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<SPAN
class=801484416-24102003>thanks andrew, nice idea, hadn't thought of
that (:-).
<SPAN
class=801484416-24102003>
<SPAN
class=801484416-24102003>would you mind sharing some sample code to build the
ticker? do you try to only calculate dates more recent than what you
already have saved in the composite, or recalculate the whole thing
always?
<SPAN
class=801484416-24102003>
<SPAN
class=801484416-24102003>thanks,
<SPAN
class=801484416-24102003>
<SPAN
class=801484416-24102003>dave
<SPAN
class=801484416-24102003>
<BLOCKQUOTE
>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
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