bar3 OR X==L1-bar4 OR
X==L1-bar5;Buy=Cross(RSI(),35);Sell=Cross(RSI(),65);// THE TRADING
SYSTEMe=LastValue(Equity());Filter=COND;AddColumn(X,"STOCKNUM",1.0);AddColumn(E,"EQUITY");
You will see the final equity value for the top5
stocks.Dimitris Tsokakis*another set will be posted to treat the
possibility of equal values in the result list.
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