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[amibroker] Portfolio Simulation - of a portfolio whose stock ticker their and theirbuy/sell input comes from an external file.


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  • Subject: [amibroker] Portfolio Simulation - of a portfolio whose stock ticker their and theirbuy/sell input comes from an external file.
  • From: "Shanmugham, Saravanan" <sarvi@xxxxxxxxx>
  • Date: Mon, 27 Mar 2006 18:18:07 -0800
  • Thread-topic: Portfolio Simulation - of a portfolio whose stock ticker their and theirbuy/sell input comes from an external file.

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Hi,
     I am considering the use of an external website such as say IBD or Valueline to do the screening and generation of the portfolio. Which is a list of say 10 or 100 stocks. This happens every day. This then generates a dated file with the list of stocks and potentially a set of associated data such as stock price or the IBD Relative strength. I have been able to automate this part of the system. My computer now periodically screens and drills down to a set of 10 or 100 stocks every day.
This set of files has been accumulating over time.
 
What I would like to do with AmiBroker is 2 things.
    1. I want to use Amibroker to use this set of data files generated over say the last N months/weeks to simulate trading based on this screened daily list of stocks and see how it would have performed if I followed it daily, or weekly or monthly. I would also like to apply some additional screening or trimming that might want to do within AmiBroker before doing the trades. I also want to use Amibroker for Portfolio Management/Positon Sizing and eventually for trading it using the Interactive Broker plugin. I need a way for AmiBroker to periodically read these files containing screened list of stcoks and their data and apply some trading rules to complete the trading strategy and then essentially evaluate the performance trading system .
 
Question.
   I am not sure what the best approach to using the data in the external portfolio list files to generate stock Buy/Sell within and actually evaluate the trading srategy.
   A Data Plugin seems to be the way to take if I was dealing with  a particular Stock for which I had historical ticker data in a file.
   Writing an AFL seems to be the way to write formula for manipulating and processing an ticker data array of a stock to return data array as result. Which means that if I had a stock already chosen inside Amibroker for which I want to apply the formula and decide when to buy and sell, using the AFL seems to make sense.
 
    I am confused as to which approach to take, when dealing with a dated set of files with a daily screened list of tickers that I need to the further process within Amibroker to decide which stocks to add to the portfolio and which ones to remove.
 
Any help or pointers would be very much appreciated.
 
Thanks,
Sarvi
 
    
 
-----------------------------------------------------------------------------------
Sarvi Shanmugham
Technical Leader
Cisco Systems Inc.
Phone: 408-902-3875
 


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