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<FONT face=Arial color=#0000ff
size=2>b,
<FONT face=Arial color=#0000ff
size=2>
I
understand, and fully agree with, your methodology. My only
reservation is that I'm always afraid that I will make a subtle change in my
backtesting AFL and forget to make it in my exploration AFL. We get
to the same end result, but at my age I try to keep from getting
confused!!
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: b
[mailto:b519b@xxxxxxxxx]Sent: Monday, March 22, 2004 5:14
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
CSI/UA data to AB (2 methods)Chuck,Like you,
I am very pleased with the speed of direct exportof data from CSI/UA to
AB. Just for the record, I use filters and watchlists to outthe
foreign and preferred stocks in my backtesting databasefor the reason you
state - they take up positionscorespots. However I do not use AB's
built in positionscore togenerate my stock picks for actual trading. I
have notbothered to code the filtering into AFL for my tradingsince I
can let my eye do that filtering. You and I seem to use AB in
different ways to generatepicks for live trading. If I read between the
lines of yourpost, you run a strategy code in AB's AA mode and get
thebuy/sell/short/cover actions from the trade list (assumingone has
turned on the option that lists tomorrow's trades).My current method
is to take volume filters and rankinglogic from the AA code used to
backtest and put that codeinto a much shorter AFL designed to run as an
Exploration. Using an Exploration, lets me display columns for
averagevolume and, of course, the ranking numbers that would havebeen
fed to PositionScore in backtesting. To get theranking list, I click on
the heading for the PositionScorecolumn and when placing orders I skip
over any foregin orpreferred stocks. I sometimes skip over a stock that
justbarely passed the minimum volume filter (or take a halfposition).
That is one reason I prefer the Explorationmethod. There are
others.It would be easy to build in a couple of filters to
keepforeign and preferred stocks out of the exploration reportlist - I
just have not bothered to do it.Of course, for back testing, you can
be very sure that Iinclude filters to exclude the preferreds and
foreignstocks. Actually, for speed reasons, I use these filters
tocreate watchlists of stocks to exclude when testing. You may
recall that I keep separate databases of CSI datafor research testing and
for trading. There are severalreasons why I prefer keeping the 2 separate.
Thus thewatchlists that exclude foreign stocks are only in myresearch
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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