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Chuck,
A generic version of your sorting system would be great to see.
Is your sorting system entirely in AFL or does it use J script or VB
script or a custom DLL?
My guess would be that it might involves a script which creates an
external file listing each ticker with an indicator value. The data
in the external file would next be sorted by an external program to
make a new ticker file that has the "cut off" value for the top 5,
10, 20 stocks in the Open, High, Low, etc fields. The Foreign
function could then be used to access these cut off values for the
actual backtesting. Of course, if you are using a DLL rather than a
script, the DLL might do the sorting itself and thus save a few
manual steps. This approach could be extended by using another J-
script to use the ranked external file to control which tickers get
traded for a particular day.
Or have you found a way to do the sorting and record the results via
AFL. I can imagine an approach that might work in entirely in AFL
but it would involve the use of multiple artificial tickers and
would thus take "all day" to run.
Am I any where close with either of these ideas?
b
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> I'm quite happy to share the methodology and code "snippets".
> Unfortunately, the actual AFL involved has too much of my
proprietary
> trading logic within it. I'll have a look at replacing the
underlying
> system with something more generic. Then, I would be able to post
the
> complete AFL.
>
> Once I've verified that it is working properly and it's not taking
all day
> to run, I'll prepare a document and post it in the files section
for this
> group.
>
> It wouldn't have been possible without the ABTool plug-in and
assistance so
> graciously contributed by UM. I'm hoping that a few other
members of this
> group see the potential in UM's plug-in and come up with some
ideas of their
> own. No doubt, there will be a better way than what I'm
currently doing.
> I call it "leap frog" technology. Someone comes up with an idea
and
> someone else comes up with an improvement on that idea, etc. until
we all
> benefit from a group effort.
>
>
> -----Original Message-----
> From: HB [mailto:hossamb@x...]
> Sent: Sunday, May 04, 2003 1:01 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Ranking Stocks (was ABTool)
>
>
> Chuck, fascinating !
>
> Once you rank, I assume that you can do things like:
> - take the top "x" trades only
> - take only the trades above a certain "y" value
> - take only the trades that are "z"% below "q"'s value
> - etc.
>
> Yes ?
>
> Will this ranking component be shared on the list ?
>
> HB
> ----- Original Message -----
> From: Chuck Rademacher
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, May 04, 2003 0:40
> Subject: RE: [amibroker] Ranking Stocks (was ABTool)
>
>
> Ah ha.... I don't determine the ranking criteria. More
explicitly, it
> can be whatever YOU like.
>
> An example might help. Let's say you thought that there was
> "information" in the RSI value; the lower the RSI value, the
better the buy
> signal. If that was the case, your criteria would be the RSI
value and you
> could sort based on it. If you had P/E or Debt/Equity ratio
available in
> your data, you could rank based on either of those. The actual
buy signal
> can be something quite different from the ranking criteria.
>
> In a nutshell, whatever YOU would like to rank by can be
written to a
> file and sorted in order to limit but orders to available cash.
> -----Original Message-----
> From: HB [mailto:hossamb@x...]
> Sent: Sunday, May 04, 2003 12:12 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Ranking Stocks (was ABTool)
>
>
> Chuck,
>
> What are your ranking criteria ?
>
> HB
> ----- Original Message -----
> From: Chuck Rademacher
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, May 03, 2003 23:12
> Subject: RE: [amibroker] Ranking Stocks (was ABTool)
>
>
> The ranking technique will work in optimize and backtest
mode. It
> is slow, however, and that's what I'm workiing on now.
> -----Original Message-----
> From: b519b [mailto:b519b@x...]
> Sent: Saturday, May 03, 2003 10:58 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Ranking Stocks (was ABTool)
>
>
> Chuck,
>
> Does your ranking code just work in scan or exploration
modes, or
> can it be using in backtesting to create portfolios of
limited
> size
> (limited by number of stocks at one time, or limited by
total
> capital used)?
>
> b
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > I just finished modifying my "pairs"
> trading AFL to use UM's new ABTool.
> > It saves about 12 hours of processing
> time, making it possible to actually
> > use the system.
> >
> > I am almost finished modifying another
> piece of AFL to rank buy/short orders
> > and limit the orders to available cash.
> >
> > Since these two approaches don't seem
> to be of general interest, I'm happy
> > to discuss methods, etc. with anyone offline.
> >
> > Thanks again, UM, for developing such a useful tool.
>
>
>
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