|
PureBytes Links
Trading Reference Links
|
Dave
A different approach might be to write an AFL (incorporating Osaka
Plugin) to determine your top ranked stocks each month. If for
example you wanted the top 20 stocks for 6 mth ROC. Use Osaka to
determine the 20th highest 6 mth ROC. Use ADDTOCOMPOSITE to save
this value to ~Top20ROC ticker. In subsequent backtest just compare
stock 6 mth ROC to ~Top20ROC value. ie Top20 = ROC(Close,125) >=
foreign("~Top20ROC","C");
Hope this helps, I use this method myself.
Andrew
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> I wonder if we might get the ability to have more watchlists at
some point,
> especially now that we can fill them from AFL code.
>
> or maybe there's another way to do what I'm thinking about. (not
that 255
> watchlists wouldn't still be useful, it would, even if there's
another way.)
>
> suppose you want to run some strategy on the set of stocks that
rank the
> highest by some criteria over the previous month. for any given
day, you
> could run a backtest, sort the results however you wanted, put the
top
> ranked stocks in a watchlist, then run your analysis on that.
>
> but how can you backtest this concept, as if you'd done that
repeatedly each
> month for a number of years? the only way I could think of was to
define a
> set of watchlists that will hold the highest ranking stocks for
each month
> of the test period, run a scan that fills them, then run an
analysis that
> knows which list to check against for each month.
>
> we can't do the ranking on the fly, since as far as I know, we
can't find
> out what other stocks are being tested besides the current one. am
I missing
> some other approach to this? am I being clear about what I'm
trying to do?
>
> so two questions really: can we get more watchlists, and how else
can I
> approach backtesting this kind of strategy.
>
> thanks,
>
> dave
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs Online - Over 14,500 titles.
No Late Fees & Free Shipping.
Try Netflix for FREE!
http://us.click.yahoo.com/Tq9otC/XP.FAA/3jkFAA/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/
|