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Glenn,
Here is the code
// The top5 list
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;
For 3/5/2004, for example, The top5list of N100 is
WFMI,LNCR,MEDI,EBAY,XRAY in IB title.
[The Title will be the same for any ticker in the symbol tree...]
In AA, from 3/5/2004 to 3/5/2004 the exploration results of
Filter=1;
AddColumn(StochD(),"StochD");
are
WFMI, 86.88
LNCR, 84.92
MEDI, 77.18
EBAY, 76.35
XRAY, 74.40
The stocks of WL61 should be aligned [no missing quotes, no extra
quotes], else the CategoryGetSymbols() function will not work
properly.
Check your database with Tools->Database purify.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Glenn" <glennokb@xxxx> wrote:
> 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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