RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool, AmiBroker Email List Archive

Bruce:

Thanks for giving me another way to go.

In case you have been following (or remember) this topic from a ways back,
Fred was generous enough to write me a code concept for doing all of this
(but end of range only) and I successfully converted it to my "endpoint"
recipe of 11 or so indicators. It did ok for relatively large watchlists
(even the RUT) but could not handle very well some much larger watchlists in
the many 1000s. But, it gave me a combined ranking on any end point date I
set in the AA window. My absolute minimum requirement is to create
combo-rank-scores on a monthly basis but I was pleasantly surprised when
Paul Ho served up a concept to create daily combo-rank-scores on a daily
basis, but then euphoria changed to despair as I encountered the n^2 time
factor.

So, thanks to you and others I have a variety of ways to consider getting to
the end of this problem.

1. Your suggestion of normalized indicators and using a final percentage
value as the combo rank.

2. Taking Fred's code and finding a way to manipulate the EndofRange date,
basically repeating his code over and over on the same watchlist but with
changing EndofRange dates. (I still have to do something with the collection
of combo-scores I will accumulate by date, but that is another issue.*** see
below) I have even considered manually repeating the process to the end
point (only 12 runs per year x the 8 years I want to test over).

3. Taking Paul Ho's code which ranks daily and either living with the
limitation in the Watchlist population or running the thing over night.
Since I have speed problems now with 2 indicators and 150+ symbols, I
probably will drop off the cliff with 11 indicators and the same 150+
symbols. An alternate which I plan to test next is to see how Paul's code
performs on a Weekly or even Monthly compressed basis, although if symbol
number is controlling and not barcount, then this will not do much good.)

4. Using Tomasz's suggestion of the custombacktester, making 11 separate
runs, then somehow combining the 11 different output reports, coming up with
a combo-rank that way.

If you were approaching this, can you guess and say which approach you would
concentrate on. Right now, number 4 looks like it actually might be the
least programming and execution intensive, but I am not sure. I also have
to have a way of updating the entire system as time goes forward. That will
bring an additional set of challenges I am sure.

Thanks for stepping in.

Ken

*** Paul Ho shared a small COM code snippit that sticks an indicator nicely
into the OI field of a symbol, so that is the approach I want to take once I
have the combo-rank to stick in the right place. Talk about complex......

PS: Bruce, if you are still reading, would I have a better chance of
executing my task in Trade vs Amibroker (sorry Thomasz)?

-----Original Message-----
From: amibroker@xxxxxxxxxps.com [mailto:amibroker@xxxxxxxxxps.com] On Behalf
Of bruce1r
Sent: Sunday, July 06, 2008 5:03 PM
To: amibroker@xxxxxxxxxps.com
Subject: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

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@xxxxxxxxxps.com, "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@xxxxxxxxxps.com
> 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@xxxxxxxxxps.com [mailto:amibroker@xxxxxxxxxps.com]
On Behalf Of Tomasz Janeczko
> Sent: Sunday, July 06, 2008 1:39 PM
> To: amibroker@xxxxxxxxxps.com
> 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@xxxxxxxxxps.com
> 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@xxxxxxxxxps.com
[mailto:amibroker@xxxxxxxxxps.com] On Behalf Of Ken Close
> Sent: Saturday, July 05, 2008 10:47 AM
> To: amibroker@xxxxxxxxxps.com
> 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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