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Hello,
Just a note:
CategoryGetSymbols works properly REGARDLESS of alignment/data holes/etc.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, June 19, 2004 11:39 AM
Subject: [amibroker] Re: Example of buying top N stocks ranked by some metric - no takers?
> 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
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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