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Tomasz:
This is a great suggestion. I will work on
this further.
I am so very impressed with the speed of the
rawbacktester.
After getting my FT db to local storage finally, I was
able to repeat two tests.
Writing OI field using N^2 logic code snippit
by Paul Ho.
Time to complete 426 symbols using combination of two indicators
= 7min 25sec.
All sums of ordinal values written
successfully to OI.
Test using custom backtester, writing directly to OI
field, code again courtesy of Paul Ho (listed below for interest)
Time to
complete same 426 symbols using combination of two indicators = 1min 42sec.
All sums of ordinal values
written successfully to OI.
Interestingly, after retrieving the OI values
and writing them to csv file, combining both results into one csv file (Test1
and Test2), two things were obvious: the values written to the OI field were
absolutely different integers from both tests, and, the sort order of the OI
field contents put both lists in exactly the same order!
| Ticker |
Date/Time |
Price |
OI |
|
Ticker |
Date/Time |
Price |
OI |
| AMGN |
7/3/2008
|
50.84 |
2 |
|
AMGN
|
7/3/2008
|
50.84 |
4 |
| SDS |
7/3/2008
|
68.61 |
8 |
|
SDS
|
7/3/2008
|
68.61 |
10 |
| JBL |
7/3/2008
|
16.29 |
16 |
|
JBL
|
7/3/2008
|
16.29 |
16 |
| NBR |
7/3/2008
|
48.71 |
20 |
|
NBR
|
7/3/2008
|
48.71 |
18 |
| KG |
7/3/2008
|
10.58 |
30 |
|
KG |
7/3/2008
|
10.58 |
17 |
| BAX |
7/3/2008
|
64.12 |
34 |
|
BAX
|
7/3/2008
|
64.12 |
43 |
| EDS |
7/3/2008
|
24.7 |
36 |
|
EDS
|
7/3/2008
|
24.7 |
52 |
| GENZ |
7/3/2008
|
73.03 |
37 |
|
GENZ
|
7/3/2008
|
73.03 |
39 |
With your suggestion of the artificial ticker symbol and the
apparent lightning speed of the custombacktester (used for ranking and writing),
my hopes are alive again that I can do my application within FT, without writing
to external files, and at speeds that may allow me a reasonable time to complete
the full database.
Wow, the happiness of great results coming
together.
Many thanks for your help.
Ken
For those interested in the code written for this test by Paul
Ho, here it is. Tomasz has said several times that the ranking done in the
custombacktester is fast and he certainly has understated the case
here,
run =
Optimize("run",
1,
1,
2,
1);
function
ranking(Ordinal)
{
switch(Ordinal)
{
case
1:
res =
ROC(C,
14) +
1000;
break;
case
2:
res =
RSI(14);
break;
default:
res =
EMA(C,
50);
break;
}
return
res;
}
PositionScore =
ranking(run); // WHAT YOU
WANT TO RANK
SetOption("MaxOpenPositions",
50 );
//AB only keeps
2* maxpos top rank signals
SetBacktestMode(
backtestRegularRaw );
Buy=1;
Sell=
Short =
Cover =
0;
ab =
CreateObject("broker.Application");
target =
ab.Stocks(Name());
target.isDirty
= True;
SetCustomBacktestProc("");
if(
Status("action")==actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
dt = DateTime();
// fh = fopen("output.csv", "w"); uncomment
these if you want to save it to a csv file as well
// fputs("Symbol,Date,Rank\n",
fh);
for( i =
0; i <
BarCount; i++ )
{
k =
1;
for( sig =
bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i ) )
{
//
Line = sig.Symbol + "," + DateTimeToStr(dt[i]) + "," + k +
"\n";
//
fputs(Line, fh);
target = ab.Stocks(sig.Symbol);
qt = target.Quotations(DateTimeToStr(dt[i]));
if(qt)
{
if(run ==
1)
qt.OpenInt = k;
else
qt.OpenInt += k;
}
target.isDirty = True;
k++;
}
}
bo.PostProcess();
// if(fh)fclose(fh);
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of Tomasz Janeczko
Sent: Tuesday, July 08, 2008 1:16 PM
To:
amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: More on Database
Structure and Local Storage
Ken,
Instead of writing to the very
same symbol OI field, you may consider writing to separate 'artificial' symbol
(like composite).
That way you will have both: direct access to FT and
ability to store what you need.
The only difference in the code is that
instead of using actual symbol, you use artificial one (say with tilde in
front).
Instead of this:
for( sig =
bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i )
)
{
target =
ab.Stocks(sig.Symbol);
qt =
target.Quotations(i);
if(qt)
{
You
would need this:
for( sig =
bo.GetFirstSignal( i ); sig; sig = bo.GetNextSignal( i )
)
{
target = ab.Stocks.Add("~"
+ sig.Symbol); // create artificial
symbol
target.DataSource =
1; // use only local DB
qts
= target.Quotations;
qt =
qts.Add(DateTimeToStr(dt[i]));
if(qt)
{
Best
regards,
Tomasz Janeczko
amibroker.com
----- Original Message
-----
From: "Ken Close" <ken45140@xxxxxxxxx>
To:
<amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, July 08, 2008 6:59
PM
Subject: RE: [amibroker] Re: More on Database Structure and Local
Storage
> Barry:
>
> FT has its own datafiles and AB
reads these files via the FastTrack PlugIn.
> I want to write a ranking
score into the OI field of each symbol, as the
> calculation of the
ranking symbol takes a long time to do itself.
>
> As I have
learned, you copy to the local database by doing a Scan over the
> entire
external database with local set as the source; then symbol contents
> are
copied. That is all fine, and I could do my calc and stick it into
OI
> field, but then the next time I need to update the local database,
the OI
> fields will be overwritten.
>
> Sort of
circular.
>
> Ken
>
> -----Original Message-----
>
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf
> Of Barry Scarborough
> Sent: Tuesday, July 08, 2008 8:12
AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: More
on Database Structure and Local Storage
>
> There is a parameter for
each symbol, Symbol > Information > Use only local
> database, yes
or no. But that will only keep the data from being back filled
> if set to
yes and you may not want to do that. If I read your note right you
> want
to import the data into AB and then keep it updated from some data
>
source, maybe FT. If so the parameter has to be set to no.
>
> How
did you copy or import the FT data into AB? AB is kind of fussy about
>
what you put in their database. If you import the data incorrectly it
will
> blow up every time you try to use the symbol.
>
> What
do you want to write into the OI field? When are you trying to write
>
it?
>
> Barry
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken
Close" <ken45140@xxx> wrote:
>>
>> Can someone explain
to me how I make the FastTrack database a local
>
one?
>>
>> Background: I have had a FT db for
years, with local storage
> disabled? I
>> want to write to
the OI field and preserve the written data. I
> checked
>>
"Enable Local Storage" but nothing different
happened.
>>
>> Next, I tried to scan all symbols with a
simple formula (I
> remembered having
>> to do that years ago
with a TC2000 database that came on a CD--I
> thought the
>> same
kind of step was needed.). Amibroker got hung on a single
>
symbol and
>> I had to End Program. AB would lock if I even
clicked on this same
> symbol.
>>
>> Next, I
created a new FastTrack database with a different name and
>
copied
>> over the appropriate files to the new DB folder. I enabled
Local
> Storage
>> from the start. All looked good.
Except that writes to the OI
> field in the
>> new DB would not
save. I tried the scan all symbols trick again,
> and
again
>> it hung on the same symbol, certainly suggesting my FastTrack
data
> itself is
>> corrupt on that one symbol. (Special updates
with the FastTrack data
>> designed to correct problems did not seem to
change anything.)
>>
>> My question is how do I get the
FastTrack database to be local and
> to allow
>> writes to the OI
field to stick?
>> My second question (as I assume I have to have
the data in the
> Amibroker
>> folders and not just in the
FastTrack folders for the AB DB to be
> local), is
>> how do I
update the nightly downloads of new data which FastTrack
> will
stick
>> in their own file/folder?
>>
>>
Thomasz, can you help?
>>
>>
Thanks,
>>
>>
Ken
>>
>
>
>
>
------------------------------------
>
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>
> To get support from
AmiBroker please send an e-mail directly to SUPPORT {at}
>
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>
> For NEW RELEASE ANNOUNCEMENTS and other news
always check DEVLOG:
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>
>
For other support material please check also:
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>
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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Please
note that this group is for discussion between users only.
To get support
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amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check
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