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Hi Herman,
I have two markets: 0 for NYSE and 1 for NASD.
I will test run your code posted in the later posting. To use the
static variable, I think I need to install one of the recent Beta
versions (I am using 4.5 now).
Thanks for your time on this. I will let you know the result later.
Regards,
Charles
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> Hello Charles,
>
> Can you explain this line:
> //replace your watchlist number with 0
> //list = CategoryGetSymbols( categoryWatchlist, 0 );
> list = CategoryGetSymbols( categoryMarket , 0 ) + CategoryGetSymbols
(
> categoryMarket , 1 );
>
> Why two watchlists? Why not use one and select the other with your
AA
> Filter? I miss something here...
>
> The common aspect of my Correlation code and your code is the
StrExtract,
> since they took about the same amount of time to execute it appears
to be
> the StrExtract() that slows down your code. I am a bit familiar now
with
> what you want and may tinker with your code on a small watchlist of
five
> stocks. Placing Trace()s in the code to see where the time goes.
Comparing
> stocks with stocks is very useful so it would be a code structure I
could
> use myself.
>
> I wasn't thinking of using composites, i was thinking of using
SetVar() to
> store the arrays.
>
> herman
>
> -----Original Message-----
> From: firstview2000 [mailto:firstview2000_1999@x...]
> Sent: Thursday, August 05, 2004 2:20 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: any ideas to reduce runtime for the
price RS
> ranking code?
>
>
> Herman,
>
> Your afl code also consumed too LONG time to finish: I ran it for
18
> minutes, and the estimated time left is 19 minutes. So, it will be
> in the range of 40 minutes to complete 700 stocks based on this
> speed.
>
> I also tested your AFL in a 517 stock watch list, it took 22
minutes
> to complete.
>
> For a 53 stock watch list, it took 13 seconds to complete.
>
>
> I thought about your suggestion #1, but could not find any good
way
> to reduce the loops. There are a lot of un-necessary repeating
> calculations in my AFL: the RS of each stock is repeated 700
times.
> To avoid this, I need to store RS values for 700 stocks. I think
it
> is not good idea to create 700 ATC composites for this purpose.
what
> do you think?
>
>
> Other information:
> The status line of the AA window stated "Running ..." all the time
> during the exploration.
>
> In my AFL preference setting, the quickAFL for indicator is
checked.
>
> Regards
> Charles
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
> <psytek@xxxx> wrote:
> > Don't know if it can be improved but i'll think about it; I like
> this kind
> > of challenges. Coding is more fun than trading, ooops: i should
> have said
> > that in public :-)
> >
> > For comparison you may look at the code below which performs a
> similar
> > action, it calculates the correllation between each of a group
of
> stocks.
> > Run it on your 700 and see how long it takes. If it is much
> shorter than the
> > time-consuming code is not the StrExtract() and you should look
at
> your
> > other lines of code. I would be interested to know how that
> compares on your
> > computer. It take less than 10 seconds to correlate 100x100
stocks
> for me.
> >
> > SetOption("NoDefaultColumns",True);
> > Filter = Status("LastBarInTest");
> > list = GetCategorySymbols( categoryWatchlist, 0);
> > AddTextColumn(Name(),"Correlation",1.0);
> > Ticker1= Name();
> > for( Col=0; (Ticker2=StrExtract( List, Col))!= ""; Col++)
> > {
> > Var2 = Foreign(Ticker2,"C");
> > Corr = Correlation( C, Var2, 8);
> > Color = IIf(Corr>0, colorBrightGreen, IIf(Corr<0,
> colorRed,colorWhite));
> > Color = IIf(Ticker1==Ticker2, 1, Color);
> > AddColumn( Corr, Ticker2, 1.3, 1, Color);
> > }
> >
> > 1) You may have calculations inside your loop that are repeated
> for each
> > comparison but that need only be calculated one time for each
> stock, outside
> > the loop. You could use an additional loop through the watchlist
> to create
> > these variables using SetVar. That way they would be calculated
> 700x instead
> > of 700^2 x... that would give a 700x improvement for those lines
> of code.
> > Your selfRelStrength function comes to mind ...
> >
> > 2) some things that come to mind is that you are retrieving 700
x
> 700 x 3000
> > (assuming 10 yrs data) bars from your hard disk. You can observe
> this by
> > noting the status line at the bottom of the AB screen. The AA
> doesn't use
> > QuickAFL so perhaps it would work faster to run this indicator
in
> an
> > indicator using two loops.
> >
> > 3) Your code could also create a OSAKA-like table for all stocks
> and work
> > from there, with the same objective.
> >
> > interesting problem, let me know how you progress, I'll let you
> know if
> > something else comes to mind.
> >
> > herman
> >
> >
> >
> > -----Original Message-----
> > From: firstview2000 [mailto:firstview2000_1999@x...]
> > Sent: Wednesday, August 04, 2004 1:32 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: any ideas to reduce runtime for the
> price RS
> > ranking code?
> >
> >
> > Herman,
> >
> > I need all available values for the RS ranking for backtesting
> > purpose. I could plot a chart showing the rs ranking if I need
> so.
> >
> > My code performs the following loops:
> >
> > the outer loop is for all 700 stocks in database to have their
> > rankings;
> > the inner loop is for comparing one stock to every other 700
> stocks
> >
> > So, there are 700x700=490,000 loops. I don't know if we can
> reduce
> > the number of loops here.
> >
> > In addition, if stock quotes are 1000 bars in length, this
> ranking
> > formula will have 490K x 1000 = 490 million calculations to
> complete.
> >
> > It takes over 40 minutes to complete, which suggests about 10
> > million RS calculations per minute. I don't know if this is a
> > reasonable rate, but I just think 40minutes is too long.
> >
> > Thank for your help.
> > Charles
> >
>
>
>
>
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>
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