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Fred,
For your information, the next step is under final test.
It is possible to do the job with one, unique procedure.
We have enough time until official 4.50.
Then, this work will be useless.
Until then, it is interesting.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Whatever, it's okay, don't be afffraid, things will get better.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > Fred,
> > Yesterday I was affraid you don't read the text.
> > Now I am sure you don't read the text.
> > Your question does not refer to [any line of ] this text.
> > I will not reply irrelevant questions, please ask in a separate
> > thread, if you wonder if "100 bars make for a meaningful test ".
> > FYI, my "final Equities ", the LastValue(Equity(1,0)) are for
*all
> > quotations*.
> > It was printed in bold, for easy reading.
> > For the numerical part of my example, the test period was Jan2000
> > till now.
> > The reader may use his own set of *all quotations*, there is no
> > restriction.
> > I presented an AFL method to select the N100 top10, according to
> some
> > criterion and apply an investigation on this top10 selection
> > automatically, without moving this top10 group in a separate
watch
> > list and call them back. It is written in the very first lines of
> the
> > text.
> > It was a kind of reply to the recent question " Re: getting
values
> > from multiple stocks at once". I admit it is not "at once", it
has
> > two steps, but it walks towards this direction .
> > As for the 101 bars of "~RankY", they are the 101 tickers of the
> N100
> > database, as clearly written in the text you don't read.
> > Dimitris Tsokakis
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > Does 100 bars make for a meaningful test ?
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
> > <TSOKAKIS@xxxx>
> > > wrote:
> > > >
> > > > We shall find first the top10 final Equities of the #1. Steve
> > > Karnish StoRSI [simple] trading system.
> > > > Then we shall see their performance with the #2. Steve
Karnish
> > > StoRSI with an MA(C,21) trend qualifier.
> > > > The procedure has two steps.
> > > >
> > > > Step1.
> > > > Create the composite ticker "~RankY" which has transformed
the
> > 101
> > > final Equities into an array with the last 101 bars
> > > > equal one to one to the respective Lastvalue(E0).
> > > > Scan all stocks, all quotations with
> > > >
> > > > // #1. Steve Karnish StoRSI [simple]
> > > > StochRsi=EMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI
> > (8),8)),3)
> > > *100;
> > > > Buy=Cross(17,StochRsi);
> > > > Sell=Cross(StochRsi,83);
> > > > Short=Cross(StochRsi,83);
> > > > Cover=Cross(17,StochRsi);
> > > > E0=LastValue(Equity(1,0));
> > > > Filter=1;AddColumn(Status("STOCKNUM"),"ORD",1.0);AddColumn
> > (E0,"E0");
> > > > // VHTr, Vertical to horizontal transformation, by D.
Tsokakis,
> > Apr
> > > 2003
> > > > x=Status("stocknum");
> > > > y=E0;z=LastValue(Cum(1))-x;
> > > > Ry=AddToComposite(IIf(z==Cum(1),y,-1e10),"~RankY","C");
> > > > Buy=0;
> > > >
> > > > Now, the ~RankY is already created.
> > > > You may see in Indicator builder with
> > > >
> > > > // top10 graph
> > > > R= Foreign("~RankY","C");H0=Foreign("~RankY","C");
> > > > L1=LastValue(Cum(1));
> > > > N=101;// the N100 database population
> > > > TOP=10;// calibrate here the topX selection
> > > > for(K=1;K<=TOP;K++)
> > > > {
> > > > H1=LastValue(HHV(H0,n));
> > > > BAR1=LastValue((ValueWhen(H0==H1,Cum(1)-1)));
> > > > H0[BAR1]=-10;
> > > > }
> > > > Plot(IIf(Cum(1)>L1-N,R,-1E10),"["+WriteVal(L1-1-BarIndex
(),1.0)
> > > +"]",IIf(H0==-10,colorYellow,colorBlack),2);
> > > >
> > > > In the title line you may read the ordinal number of each
stock
> > and
> > > the respective final Equity.
> > > > The top10 stocks are painted yellow.
> > > >
> > > > Step2.
> > > > We shall see now the performance of this top10 group in the
> > system
> > > #2.
> > > >
> > > > Explore the N100 database, for the n=101 last quotations with
> > > >
> > > > // PERFORMANCE OF THE SELECTED TOP10 IN ANOTHER SYSTEM
> > > > // EXPLORE THE DATABASE FOR THE LAST 101 QUOTATIONS
> > > > X=Status("STOCKNUM");
> > > > R= Foreign("~RankY","C");H0=Foreign("~RankY","C");
> > > > L1=LastValue(Cum(1));
> > > > N=101;// the N100 database population
> > > > TOP=10;// calibrate here the topX selection
> > > > for(K=1;K<=TOP;K++)
> > > > {
> > > > H1=LastValue(HHV(H0,n));
> > > > BAR1=LastValue((ValueWhen(H0==H1,Cum(1)-1)));
> > > > H0[BAR1]=-10;
> > > > }
> > > > ORD=IIf(H0==-10,L1-1-BarIndex(),-1E10);
> > > > // #2. Steve Karnish StoRSI [MA(C,21)]
> > > > /*The Buy signal is accepted if the 21-bar MA is ascending
the
> > same
> > > day.
> > > > The Short signal is accepted if the 21-bar MA is descending
the
> > > same day*/
> > > > StochRsi=EMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI
> > (8),8)),3)
> > > *100;
> > > > Buy=Cross(17,StochRsi) AND Ref(MA(C,21),-1) < MA(C,21);;
> > > > Sell=Cross(StochRsi,83);
> > > > Short=Cross(StochRsi,83) AND Ref(MA(C,21),-1) > MA(C,21);
> > > > Cover=Cross(17,StochRsi);
> > > > E=LastValue(Equity(1,0));
> > > > Filter=H0==-10 AND X==ORD;
> > > > AddColumn(ORD,"ORD",1.0);
> > > > AddColumn(E,"E");
> > > >
> > > > In the results you may see the final performance of the
> > preselected
> > > System #1 top10 performers.
> > > >
> > > > Dimitris Tsokakis
> > > >
> > > > Note1
> > > > In Equity settings we used
> > > > Buy/Sell/Short/Cover at Open
> > > > Delay=+1
> > > > commission 0.5%
> > > > Initial equity 10000
> > > > All stops disabled
> > > > Note2
> > > > In the selection Step1, any ranking criterion may be used. To
> > > select, for example, the top10 RSI() values, just replace
> > > > y=E0 with y=Lastvalue(RSI())
> > > > Note3
> > > > The most time consuming step was step2, it needs ~3sec for
the
> > N100
> > > database, using Amibroker 4.41b with a PIII/800
> > > > 64Mb RAM/10Gb HD.
> > > > The step1 scan takes less than a [reliable] second.
> > > > Note4
> > > > The method has obvious advantages compared to my previous
> > loopless
> > > attempt of
> > > > http://groups.yahoo.com/group/amibroker/message/38650
> > > > Now, thanks to for AFL loop, the code is almost the same for
a
> > top5
> > > or a top10 ranking.
> > > > In the #38650 form, one should change the code according to X
> for
> > > each topX.
> > > > Dimitris Tsokakis
> > > > ----- Original Message -----
> > > > From: Dimitris Tsokakis
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Sunday, September 07, 2003 1:30 PM
> > > > Subject: To continue with
> > > >
> > > >
> > > > Here is an even shorter code to find the top10 StochD values
> from
> > > the last 100 bars.
> > > > Paste in indicator builder the
> > > >
> > > > // Top10 from 100
> > > > R=StochD();
> > > > H0=StochD();
> > > > L1=LastValue(Cum(1));
> > > > N=100;// the lookback period
> > > > TOP=10;// the topX calibration
> > > > for(K=1;K<=TOP;K++)
> > > > {
> > > > H1=LastValue(HHV(H0,n));
> > > > BAR1=LastValue((ValueWhen(H0==H1,Cum(1)-1)));
> > > > H0[BAR1]=-10;
> > > > }
> > > > Plot(IIf(Cum(1)>L1-N,R,-1E10),"",IIf(H0==-
> > > 10,colorYellow,colorBlack),2);
> > > >
> > > > Since we paint the top10 points outside the loop execution,
we
> > know
> > > all the rest details, when it happened, the respected value,
> > outside
> > > the loop,
> > > > consequently the result is ready for any further use.
> > > > The trick was to find the highest value, find the bar it
> happens
> > > and then, in the very next step, make this value negative [-10
in
> > the
> > > example].
> > > > The next cycle of the loop will search for the 2nd highest
> value
> > > etc.
> > > > For other indicators, replace -10 with another, enough
negative
> > > value, lower than the usual indicator values, to ensure that
you
> > will
> > > excude this
> > > > bar from the next cycle of the loop. If you do not know the
> > > negative values, a Lowest(Indicator)-1 is enough.
> > > > Dimitris Tsokakis
> > > >
> > > > ----- Original Message -----
> > > > From: Dimitris Tsokakis
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Saturday, September 06, 2003 10:59 PM
> > > > Subject: To begin with
> > > >
> > > >
> > > > Let us find the top10 of the last 100 Stochd() values.
> > > > In AA explore the current stock for the last 100 bars.
> > > > // The top10 of an exploration
> > > > bars=100;
> > > > H1=StochD()*(LastValue(Cum(1))-Cum(1)<bars);
> > > > H11=H1;
> > > > H2[0]=0;Counter=0;
> > > > top=10;
> > > > for(n=1;n<=top;n++)
> > > > {
> > > > for(i=1;i<BarCount;i++)
> > > > {
> > > > H2=LastValue(Highest(H1));
> > > > if(H1[i]==H2[i])
> > > > {
> > > > if(Counter<top)
> > > > {
> > > > H1[i]=0;
> > > > Counter=Counter+1;
> > > > }
> > > > }
> > > > }
> > > > }
> > > > Filter=1;
> > > > AddColumn(H11,"Array");
> > > > AddColumn((H1==0)*H11,"Top10");
> > > >
> > > > In the "Top10" column you read the 10 highest StochD()
values,
> > all
> > > the rest are 0.
> > > > Dimitris Tsokakis
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