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<FONT face=Arial color=#0000ff
size=2>William,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Although I do cater for stocks that cease trading, I didn't bother
testing for (and quitting positions in) stocks that are no longer index
constituents. I may add that logic, but since my average trade is
about 17 days and my longest is about 50 days, I wasn't terribly
worried.
<FONT face=Arial color=#0000ff
size=2>
The
other thing, of course, is that the stock could have been dropped from the N100
at any time after January 1, 1997, not on December 31, 1997. So,
unless I want a daily N100 watchlist, I can never be very
precise.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: William Peters
[mailto:williampeters@xxxxxxxxxxxx]Sent: Tuesday, December 30, 2003
3:59 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: How to use multiple NASDAQ lists?
Chuck,
Much appreciated. If the
stock is in for 1997 and out for 1998 exactly when would you sell/cover and
how are you implementing this in your formula?
Regards,William
<FONT face=Tahoma
size=2>-----Original Message-----From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]Sent: Tuesday December 30, 2003
1:09 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Re: How to use multiple NASDAQ lists?
<FONT face=Arial color=#0000ff
size=2>Dingo and William (and possibly others),
<FONT face=Arial color=#0000ff
size=2>
Here
is the code that I decided to use:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>InList = IIf(Year() == 1993, InWatchList(21),
IIf(Year() == 1994, InWatchList(21), IIf(Year() == 1995,
InWatchList(21), IIf(Year() == 1996,
InWatchList(22), IIf(Year() == 1997,
InWatchList(23), IIf(Year() == 1998,
InWatchList(24), IIf(Year() == 1999,
InWatchList(25), IIf(Year() == 2000,
InWatchList(26), IIf(Year() == 2001,
InWatchList(27), IIf(Year() == 2002,
InWatchList(28), IIf(Year() == 2003,
InWatchList(29), IIf(Year() == 2004,
InWatchList(30),False))))))))))));
Buy
= myFilterOK and myTimingOK and mySignalOK and InList;
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Notes:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>1. I like to test back to 1993 and I only had watchlists going
back to 1995. So, I took the liberty of stretching the 1995 list
back to 1993. It isn't 100% accurate, but it is about 200% more
accurate than using a current list in 1993.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>2. If you are going to use de-listed stocks, you have to remember
to exit trades prior to running out of data for those stocks. I
put a specific value in the OI field on the 2nd from last day of trading to
tell me to close the position on the last day (if I happen to be in a trade
then).
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>3. So that I don't have to juggle watchlists next week, I set up
a (current) watchlist for 2004 and included the code for it even though it
won't be taking effect yet.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>4. Yes, I know that I didn't have to cater specifically for the
last year (2004). However, I prefer to do things this way for
documentation purposes.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxxxxxxxxxx]Sent: Tuesday, December 30, 2003 9:40
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Re: How to use multiple NASDAQ lists?
<FONT face=Arial color=#0000ff
size=2>how about sharing the method that you chose? I'm curious as to how
you are doing it.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: Chuck
Rademacher [mailto:chuck_rademacher@xxxxxxxxxx] Sent: Tuesday,
December 30, 2003 3:33 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] Re: How to
use multiple NASDAQ lists?
<FONT face=Arial color=#0000ff
size=2>Thanks, DT and others who have sent suggestions on this
subject. I now have it working fine.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Tuesday, December 30, 2003
3:25 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Re: How to use multiple NASDAQ
lists?Chuck,Following the
conventions*Year2000 synthesis into WL10*Year2001 into
WL11*Year2002 into WL12*Year2003 into WL13*All above stocks
into WL15*exit open trades by the end of the yearhere is the
code to backtest them.Select WL15 for all quotations
withBuy1=Cross(StochD(),30);Sell1=Cross(StochD(),80);Short1=Sell1;Cover1=Buy1;//the
trading
rulesY2000=Year()==2000;Y2001=Year()==2001;Y2002=Year()==2002;Y2003=Year()==2003;Cond0=Year()==2001
AND Ref(Year(),-1)==2000;//exit by the end of the
yearCond1=Year()==2002 AND
Ref(Year(),-1)==2001;Cond2=Year()==2003 AND
Ref(Year(),-1)==2002;Cond3=Year()==2004 AND
Ref(Year(),-1)==2003;Buy=(InWatchList(10)*Y2000+InWatchList(11)*Y2001+InWatchList(12)*Y2002+InWatchList(13)*Y2003)*Buy1;Sell=(InWatchList(10)*Sell1
OR Cond0)+(InWatchList(11)*Sell1 OR
Cond1)+(InWatchList(12)*Sell1 OR Cond2)+(InWatchList(13)*Sell1
OR
Cond3);Short=(InWatchList(10)*Y2000+InWatchList(11)*Y2001+InWatchList(12)*Y2002+InWatchList(13)*Y2003)*Short1;Cover=(InWatchList(10)*Cover1
OR Cond0)+(InWatchList(11)*Cover1 OR
Cond1)+(InWatchList(12)*Cover1 OR Cond2)+(InWatchList(13)*Cover1
OR Cond3);I hope the mechanism is clear.Dimitris
Tsokakis--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:> I'm hoping that one of you
guys (or gals) who were able to use the> historical NASDAQ lists
that I posted can now help me. I basically want
to> trade only the stocks on the 1997 list, for instance, in
1997. The stocks> on the 2001 list in
2001. And so on.> > I'm assuming that I would
make a watchlist that contains the sum of all of> the
watchlists (1995 to 2003). I would then create a separate
watchlist> for each year. Then, while trading the
master list, my AFL would check the> year using the Year()
function and only trade if the stock was in the> watchlist
for the corresponding year. Once in a trade, I won't
worry about> exiting if the stock no longer appears in the
list. I have my own way of> determining if the
stock is no longer traded.> > Anyone care to help me and,
no doubt, others by supplying some code?> >
Thanks,> > ChuckSend BUG REPORTS
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