|
PureBytes Links
Trading Reference Links
|
Ken -
I'm too involved with something else right now, but let me see if I
can offer quick suggestion. First -
1. Tomasz is pointing out the solutions in (N^2) time are never
practical past some limit. That means that the execution time goes up
with the square of the number of items - ticker in this case. There
are a couple of programming tricks that you can play, but I don't
think that they are going to get you where you want to go -
For example, programming tricks can be used to make the N^2 comparison
matrix "triangular". This reduces the comparisons by half.
You might use Pad and Align to a ticker with a short history to cut
the time further.
But, this is still going to leave you in a long timeframe.
2. It looks like you are trying to add unbounded indicators and use
the ordinal values to normalize them so that they can be combined.
Use of the custom backtester would still require that you generate
output for each indicator and then combine them.
Another approach might be to go out of the box a little and question
your basic assumption. Here's what I mean.
Ordinal values can be used to convert unbounded ranges (such as ROC)
to bounded values. But they can do some strange things to outliers.
For example, consider these points. Say they are for tickers
A,B,C,D,E on a particular day -
0, 20, 21, 22, 200
The point 22 is ranked #2 (higher value better) when it is not near
the top.
ON THE OTHER HAND, range value can be used also to convert unbounded
data to bounded. THEY REQUIRE A PRE-SCAN TO KNOW THE MIN AND MAX.
For the range above, it would convert to the following percentages -
0, 10, 10.5, 11, 100
This has some advantages for certain data distributions, but some
disadvantages for others. For data where the probability of outliers
is low, it yields similar results.
SO, HERE'S WHAT YOU MIGHT DO.
1. Take a watchlist and start a Exploration pass. When
Status("stocknum") == 0, loop through the list and find the global Min
and Max for each bar across all of the tickers for a given indicator
and store it in an ATC in the H and L fields. For RSI and ROC, you
would have 2 ATC's - say ~MINMAX_ROC and ~MINMAX_RSI. This is 1 pass
of all N tickers.
2. Continuing on for stocknum 0 and for 1 - N, calculate the ROC and
RSI and convert it to a percentage of the MIN and MAX range that you
stored in the ATC's for each bar -
rangepcnt = ( tickscore - tickglobalmin ) / ( tickmax - tickglobalmin
) * 100;
3. Now you can combine the range values because they are normalized.
If you divide by the number of indicators, you'll end up with a
combined percentage.
Now, while this is not an ordinal rank, it works perfectly well for
scoring and is a solution in 2*N time. BTW - this reference won't mean
much to most here, but should to you - Ed Gilbert detailed this in
Trade doc almost a decade ago.
-- BruceR
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> No, look again. The code I provided gives the sort is ON BAR BY BAR
basis.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Ken Close
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, July 06, 2008 9:08 PM
> Subject: RE: [amibroker] Paul Ho: Memory Challenges with Great
Ranking Tool
>
>
> Tomasz:
>
> Thanks for all the help you give to so many people, me included.
>
> However, while I did as you suggested with the custombacktester,
and looked into the output file it produces, I am at a loss to know
how to use the data it contains. It is not all of the data that I need.
>
> I want the ordinal ranking of multiple indicators, add them all
together, per bar and per symbol, and use the final sum, of the
ORDINAL ranks, as the ranking value for all symbols.
>
> This output represents what I want (but it is only for two
indicators). I want to turn this into my "recipe" which will have
approximately 8 to 10 indicators.
>
>
>
> I ran the custom backtest, opened the output.html file, and see
that the symbols are sorted by the ranking value and it is indeed an
ordinal value. But, the sort is done only once (probably as a lastbar
basis) and Paul Ho sorting algorithm gives me ordinal values for each
bar for each symbol (displayed above using a lastbar basis).
>
> You say Paul's code is inefficient, and maybe it is because it
sorts all symbols by all bars. Can you suggest a change to the
specific code that would do what I want, but more efficiently?
>
> Again, thanks for all that you do.
>
> Ken
>
>
>
>
------------------------------------------------------------------------------
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf Of Tomasz Janeczko
> Sent: Sunday, July 06, 2008 1:39 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Paul Ho: Memory Challenges with Great
Ranking Tool
>
>
> Hello,
>
> The code is inefficient because it repeats the sorting N*N times
where N is number of symbols, while
> only N times is enough.
>
> Ranking is a process that is done during first pass of backtest.
It is implemented efficiently.
> We can use this built-in process easily using custom backtest
procedure as shown here:
>
> Note that this formula will not produce output in AA directly.
Instead it will produce a HTML
> file (output.html) that you can later import to AA using AA,
File->Import
>
> Also please be warned that produced files are huge and attempt to
load such big HTML file
> into Internet Explorer instead will easily hang IE.
>
> PositionScore = ROC( C, 14 ) + 1000; // WHAT YOU WANT TO RANK
>
> SetOption("MaxOpenPositions", 10 );
> SetBacktestMode( backtestRegularRaw );
> Buy=1;
> Sell=0;
> SetCustomBacktestProc("");
> if( Status("action")==actionPortfolio )
> {
> bo = GetBacktesterObject();
>
> bo.PreProcess();
>
> dt = DateTime();
>
> fh = fopen("output.html", "w" );
>
>
fputs("<TABLE><TR><TH>Symbol</TH><TH>Date/Time</TH><TH>Rank</TH></TR>\n",
fh );
>
> for( i = 0; i < BarCount; i++ )
> {
> k = 1;
> for( sig = bo.GetFirstSignal( i ); sig; sig =
bo.GetNextSignal( i ) )
> {
> Line = "<TR><TD>" + sig.Symbol + "</TD><TD>" +
> DateTimeToStr( dt[ i ] ) + "</TD><TD>" + k +
"</TD></TR>\n";
> fputs( Line, fh );
> k++;
> }
> }
>
> bo.PostProcess();
>
> fputs( "</TABLE>", fh );
> fclose( fh );
> }
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Ken Close
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, July 06, 2008 5:35 PM
> Subject: [amibroker] Paul Ho: Memory Challenges with Great
Ranking Tool
>
>
> 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
>
>
>
>
----------------------------------------------------------------------------
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Ken Close
> Sent: Saturday, July 05, 2008 10:47 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] What a Great Ranking Tool
>
>
> 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.
>
------------------------------------
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|