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Dave
Had to think about this one, I noticed you
have used <FONT
face=Arial>Turnover=MA(V*C,250) . This is not the turnover
calculation used in the initial Ranking AFL, did you modify that ranking
calculation as well, if not that is the reason for the discrepancy. It
does work for me.
>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)
?
Just set Range From - 01/01/2003 To - 01/01/2003
and explore. No you don't have to worry about 250 day MA, Amibroker takes
care of that for you.
Andrew
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=dcrotty2003@xxxxxxxxxxxx
href="">dcrotty2003
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, December 21, 2003 8:40
AM
Subject: [amibroker] Re: Top 200 stocks
by volume
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 <A
href="">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.> > > > >
> > > > >
DaveSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend
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