Re: [amibroker] Why is my AA result and watchlist different after Explore?, AmiBroker Email List Archive

I did some more investigations and found the reason for the mismatch:

The Cum() and also the for-loop operate on an array which spans the complete data

range of the symbol and not only the range (e.g. n=1 bar or date range) which was

covered by the AA.

Now, what I would need to get the right watchlist is something which gives me the

Filter results exactly is the range which was used by AA, e.g.

Range = <array with "1" for each bar enabled in AA range options>;

myresult = Filter AND Range ;

if(LastValue(Cum(myresult))) { CategoryAddSymbol(...) }

Any idea how to get the Range array with AFL commands?

Regards,

Markus

Von: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] Im Auftrag von dingo
Gesendet: Sonntag, 3. Juni 2007 23:19
An: amibroker@xxxxxxxxxps.com
Betreff: RE: [amibroker] Why is my AA result and watchlist different after Explore?

Then I suggest you write some code to compare the 2.

Your understanding might be wrong.

From: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] On Behalf Of Markus Hoffmann
Sent: Sunday, June 03, 2007 5:12 PM
To: amibroker@xxxxxxxxxps.com
Subject: AW: [amibroker] Why is my AA result and watchlist different after Explore?

Hi Dingo,

with the code which I posted, a symbol should be added to the watchlist

EXACTLY when the Filter criteria is fulfilled (only if Filter == True then a

symbol is added to AAs result list!).

LastValue(Cum(Filter)) is exactly testing for Filter == True (means at least

for one bar the Filter array is set to True => criteria met). From my understanding

Watchlist and AA should be same, but they are not ...

CategoryRemoveSymbol works fine, but I also tested with an empty watchlist

and got the same problem.

Regards,

Markus

Von: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] Im Auftrag von dingo
Gesendet: Sonntag, 3. Juni 2007 22:27
An: amibroker@xxxxxxxxxps.com
Betreff: RE: [amibroker] Why is my AA result and watchlist different after Explore?

Ok then,

To be on the AA result list all it has to do is pass the filter test but you're using another test (lastvalue(cum(filter to add to the watchlist.

Try making them the exact same. Seems to me that's where the diff is..

Also make sure the
CategoryRemoveSymbol("", categoryWatchlist, DestinationWatchlist); is working as expected.

d

From: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] On Behalf Of Markus Hoffmann
Sent: Sunday, June 03, 2007 4:21 PM
To: amibroker@xxxxxxxxxps.com
Subject: AW: [amibroker] Why is my AA result and watchlist different after Explore?

I think my problem is not related to the for-loop. In the meanwhile I replaxed it by:

Filter = (AveTurnover > LowerTurnoverLimit) AND (AveClose > LowerStockPriceLimit);

if(LastValue(Cum(Filter)))

{

CategoryAddSymbol( "", categoryWatchlist, DestinationWatchlist );

}

The effect is still the same, the watchlist contains more symbols than AA result list.

Von: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] Im Auftrag von dingo
Gesendet: Sonntag, 3. Juni 2007 22:16
An: amibroker@xxxxxxxxxps.com
Betreff: RE: [amibroker] Why is my AA result and watchlist different after Explore?

The question you should be asking yourself is "why did I choose to use a 'for loop'" ..

d

From: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] On Behalf Of Markus Hoffmann
Sent: Sunday, June 03, 2007 2:29 PM
To: amibroker@xxxxxxxxxps.com
Subject: [amibroker] Why is my AA result and watchlist different after Explore?

Hi all,

I have some strange behaviour with the Explore function and could not yet find out

the reason, maybe somebody has an idea?

I want to run an exploration over a symbol list (I did it with S&P500 and Prime All Share),

and the filtered symbols should be stored in a watchlist. In the AA I specified for "Range"

to check the "n last quotes" with n=1, therefore AA result is max. 1 hit per symbol. The

interesting thing is that the results which are listed in the AA dialog and the contents of

my watchlist is different, my resulting watchlist has always some more symbols included

than the AA result list (which is correct, and the additional watchlist symbols do in fact not

fulfill the filter criteria of LowerStockPriceLimit). I used the code below:

--- cut here ---

// filter rule:
// position size must not be larger than 3% of the average trade volume
// within the last 5 days and average stock price must be larger than 1$
// example:
// portfolio equity = 100000$
// position size = 5% => 0.05 * 100000$ = 5000$
// minimum trade volume = 5000$ / 0.03 = 166667$

PositionSize = 5000;
PositionSizeToTurnoverRatio = 0.03;
LowerStockPriceLimit = 100;

// set here the watchlist number to store the results
DestinationWatchlist = 1;

// remove symbol from watchlist (clean up from previous run)

CategoryRemoveSymbol("", categoryWatchlist, DestinationWatchlist);

LowerTurnoverLimit = PositionSize / PositionSizeToTurnoverRatio ;

AveVolume = MA(Volume, 5);

AveClose = MA(Close, 5);

AveTurnover = AveVolume * AveClose;

Filter = (AveTurnover > LowerTurnoverLimit) AND (AveClose > LowerStockPriceLimit);

AddColumn(Close, "Close");

AddColumn(Volume, "Volume");

AddColumn(AveVolume, "Ø Volume");

AddColumn(AveTurnover, "Ø Turnover");

for(i=0; i<BarCount;i++)

{

if(Filter[i] == True)

// if((AveTurnover[i] > LowerTurnoverLimit) AND (AveClose[i] > LowerStockPriceLimit))

{

CategoryAddSymbol( "", categoryWatchlist, DestinationWatchlist );

}

}

--- cut here ---

I tried both if-statements to check if the criteria to add the symbol to watchlist is ok, both

show the same effect. No idea if maybe my code is wrong or AB behaviour is wrong ...

Thanks in advance for your help and best regards,

Markus