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Tomasz,
thank you for your reply.
It is clear now.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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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