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Bruce,
I am testing about 2500 symbols for 13 years .... so the times are pretty
equivalent ... but the ranking and computing Sector related code does
increase my total time from 3.5 min to about 10.
About your documentation ... do go ahead with it when time permits ... I
think many will benefit .
Ara
----- Original Message -----
From: "bruce1r" <brucer@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, June 28, 2007 7:55 AM
Subject: [amibroker] Re: Ranking of MG Industry Groups - Bruce
> Ara -
>
> Glad to hear about the time improvement. I don't know what all is in
> your application, but my gut reaction is it is still too slow. I can
> only offer this point of reference. Reading 200 tickers, calculating
> a score such as ROC's, ranking and sorting 18+ years of data to get a
> daily rank takes well under a minute in AFL. TJ's fast implementation
> of arrays stands some traditional sorting approaches on their head. I
> guess that I'll have to write this up in detail when I get a chance.
>
> -- Bruce
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxx> wrote:
>>
>> Bruce,
>>
>> Thanks for the info you provided. I was able to do the sector
> ranking on ROC
>> and adapt it to my application. A backtest run takes about 10 minutes
>> instead of 80 minutes compared to prior code.
>>
>> Now starts the "hard work" of making ideas pay off.
>>
>> I am considering taking this down to the industry level, but the
> code gets a
>> bit unweildy due to the sheer number of industries. Maybe I'll wait
> till we
>> get dynamic arrays to keep things managable.
>>
>> Ara
>> ----- Original Message -----
>> From: "bruce1r" <brucer@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Tuesday, June 26, 2007 9:49 AM
>> Subject: [amibroker] Re: Ranking of MG Industry Groups
>>
>>
>> > Ara -
>> >
>> > Maybe I can help a little on this one. When I get some time maybe
>> > I'll write up a full routine, but the following should be enough to
>> > get you going.
>> >
>> > BOTTOM LINE - YOU DON'T NEED TO SORT IN ORDER TO RANK IF THE NUMBER OF
>> > THINGS TO RANK IS A SUBSET
>> >
>> > It is a common misconception that you do. Let me offer a brief
>> > example to illustrate.
>> >
>> > Let's say that you have 50 arrays with one tick per day. Each entry
>> > might be the relative strength of that ticker vs. an index. So, you
>> > have different, unbounded numbers for each day for each of the 50
> tickers.
>> >
>> > To find the rank of reference ticker #1 on any given day, I just need
>> > to compare it to the other 49 arrays and add 1 to each for each day
>> > that it is greater. When I'm done, if ticker #1 is the top ranked, it
>> > will have 49 for that entry. So, I subtract the array from the number
>> > of tickers (50) to get the rank.
>> >
>> > You have to do this for each reference ticker. But, in most cases,
>> > you are only interested in the top few. In this example, it might be
>> > the top (or bottom) 5 out of the 50. If you have to do it for every
>> > reference ticker, it is still faster than other approaches because of
>> > the very fast array comparison operations in AB. There is a way to
>> > cut those comparisons in half - but it is more involved and is another
>> > story for another day.
>> >
>> > I won't guarantee the following code, but it might look something
> like -
>> >
>> > symcount = 50;
>> > // Let's say that you've read in the data via a Foreign() call to
>> > // array1 through array50 and the reference array is array1
>> > refnum = 1;
>> > count = 0;
>> > refarray = varget( "array" + refnum );
>> > for ( i = 0; i < symcoung; i++ )
>> > {
>> > count = IIf( refarray > varget( "array" + i ), count++, count )
>> > }
>> > rank = symcount - count;
>> > // Rank is now the rank of the reference ticker on each day
>> > // It is usually normalized to a percentage
>> > pcnt = 100 - ( rank - 1 ) / ( symcount - 1 );
>> >
>> >
>> >
>> > Hope this helps,
>> >
>> > -- Bruce R.
>> >
>> > P.S. The other major use of ranking is to normalize then combine
>> > unbounded indicators. For example, say you wanted to rank a group of
>> > tickers based on weighted scores of relative strength, momentum, etc.
>> > You would just combine the weighted, (percentage) normalized scores.
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@> wrote:
>> >>
>> >> Here is a sort function that I got from the AB board,
>> >>
>> >> function sort(value)
>> >> {
>> >> //Value is array for same bar from all sectors
>> >> //12 data points (Sectors 2 through 13, based on Quotes Plus)
>> >> //
>> >> for(i = 13; i>=2; i--)
>> >> {
>> >> for (j = 3; j <= i; j++)
>> >> {
>> >> if (value[j-1] > value[j])
>> >> {
>> >> tempvalue = value[j-1];
>> >> value[j-1] = value[j];
>> >> value[j] = tempvalue;
>> >> }
>> >> }
>> >> }
>> >> SortList = Value;
>> >> //list now sorted
>> >> //sortid = ID for top sector
>> >>
>> >> return SortList;
>> >> }
>> >>
>> >>
>> >> ----- Original Message -----
>> >> From: "marketmonk777" <RedEyes777@>
>> >> To: <amibroker@xxxxxxxxxxxxxxx>
>> >> Sent: Monday, June 25, 2007 11:01 PM
>> >> Subject: [amibroker] Re: Ranking of MG Industry Groups
>> >>
>> >>
>> >> > --- In amibroker@xxxxxxxxxxxxxxx, "Gordon Sutherland" <gosuth@>
> wrote:
>> >> >>
>> >> >> Check-out the function:
>> >> >>
>> >> >> SetSortColumns( col1, col2, .... )
>> >> >>
>> >> >> Cheers,
>> >> >>
>> >> >> Gordon Sutherland
>> >> >
>> >> > Hi Gordon,
>> >> >
>> >> > That is a good solution for multi column sorting but I really am
>> >> > looking to rank each industry group based on various time frames.
>> >> >
>> >> > Here is an excerpt from an Automatic Analysis that I had to
> change to
>> >> > vertical in order to properly show it in this posting:
>> >> >
>> >> >
>> >> > Ticker MG851
>> >> > Date/Time 6/22/2007
>> >> > Name Internet Service Providers
>> >> > Close 24.2
>> >> > 1P % -0.4
>> >> > 1P R 38 I inserted this 1 Day change rank
>> >> > 5P % 0.3
>> >> > 21P % 2 Want to add 5 day, 21 day, 63 day and 255 day Ranks
>> >> > 63P % 35
>> >> > 255P % 116
>> >> > NL 21 No
>> >> > ATR5 0.39
>> >> > ADR5 0.39
>> >> > HC 732.34
>> >> > L YR C 13.78
>> >> > YTD % 75.6
>> >> > YTD R 1 Another row I inserted to show YTD Rank
>> >> >
>> >> > So all I am trying to do is rank each of the percentage change
> columns
>> >> > from 1 to 240 (best to worst) in this one AA report.
>> >> >
>> >> > Any help would be appreciated.
>> >> >
>> >> > Regards,
>> >> >
>> >> > Dave
>> >> >
>> >> >
>> >> >
>> >> > Please note that this group is for discussion between users only.
>> >> >
>> >> > To get support from AmiBroker please send an e-mail directly to
>> >> > SUPPORT {at} amibroker.com
>> >> >
>> >> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> >> > http://www.amibroker.com/devlog/
>> >> >
>> >> > For other support material please check also:
>> >> > http://www.amibroker.com/support.html
>> >> >
>> >> > Yahoo! Groups Links
>> >> >
>> >> >
>> >> >
>> >>
>> >
>> >
>> >
>> >
>> > Please note that this group is for discussion between users only.
>> >
>> > To get support from AmiBroker please send an e-mail directly to
>> > SUPPORT {at} amibroker.com
>> >
>> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> > http://www.amibroker.com/devlog/
>> >
>> > For other support material please check also:
>> > http://www.amibroker.com/support.html
>> >
>> > Yahoo! Groups Links
>> >
>> >
>> >
>>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
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