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Ooops !
forget to advertise my great test machine. Do not laugh, it is
[again] the PIII/800 with the 64k RAM !!
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> The scan to create the composite ticker takes less than 1 sec for
the
> N100 database [data since jan2000]
> The application exploration
> [2. The use of the VHTr transformation]
> takes 3 sec.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
<TSOKAKIS@xxxx>
> wrote:
> > 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
> > 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 any
> > array 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 database
> > 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))));
> > 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 is
> > BRCD, ICOS, SPOT, PCAR, BRCM
> > We 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
> >
> > 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 SYSTEM
> > e=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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