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Hi Andrew,
I just did a simple scan to see exactly how many stocks were above the
turnover formula in the rank code ie:
Turnover=MA(V*C,250) >= Foreign("~TurnoverTop200","C");
Buy = 0;
AddToComposite(Turnover, "~StockNum", "X" );
...I found the number of stocks picked on a day varies between 170 &
180 or so, rather then 200. Do you know why this would be? Thanks.
BTW I would like to do an Explore on single day (say on 01/01/2003)
using for an example: MA(V*C,250) so I can do a sort in AA to see what
the actual Top 200 stocks symbols were. I've tried a few thing but I'm
not sure how to set it up in the AA and what range to set (ie: does it
need to be back 250 days for the 250 day MA) ?
Dave
--- In amibroker@xxxxxxxxxxxxxxx, "Andrew Perrin" <adjp@xxxx>
wrote:
> Dave
> Good to hear you got it working. I don't run this exact scan, but yes I
do run a ranking scan daily. I contributed the Turnover Ranking as an
example, Perhaps of interest to you was a discussion on whether this
particular formula for turnover was the best as opposed to MA(V *
Close ,sov1).
> see http://groups.yahoo.com/group/amibroker-ts/message/596 for
this discussion
> >Just add MA(V,sov1) * Close >= foreign
> >("~Top200Vol","C"); to my system and that's it. Does that sound OK?
> What you suggest sounds right to me
> Andrew
>
>
>
>
> ----- Original Message -----
> From: dcrotty2003
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, December 20, 2003 4:22 PM
> Subject: [amibroker] Re: Top 200 stocks by volume
>
>
> Andrew,
>
> Excellent!! :-) got it going, thanks for your time and your code. I
didn't
> understand how it worked and now that I see it on a chart, I doesn't
> look like it's necessary to do it month by month as I mentioed in my
> previous post. Just add MA(V,sov1) * Close >= foreign
> ("~Top200Vol","C"); to my system and that's it. Does that sound OK?
>
> Do you run this daily prior to Scaning for signals?
>
> Thanks again.
> Dave
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Andrew Perrin" <adjp@xxxx>
> wrote:
> > Dave
> > to use this AFL, you need to set the APPLY TO -> CURRENT
> STOCK not Filter -> Watchlist -> 1000 stocks. For the current
stock
> selected it is best to use a stock with no data holes ( I use an
INDEX ).
> I've copied a snippet of code from the AFL below, this is what I tried
to
> explain in first comment. Under user variables are
> > sWatchlist = 4; This is the watchlist you want to scan not write
> results to. Set this to whatever you mistakenly set the filter to
initially.
> > Rank_No = 200; This is the depth you want to rank to ie. the
200th
> highest rank value will be added to the AddToComposite.
> >
> > //
>
****************************************************
> ************
> > // APPLY TO - CURRENT STOCK - Set to an index (no data holes).
> > // RANGE - FROM - "set date" TO - "set date",
> > // SCAN or EXPLORE
> > //
>
****************************************************
> ************
> > osInitialize();
> > #pragma nocache
> > //#include "afl/AP_Functions.afl";
> > //////////////////////////////////////////////////
> > // User Variables - enter here //
> > /////////////////////////////////////////////////
> > sWatchlist = 4; // set to desired watchlist.
> > Rank_No = 100; // set the depth to rank to.
> >
> >
> > Hope this Helps, any problems just ask
> >
> > Andrew
> > ----- Original Message -----
> > From: dcrotty2003
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Saturday, December 20, 2003 9:50 AM
> > Subject: [amibroker] Re: Top 200 stocks by volume
> >
> >
> > Hi Andrew, thanks for your reply.
> >
> > Re: Add To Composite RankValue based on Ranking calculation.
> >
> > Using the code in the message you wrote, I believe I could use
the
> > composite value as a filter in my systems backtest.
> >
> > I could run the top 200 volume code over each month for the last
> > couple of years, setting up watchlists/composites to use in
> backtesting.
> >
> > Then in my system, add a date function for each of the months
> > composites as a volume filter for backtesting over the 1000
stocks.
> >
> > ie:
> > IIf(Year()==2003 AND Month()==11,MA(V,sov1) * Close >=
foreign
> > ("~Top200Vol_11_2003","C"),
> > IIf(Year()==2003 AND Month()==12,MA(V,sov1) * Close >=
foreign
> > ("~Top200Vol_12_2003","C"),
> >
> > ....etc etc etc
> >
> > Nothing's never that easy is it!! ...hoping for a simpler way.
> >
> > Anyway down to business :-) I've downloaded the Osaka plug-in
and
> run
> > the code on a watchlist of 1000 stocks. I get the composite come
up
> > with zero and nothing in my watchlist 4. In the AA results all the
> > Rank Values are zero.
> >
> > Any idea what I could be doing wrong? I'm selecting Apply to ->
> > Filter -> Watchlist -> 1000 stocks and setting the date to the last
> > months worth. I'm using AB Version 4.5.6 and I guess there's
nothing
> > to setup in the Settings?
> >
> > Thanks, Dave
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Andrew" <a.perrin@xxxx>
> wrote:
> > > Dave
> > > Take a look at messages 50428 and 50457. They might be
what
> you
> > want
> > >
> > > Andrew
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "dcrotty2003"
> > <dcrotty2003@xxxx>
> > > wrote:
> > > > Hi Mark, and thanks for the reply.
> > > >
> > > > Sounds a bit tricky, I have no knowledge of JScript.
> > > >
> > > > Would anyone have already coded something similar in
JScript
> that
> > > > Mark suggested and I may be able to modify it.
> > > >
> > > > Otherwise, any other suggestions on how to do it? Thanks.
> > > >
> > > > Dave
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mark H"
> <amibroker@xxxx>
> > wrote:
> > > > > I haven't tried that, but based on what I read in the help
file,
> > > > you can do an automatic script to accomplish that.
> > > > >
> > > > > 1. load the explore formula and settings
> > > > > 2. invoke the explore
> > > > > 3. save the results to a file
> > > > > 4. read the file and choose the top 200 tickers
> > > > > 5. clear existing watchlist
> > > > > 6. set the 200 tickers to watchlist
> > > > >
> > > > > You can even add the backtest steps:
> > > > >
> > > > > 7. load the backtest formula and settings
> > > > > 8. invoke the backtest
> > > > > 9. save the reports to files.
> > > > >
> > > > > All these can be done in JScript. After that, the whole
process
> > > is
> > > > just one click away.
> > > > >
> > > > > - Mark H.
> > > > > ----- Original Message -----
> > > > > From: dcrotty2003
> > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > Sent: Thursday, December 18, 2003 4:51 PM
> > > > > Subject: [amibroker] Top 200 stocks by volume
> > > > >
> > > > >
> > > > > Hi,
> > > > >
> > > > > From a newbie EOD trader. Instead of backtesting using
> todays
> > > > index,
> > > > > is it possible to create a daily list of 200 only stocks from
> > > a
> > > > list
> > > > > of 1000 filtered by moving average volume and my
system
> > > > backtested on
> > > > > this list?
> > > > >
> > > > > I know I could do an explore to pick out the top 200 and
> save
> > > it
> > > > to a
> > > > > watchlist then backtest on the list, but I want the list to
be
> > > > > changed everyday within the backtest.
> > > > >
> > > > > I don't want if using the rank function to only buy top-
down
> > > > stocks
> > > > > with the highest volume but to buy any of the 200
selected
> > > stocks.
> > > > >
> > > > > Thanks for any help.
> > > > >
> > > > > Dave
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