|
PureBytes Links
Trading Reference Links
|
Tomasz,
I suppose [a] that the output of the
list = CategoryGetSymbols( categoryWatchlist, 10 );
n=0;
for( i = 0; ( sym = StrExtract( list, i ) ) != "" ; i++ )
{
n=n+1;
}
Plot(n,"n",1,1);
will be the population of WL10.
I also suppose [b] that the output of
list = CategoryGetSymbols( categoryWatchlist, 10 );
n=0;
for(j=0;j<BarCount;j++)
{
for( i = 0; ( sym = StrExtract( list, i ) ) != "" ; i++ )
{
n[j]=n[j]+1;
}
}
Plot(n,"n",1,1);
will be the population of WL10.
My WL10 includes CSCO [FROM Jan3, 2000] , INTC [FROM Jan3, 2000] and
GRMN[FROM Dec14, 2000, since there was no GRMN before]
Both above codes give a flat n=3 for all bars.[v. 4.50.6]
Is any code wrong ?
Is there another code to find the population of WL10 through
CategoryGetSymbols() function ?
How can I have the same result with
AddToComposite(1,"~WL10pop","V");
Buy=0;
?
These questions make me think that CategoryGetSymbols() does not Get
the Symbols per bar.
This is what I call improper.
Please advise.
Dimitris Tsokakis
PS: We have had a similar discussion some time ago. Your final reply
was to adopt two [different] definitions for the average. Shall we
have two definitions for the population of a WL ?
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|