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Bruce
Where would I find Ed Gilbert's doc?
--- In amibroker@xxxxxxxxxxxxxxx, "bruce1r" <brucer@xxx> wrote:
>
> 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@> 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.
> >
>
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