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Paul:
my initial euphoria has turned somewhat downward as I
attempt to apply the code below (just two indicators) to larger
Watchlists. You sounded (from other messages) like someone who knows the
ins and outs of memory management with AB, and perhaps can comment on how to
keep the code below from "bogging down".
In spite of my many years with AB and its array
processing, my mind still has a problem wrapping around what this code is doing
and why (and whether) larger populated Watchlists will ever be able to
work.
I initially tested against the DJ-30 (30 symbols) and
all went well, fairly quickly, perhaps 10-15 seconds.
I then tried the NDX (100 symbols) and things went more
slowly but finished. I noticed the symbols appearing in the AA window more
slowly.
I have not been able to nor wanted to wait for the
SP-500, as the symbols appear more and more slowly and the est time counter was
saying something like 1 1/2 hours to complete 500 symbols.
I was assuming that the code had to collect or process
all symbols before it could make comparisons among them---this is probably false
or else why would processed symbols start to appear in the AA window while it is
still accessing symbols.
What suggestions can you make, given your understanding
of the code and AB, that would minimize the processing of large member
watchlists?
Can adding a SetBarsRequired in the right place limit
the number of lookback bars that are processed, and thus speed up
execution?
As the number of indicators I wish to process into a
"Total Rank" score increases, I imagine that executing this code will get slower
and slower and may not be possible at all. Would you
agree?
Thanks for any added help.
Ken
Paul Ho has come up
with a supurb ranking tool. I have expanded it to two indicators.
Feel free to expand the code structure to any number of
indicators.
Possible next step:
stick the Tot_Rank values into the OI field for the symbols, then Plot the Ranks
for a visual representation of "where the symbol is over
time".
The possibilities
are endless (or at least enlarged because of Paul's code idea). Thanks Paul for your creative
input.
Ken
// Ranking_Alt01.afl KSC 07/05/2008
// Original code by Paul Ho, Amibroker list
07/05/2008
// Modifications and expansions by Ken
Close 07/05/2008
// Will ordinal rank every symbol in
watchlist for every bar.
mOwnROC =
ROC(C,
14);
mOwnRSI
= RSIa(C,
14);
mRoc =
0;
mRSI =
0;
list =
CategoryGetSymbols(categoryWatchlist,
16);
ROCcount[0] =
rocrank[0] =
0;
RSIcount[0] =
RSIrank[0] =
0;
for(i =
0; (sym =
StrExtract(list, i)) !=
"";
i++)
{
SetForeign(sym);
mRoc = ROC(C,
14);
mRSI = RSIa(C,
14);
RestorePriceArrays();
n = !IsNull(mRoc);
m = !IsNull(mRSI);
roccount +=
n;
rsicount +=
m;
rocrank = IIf(Nz(mRoc) >
mOwnROC, Rocrank + n, rocrank);
rsirank = IIf(Nz(mRsi) >
mOwnRSI, Rsirank + m, rsirank);
Totrank = rocrank +
rsirank;
}
ROCn =
ROC(C,
14);
RSIn =
RSIa(C,
14);
Filter =
1;
Buy =
Sell =
0;
AddColumn(ROCn,
"ROCn",1.2);
AddColumn(RSIn,
"RSIn",1.2);
AddColumn(mRoc,
"MROC",
1.2);
AddColumn(ROCrank,
"ROCRank",
1.0);
AddColumn(RSIrank,
"rsirank",1.0);
AddColumn(Totrank,
"Totrank",
1.0);
// To check the sorting, run on a
watchlist, then click once on the date column,
// Then shift click on one of the
indicators, ie, RSIn, and you will see the
// ordinal values in
order.
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