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Chuck,
Like you, I am very pleased with the speed of direct export
of data from CSI/UA to AB.
Just for the record, I use filters and watchlists to out
the foreign and preferred stocks in my backtesting database
for the reason you state - they take up positionscore
spots.
However I do not use AB's built in positionscore to
generate my stock picks for actual trading. I have not
bothered to code the filtering into AFL for my trading
since I can let my eye do that filtering.
You and I seem to use AB in different ways to generate
picks for live trading. If I read between the lines of your
post, you run a strategy code in AB's AA mode and get the
buy/sell/short/cover actions from the trade list (assuming
one has turned on the option that lists tomorrow's trades).
My current method is to take volume filters and ranking
logic from the AA code used to backtest and put that code
into a much shorter AFL designed to run as an Exploration.
Using an Exploration, lets me display columns for average
volume and, of course, the ranking numbers that would have
been fed to PositionScore in backtesting. To get the
ranking list, I click on the heading for the PositionScore
column and when placing orders I skip over any foregin or
preferred stocks. I sometimes skip over a stock that just
barely passed the minimum volume filter (or take a half
position). That is one reason I prefer the Exploration
method. There are others.
It would be easy to build in a couple of filters to keep
foreign and preferred stocks out of the exploration report
list - I just have not bothered to do it.
Of course, for back testing, you can be very sure that I
include filters to exclude the preferreds and foreign
stocks. Actually, for speed reasons, I use these filters to
create watchlists of stocks to exclude when testing.
You may recall that I keep separate databases of CSI data
for research testing and for trading. There are several
reasons why I prefer keeping the 2 separate. Thus the
watchlists that exclude foreign stocks are only in my
research database.
b
--- Chuck Rademacher <chuck_rademacher@xxxxxxxxxx> wrote:
> b,
>
> Thanks for taking the time to document how this all
> works. I'm glad that
> someone has the patience!
>
> One note though....
>
> I see a problem with the technique you are using. You
> are letting the
> foreign and preferred stocks into your trading logic.
> It's all well and
> good to ignore them, but they are using up position
> numbers. Let's say you
> want to trade ten stocks, but two of them are Canadian
> stocks. You will
> only be trading eight stocks. It's a minor point, but I
> prefer to filter
> them out BEFORE they get into my trading logic rather
> than ignore them from
> my "orders list". It's certainly easy enough to do.
>
> Just my thoughts on the subject. I'm sure enjoying the
> new CSI export to
> AB. It saves me about three hours a day!
>
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