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Dimitris,
CategoryGetSymbols does not look for the quotes at all.
All it does is returns a comma separated list of SYMBOLS belonging to
given category (in your case the watch list).
It just gives you what you can see in the workspace tree. If you see CSCO,GRMN,INTC
in the watchlist in question in the symbol tree then it will give you those symbols.
Whenever given symbol belongs to a watchlist or not
does NOT depend on quotes, so the
list of symbols in the watch list is the same regardless of bar choosen.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, June 19, 2004 2:02 PM
Subject: [amibroker] Re: Example of buying top N stocks ranked by some metric - no takers?
> Tomasz,
> Here is another question:
> The
>
> list = CategoryGetSymbols( categoryWatchlist, 10 );
> T="";
> for( i = 0; ( sym = StrExtract( list, i ) ) != "" ; i++ )
> {
> T=T+sym+",";
> }
> Title=T;
>
> gives CSCO,GRMN,INTC even before 14/12/2000. But, GRMN has no data
> before 14/12/2000.
> I would expect an output CSCO,INTC before 14/12/2000, if
> CategoryGetSymbols() was a properly working daily function.
> Still confused with this.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> wrote:
> > 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
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
>
>
>
>
> 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
>
>
>
>
>
>
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