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To select the top10 LastValue(RSI()) stocks of the N100
database and see their performance in a trading system,
explore the database for all quotations with
// top10 Exploration and Application<FONT face=Verdana
size=2>
function<FONT
face="Times New Roman"> select( listnum )
{
list = GetCategorySymbols<FONT
face=Verdana size=2>( categoryGroup, listnum
);
Rank = 0<FONT
face="Times New Roman">;
for( i = <FONT
size=2>0; ( sym = StrExtract<FONT
size=2>( list, i ) ) != ""<FONT face=Verdana
size=2>; i++ )
{
C1 = Foreign( sym, <FONT
size=2>"C"
);
f=LastValue(<FONT
size=2>RSIa(C1,14<FONT
size=2>));
Rank[BarCount-1<FONT
face=Verdana size=2>-i] = f[i];
}
return<FONT
face="Times New Roman"> Rank ;
}
No=254<FONT
face="Times New Roman">;// replace 254 with your GroupNo
R= Select(No);H0=Select(No);<FONT
face="Times New Roman">
L1=LastValue(<FONT
size=2>Cum(1<FONT
face=Verdana size=2>));<FONT
face="Times New Roman">
N=101;// the population of the
database
TOP=10<FONT face=Verdana
size=2>;// the topX
calibration<FONT
face="Times New Roman">
for(K=1<FONT
face=Verdana size=2>;K<=TOP;K++)
{
H1=LastValue(<FONT
size=2>HHV<FONT
face="Times New Roman">(H0,n));
BAR1=LastValue((<FONT
size=2>ValueWhen(H0==H1,Cum<FONT
size=2>(1)-<FONT
size=2>1)));H0[BAR1]=-<FONT
size=2>10<FONT
face="Times New Roman">;
}<FONT face=Verdana
size=2>
ORD=L1-Cum(<FONT
size=2>1);
// The trading system
Buy=Cross(<FONT
size=2>StochD(),30<FONT
size=2>);
Sell=Cross<FONT
size=2>(StochD(),<FONT
size=2>70);
E=LastValue<FONT
size=2>(Equity(<FONT
size=2>1,0<FONT
size=2>));
Filter=H0==-10 AND
ORD==Status(<FONT
size=2>"STOCKNUM"<FONT
face="Times New Roman">);<FONT
face="Times New Roman">
AddColumn(E,"E"<FONT
face=Verdana size=2>);
The procedure is slower [because of the use of the <FONT
size=2>GetCategorySymbols() function].
For the 101 stocks with the 922 data [since Jan2000] loaded, a
PIII/800 needs 16sec .
Dimitris Tsokakis
Yahoo! Groups Sponsor
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