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Hi Dimitris, thanks for the code.
When I place it in the IB and fill Watchlist 61, I get the same symbol
in each of the 5 positions. Would you know why please, has anyone else
found this?
BTW Dave, I have been looking for a simpler way to finding the top N
stocks using AFL. I am currently using the Osaka plug-in, the code I'm
using with it is in message 50457.
Cheers Glenn
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> Dave,
> the topList in my code is a comma separated string.
> If you run the exploration for more than one [the last or not] bars,
> the string appears the same [this is the same for any AddTextColumn
> result, as you probably know].
> Of course, if you select another single day [say From 2/6/2004 To
> 2/6/2004] you will see the topList of this 2/6/2004.
> It is easier in IB, paste the
>
> list = CategoryGetSymbols( categoryWatchlist, 61 );
> g=-100;t="";topList="";i1=0;
> nt=5;// calibrate here the topX
> for(n=1;n<=nt;n++)
> {
> for( i = 0; ( sym = StrExtract( list, i ) ) != "" ; i++ )
> {
> SetForeign(sym);
> x=StochD();//the individual metric
> t=WriteIf(x>g,sym,t);i1=IIf(x>g,i,i1);
> g=Max(g,x);
> }
> topList=topList+t+",";L0="";
> for( i = 0; ( sym = StrExtract( list, i ) ) != "" ; i++ )
> {
> SetForeign(sym);
> L0=L0+ WriteIf(i!=i1,sym+",","");
> }
> List=L0;g=-100;
> }
> Title="The top"+WriteVal(nt,1.0)+"list for "+Date()+" is "+topList;
>
> Put your cursor on a bar and you will have the topX list for that bar.
> It is a good starting point for your further study.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > Thanks for replying Dimitris; I was wondering when someone would
> have a
> > suggestion (:-).
> >
> > Unfortunately, unless I'm misunderstanding your code, it's not what
> I meant.
> > It's creating a single watchlist to work off, containing the top 5
> tickers
> > by StochD, but that list is the same for every bar.
> >
> > I'll try again to explain: Whenever there's uncommitted capital,
> buy the
> > stocks ranked the highest (by StochD for example) ON THAT DAY. So
> first bar,
> > I'd buy the 20 stocks with the highest StochD, and hold each of
> them until
> > it exits by a custom AFL rule based on entry price and time.
> Whenever
> > there's free capital, buy as many of the top StochD stocks as
> there's room
> > for in the position sizing.
> >
> > Make sense? When you buy, you're looking for the stocks ranked
> highest THAT
> > DAY, which will change every bar.
> >
> > I don't see how to do that in native AFL. I thought I'd seen an
> example of
> > something similar using the Osaka plugin (for its sorting
> capability), but I
> > don't know where.
> >
> > Any ideas, AFL or Osaka?
> >
> > Dave
> > Dave,
> > The following code will select from WL61 the top5 STOCHDs, then it
> > will create
> > a new topList and , finally, apply the trading system.
> > You only need to explore *ANY* ticker for the n=1 last quotations
> >
> > list = CategoryGetSymbols( categoryWatchlist, 61 );
> > g=-100;//SHOULD BE LOWER THAN ANY POSSIBLE METRIC VALUE
> > t="";topList="";i1=0;
> > nt=5;// calibrate here the topX
> > for(n=1;n<=nt;n++)
> > {
> > for( i = 0; ( sym = StrExtract( list, i ) ) != "" ; i++ )
> > {
> > SetForeign(sym);
> > x=StochD();//the individual metric
> > t=WriteIf(x>g,sym,t);i1=IIf(x>g,i,i1);
> > g=Max(g,x);
> > }
> > topList=topList+t+",";L0="";
> > for( i = 0; ( sym = StrExtract( list, i ) ) != "" ; i++ )
> > {
> > SetForeign(sym);
> > L0=L0+ WriteIf(i!=i1,sym+",","");
> > }
> > List=L0;g=-100;
> > }
> > /*The top5 list is already created, apply now the trading rules*/
> > for(j=0;j<nt;j++)
> > {
> > global Buy;global Sell;
> > TICKER=StrExtract(topList,j);
> > SetForeign(TICKER,True,True);
> > Buy=Cross(StochD(),50);Sell=Ref(Buy,-5);//the trading rules
> > AddColumn(Equity(1,0),TICKER);
> > }
> > Filter=1;
> > AddTextColumn(topList,"top"+WriteVal(nt,1.0)+"List");
> > AddTextColumn(L0,"The rest");
> >
> > The topList is temporarily created for the exploration needs, if
> you
> > want to save the topList tickers for further use,
> CategoryAddSymbol -
> > CategoryRemoveSymbol will do the job.
> > The clue is to find first the top ticker and then "subtract" it
> from
> > the comma separated string of the initial list.
> > Unfortunately this "string subtraction" is not supported. We may
> > write "MSFT,INTC,CSCO"+",BEAS", but we can not
> write "MSFT,INTC,CSCO"-
> > "CSCO".
> > To solve this I find the ordinal # of the top ticker and replace
> it
> > with "". The remaining list will have one ticker less and, at this
> > stage, we may repeat the top procedure.
> > Some steps may be shorter but, DAX is opening...
> > Dimitris Tsokakis
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > wrote:
> > >
> > > Say I wanted to buy the top 20 stocks ranked by ROC(C, 1), for
> > example,
> > > and sell with a custom exit somewhat like a trailing stop, one
> that
> > depends
> > > on knowing the entry date and price.
> > >
> > > This is the only thing I could come up with, which won't do
> it,
> > because
> > > the exit function won't know when buys actually occur according
> to
> > > PositionScore.
> > >
> > > Buy = 1;
> > > PostitionScore = Max(ROC(C, 1), 0);
> > > ExitLine = MyExitFunction();
> > > Sell = Cross(ExitLine, C);
> > >
> > > Am I being clear? Is there a way to do this in native AFL?
> > >
> > > Thanks,
> > >
> > > Dave
> > > A few more explanations would be required to know what you
> are
> > after.
> > >
> > > In both rotational and non-rotational mode you can buy top N
> > stocks
> > > if you code PositionScore variable according to your metric.
> > >
> > > > Does anyone have a non-rotational example of buying the
> top N
> > stocks
> > > ranked
> > > > by some metric? Far as I can see, that requires the Osaka
> > plug-in,
> > > which I'm
> > > > not familiar with.
> > > >
> > > > Thanks,
> > > >
> > > > Dave Merrill
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