|
PureBytes Links
Trading Reference Links
|
Fred,
you wrote,
3. Manipulate the file by eliminating all but the highest/lowest
> ranked stocks for each day (This can be done quickly in Excel if
you
> are working with say 4-5 years of 100 stocks but would be
impractical
> for more)
If using an ami exploration and having the ranking values placed in
a column, excel can find the top 5 (sort of)of the day, and placing
the top 5 ranked tickers 1,2,3,4,5, in to
sheet1, sheet2, sheet3, sheet4, sheet5.
there is a difference with the excel macro i use to the idea
mentioned in this thread.
Why select the top 5 of everyday ( i assume this means the top 5
from the results of a test)
would it not be better to select the top 5 but only if they exist on
the same Buy day and e.g. if the number 1 ranking ticker had a buy
date of,
01/01/1990 and a sell date was 01/09/1990
would it not be better for the next selection to be the first
highest rank when the date is greater than the 01/09/1990.
so the sheet that contains the second highest ranks would do this as
well e.t.c. across all the 5 ranking sheets.
Then the profit of each sheet is calculated to get the profit result
of trading multiple tickers.
as each sheet does not contain overlapping sell dates to the previous
tickers sell date.
Peter.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Chuck,
>
> I had been toying with this idea prior to ABTool being available
> which I haven't investigated yet and boiled the process down to:
>
> 1. AFL - Rank all stocks for each bar and produce an Explore with
> Date, Symbol (Superfluous), StockNum, Score & Signal (Buy(1) & Short
> (2) but this could also contain values for Sell & Cover).
>
> 2. Export the Exploration file for manipulation.
>
> 3. Manipulate the file by eliminating all but the highest/lowest
> ranked stocks for each day (This can be done quickly in Excel if
you
> are working with say 4-5 years of 100 stocks but would be
impractical
> for more)
>
> 4. Import the manipulated file as a new symbol which now contains
> Date, Score (In Close), StockNum (In Volume) and Signal (In Open
> Interest)
>
> 5. This new symbol then can be used to drive trades for each bar
for
> each stock.
>
> This works but is at best tedious and of course allows no
> optimization except on a hunt and peck basis.
>
> How does ABTool improve this process and what other things have you
> done with this to insure that you are not more then 100% invested
and
> to analyze the equity curve short of exporting the trade list and
> importing to Excel again ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > You just can't wait, can you?
> >
> > Other than using UM's ABTool, it is all in pure AFL code. The
> next step is
> > some jscript and then a DLL. The learning curve is so steep and
> time is so
> > short. I guess I'm paying the price, at the moment, of using AFL
> code to
> > prove that the concept works without regard to how long it takes
to
> run.
> > While it is running, I'm working on improving throughput.
Through
> all of
> > this, I keep hoping that TJ is going to surprise us soon and/or
> David
> > (TradeSim) will implement the changes I have requested, making my
> work
> > redundant.
> >
> > But your idea of how it works is "spot on".
> > -----Original Message-----
> > From: b519b [mailto:b519b@x...]
> > Sent: Sunday, May 04, 2003 2:01 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Ranking Stocks (AFL or via scripting)
> >
> >
> > 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.
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > 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.
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > 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.
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > 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.
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > 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.
> > >
> > >
> > > Yahoo! Groups Sponsor
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > 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.
> >
> >
> > Yahoo! Groups Sponsor
> > ADVERTISEMENT
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > 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.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs Online - Over 14,500 titles.
No Late Fees & Free Shipping.
Try Netflix for FREE!
http://us.click.yahoo.com/YoVfrB/XP.FAA/uetFAA/GHeqlB/TM
---------------------------------------------------------------------~->
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 http://docs.yahoo.com/info/terms/
|