[amibroker] The "+=" Operator

[Ken Close <ken45140@xxxxxxxxx>]

Paul:

 

You asked:

By the way, Would it be better to store the results of all 11 rankings rather than the sum of rankings

 

Why? Would doing so offer a speed advantage in some way?

Right now, I have some auxilliary needs to show which was ranked first by UPI or which was ranked first by Maxdd, then the sum combines all indicators and the symbols that individually did best on each one will come to the top with the sum.

 

Can someone share some words about += operator.

 

The Help definition:  Add the value of the second operand to the value of the first operand; store the result in the object specified by the first operand

So in this code portion

 

There was this section of code that I shared in another message, and I do not understand how to read it.

 

if(qt)

    {

        if(run == 1)

            qt.OpenInt = k;

        else

            qt.OpenInt += k;

    }

 

It says that If run = 1, then OpenInt will be assigned to k whatever value k is

Otherwide, k is added to OpenInt and then stored in OpenInt . . . . Is this just a handy way of writing OpenInt = OpenInt + k;  ???

 

What is the benefit of this, or in what circumstance do you want to use it vs Variable = Variable + second variable??

 

Thanks for any insights.

 

Ken

 

 

 

 

 

 

 

---

From: Paul Ho [mailto:paul.tsho@xxxxxxxxx]
Sent: Tuesday, July 08, 2008 8:59 AM
To: 'Ken Close'
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

Ken

I think what you can do is to write a function call UPI. also since rfann1 is a constant. we shouldn't be wasting CPU power to calcuate it again and again just enter it in as a constant;

 

function UPI(fund, rfann1, period1)

{

   

    TotGain1    = ROC(fund, period1);

    AnnGain1 = Nz(100 *((TotGain1/100+1)^(252/period1)) - 1);

    Hfund = Highest(fund)

    Dr = (Hfund - fund)/Hfund;

    UI = 100 * sqrt(sum(Dr^2, period1)/period1); // you didnt have a formula, this is mine for UI

    UPI1     = Nz((AnnGain1 - rfann1) / UI);

    return UPI1;

}

 

Now you basically replace the ROC & RSI function that you have been using with this one in all your ranking....

......

mOwnUPI = UPI(c, 14, 5); // rfann1 = 5 or whatever you deem it to be.

for(i = 0; (sym = StrExtract(List, i)) != ""; i++)

{

SetForeign(sym);

mUPi = UPI(C, 14, 5);

RestorePriceArrays();

n2 = !IsNull(mUPi);

// RSICount += n;

UPIrank = IIf(Nz(mUPi) > mOwnUPi, UPIrank + n, UPIrank);

}

 

Keep working at it, you are getting there.

By the way, Would it be better to store the results of all 11 rankings rather than the sum of rankings

Cheers

Paul.

---

From: Ken Close [mailto:ken45140@xxxxxxxxx]
Sent: Tuesday, 8 July 2008 10:05 PM
To: 'Paul Ho'
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

Good morning:

 

I still have not resolved all of my database problems and posted a note to Tomasz.

 

Meanwhile, can you advise on this:

As I want UPI and other indicator calcs to be part of the ranking (forgetting for the moment about speed issues), is this the way I need to structure the statements:

 

A bunch of calcs first to establish the equivalents to the "myOwn" variables.

 

Then a loop for each symbol in the watchlist

 

  SetForeign

 

  Repeat of the calcs/statements

 

  RestorePriceArrays()

 

  then a bunch of mrank statements

 

Exit the loop

 

Then repeat the same statements again?

 

Here is an example--can you tell me if I am expanding the concept correctly?  (It is sad commentary on my detailed skills that I still can not explain why your code works, only that it does.)

 

Ken

 

Example for UPI:

list = CategoryGetSymbols(categoryWatchlist, 19);

 

TotGain1    = ROC(fund, period1);

AnnGain1 = Nz(100 *((TotGain1/100+1)^(252/period1)) - 1);

rfGain1  = ROC(riskfree, period1);

rfAnn1   = Nz(100 *((rfGain1/100+1)^(252/period1)) - 1);

UPI1     = Nz((AnnGain1 - rfann1) / UI1);

Maybe mOwnUPI1 = Nz((AnnGain1 - rfann1) / UI1);

 

for(i = 0; (sym = StrExtract(list, i)) != ""; i++)

{

      SetForeign(sym);

 

 

All again

         M1 = Nz((AnnGain1 - rfann1) / UI1);     

    RestorePriceArrays();

 

Then a bunch of these:

m1rank = IIf(Nz(m1) > mOwnUPI1, m1rank + n, m1rank);

m2rank = IIf(Nz(m2) > mOwn2, m2rank + m, m2rank);

 

 

}

 

Then again. . .

 

Very complex

---

From: Paul Ho [mailto:paul.tsho@xxxxxxxxx]
Sent: Tuesday, July 08, 2008 6:11 AM
To: 'Ken Close'
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

Ken

The problem you are facing is similar to what I did when I first started using the OI field. My data vendor provides updates in metastock format, and I was using the metastock plug-in. In the beginning, I didn't have local data storage enabled, so there was no way the OI field could be changed. However, even after i have enabled local storage. I would only be able to see the values in OI temporarily, It was very soon overwriten by reads from the Metastock database,  I have finally made my database local (ie data source = local database in database setting). Then the OI field was saved. I think fast track plugin works the same way. I suggest you make a complete copy of the directory containing your fast track database. rename the directory, and open AB and load this copied database, go to database settings and change the data  source to local. In this way, you havent done anything to original database, but you are able to save the OI field. What is probably more important is how you're going to bring in new data to this database. there are ways to do it. but it is not particularly elegant. Anyway let see what your results are.

By the way Is UPI Ulcer Performance Index or is that something else.

---

From: Ken Close [mailto:ken45140@xxxxxxxxx]
Sent: Tuesday, 8 July 2008 1:46 PM
To: 'Paul Ho'
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

Paul:

 

Almost midnight here, so quick summary before I hit my bed.

My first run with your rank code went 22 minutes, better than the 1 hr 30 min estimates I had been seeing but not great.  Then I finally got a new database set up with all of the best settings and a new import from the FT db and a new list of sp500 symbols (481 this time).  That run was total of 7 min 25 second in scan mode.  About what I think you said you were seeing.

 

As far as OI field I know that the code is sticking the rankings in as they show up with some code I wrote to explore (DJ30) and display the OI field.  However, it does not stick because I apparently still have the FastTrack database reading the api instead of the local that I called for.  I will have to followup with Tomasz in the morning on why I can not get it to convert to local storage.

 

I had run the backtest code, but I do not see any data that I wrote down.  I think I did the DJ30 again.  Verified that the OI field was filled (but erased again), but no timing on SP500. I will repeat all tests tomorrow and send a comparison at that time.

 

One thing I will like your suggestions on...I really have to take this up to 11 indicators, but several of them are multi-line indicators, like UPI.  So, I will attempt to figure out what to put in front of the loop, what to put inside the loop, and what to put after the loop in order for all of the indicators to be processed into one total sum of ranks.  Since the 2 indicator approach took the 7 minutes, I am going to guess that 11 indicators, especially when most of them are multi-line/multivariable affairs will not prove practical on large lists, but may work with selected ETFs say 150 to 175 symbols.

 

anyway, more than I can describe here now and I too am off to bed.

 

Thanks,

 

Ken

---

From: Paul Ho [mailto:paul.tsho@xxxxxxxxx]
Sent: Monday, July 07, 2008 11:21 AM
To: 'Ken Close'
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

Ken,

I am sending you 2 AFL file.

you must run it with local storage enabled. better still make it a local database, you could change it back after the test. Set QuickAFL on, and run it for from 2003 to 2008. No padd and align. daily bars  these will be set as base line run, you can vary these settings in later runs. You can leave the system utilities as it is, unless it becomes too slow.

the first file is N^2 algorithm, you need to run scan, not explore. Exploration is much slower than scan because of window refresh. When scan is finished, check to see if the OI fields are populated.

the 2nd file is custom backtest. run optimization with the same settings as above. you can alter the max pos based on how many stocks you want to rank, I have made it 50 as default, which should allow you 100 rankings. check OI fields afterwards, you can also turn on the the fputs to local csv files if you want. So if you want to rank the top 500 stocks, then you have to set it to 250 eventually (I'm not too sure, try and see). otherwise only the top 100 will have rankings. Anyway start off with 50 max pos and see how long it takes before increasing it to a higher number.

let see how you get on. I'll be interested in your comparsion light for light (500 stocks in each case).

I think you should be on your way once you have setup your databases/aa setting "correctly".

I'm off to bed now. It is 1.18 in the morning.

---

From: Ken Close [mailto:ken45140@xxxxxxxxx]
Sent: Tuesday, 8 July 2008 12:40 AM
To: 'Paul Ho'
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

Paul:

 

Well, now, something different.  We had never discussed database sources before.

 

My previous problems were with the FastTrack database, and retreiving the data from the original database (no local storage enabled).

 

I canceled a QuotesPlus plan last October but still had the database intact (1998 through Oct, 2007 data), with local storage enabled.

 

So I repeated a run with the QuotesPlus data, SP500, 462 symbols, and results much different.

 

Now, your single indicator completed !! in 40 seconds.  !!!

I changed to my two indicator modification, and got slower but now the progress bar showed 10% complete and 22 min est time at end of 3 minutes (did not run to completion).

 

So things are clearly faster with the different database.  Perhaps it is the local storage enabled vs the API (QuotesPlus vs the FastTrack).

 

Re your questions:

Explore of course--a scan would not show any results, yes?

A pain to unload the utilities, but I can do so when I get further along, ie, trying more indicators.

The tests above were run with a realtime data collection system running (QuoteTracker which pulls about 50 symbol updates from Fidelity every 60 seconds), plus mail and my browser running too.

 

I will still need all the help I can get (Tomasz made a nice offer but I will be you can help me get to the end goal too).

The test with two indicators was a definite slowdown compared to one.

My goal is to do it with 11 indicators.  Gulp.  Why 11?

  For your ears only, please do not repeat, but I am helping automate a manual system now done in Excel, which ordinal ranks a recipe of 11 indicators and then the rankings are hand selected for real time rotational trading once per month. I have analyzed equity curves and this manual system has returned a 17% CAR and 23% MaxDD since 2000.  Not really bad, and could be better if it could be automated for optimization and walkforward testing.  So my motivation is high, but the hurdles substantial.  I should say that I do not know if similar good results could be obtained from a "recipe" of indicators that are somewhat less than 11.

 

It is now 10:40am on the East coast (southern Ohio really).  What time is it there when you reply?

 

Ken

---

From: Paul Ho [mailto:paul.tsho@xxxxxxxxx]
Sent: Monday, July 07, 2008 9:39 AM
To: 'Ken Close'
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

Ken

I thank you on behalf of the Alzheimer's Foundation.

Now before I do anything else, can you tell me if your are doing scan or exploration when you time it?

Second, Do you think you can unload all your virus checking and other system utilities during the run. if you're worried about safety, you can disabled internet connection during that time. I think some of them are using so much of your bandwidth that its like trying to box with one arm tied behind your back. We got about an hour window before I have to crawl back in my cave to hiberate, So let see what we can do. When you come back, I'm going to give you a couple of afls to run.

/Paul.

 

---

From: Ken Close [mailto:ken45140@xxxxxxxxx]
Sent: Monday, 7 July 2008 11:13 PM
To: paul.tsho@xxxxxxxxx
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

Greetings Paul:

 

I want to express my appreciation for all the help you have been providing.  I just clicked through a $30 donation to the Alzheimer's Foundation in your name, as per your suggestion several messages ago.  Can't say that I have ever done something like that, but OTOH, you have given me help beyond measure and it has advanced some important work I need to do.

 

Now. . .to try and advance further:

 

I can get nothing more than 1 hour 30 minutes with my 425 symbol list for the SP500 (what!?), even with your original code--one indicator (you remember that I published a modification to your code where I added a second indicator).

 

I will list my system stats:

2.2 GHz AMD Athalon 64

3072 MB Ram

Plenty of hard drive space.

Regularly defragged HD

I use Belarc system profiler (it says I have 12 outstanding security files to download)

I have a bunch of system tray utilities which run

 - several AV watchdogs

 - Copernic Desktop Search (set to index in the nighttime AM)

 - several other helper applications

 - one application to optimize RAM

 - one application to regulate CPU cycles priorities (but I have disabled it for these tests)

AB 5.14

Unload all other general applications--only AB running 

Reboot computer to permit a "clean memory" situation (other than the tray applications)

 

Run 425 symbols (my SP500 list)

Set AB to max symbols = 500 (was 125)

Set AB mem to 500 MB (was 250)

QuickAFL generally OFF (turned on did not make a difference)

Pad and Align OFF

 

Stopwatch on, but it did not really matter

Clicked cancel at 3 minutes on stopwatch

Usually took 30 to 45 seconds for Cancel command on status box to take effect

Status box usually said 2% of symbols processed with 1 hr 30min to 1hr 50min remaining.

Number of rows showing once Cancel took effect = 20 to 25

 

One last thing, I set the Filter to

Filter = BarIndex() == SelectedValue(BarIndex());

Rather than Filter = 1;  I think I tried Filter = 1 once and it did not seem any different.

 

Smaller lists like NDX (n = 99) processed fairly quickly (less than 1 minute).

As I await your reply, I think I will load a new SP500 list into a new Watchlist.

 

Finally (really), I get my data from the FastTrack database through the AB FT API.  Could this make a difference?

If yes, what would I do different?

 

Can you suggest something else I can look at.

 

Again, many thanks.

 

Ken

 

 

 

 

 

 

 

---

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Paul Ho
Sent: Monday, July 07, 2008 3:29 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

Ken

As you know, the algorithm that I gave you increase dramatically with the size of the watchlist. However, the times that you stated isn't in line with what I experience. I tried my code (which is similar to yours, with exception that it also stores the value in OI) on 2 machines. One very old machine, a single core AMD which is about 5 years old, Window tells me it is an AMD XP 2600 with 1G of ram. I use a watchlist of 472 symbols, running from 1/1/2000 to now. the time taken is 6.5 minutes (from the progress bar). and on a newer machine Core 2 duo E6600, it took just over 1 minute.  So this is very different to the one and a half hour that you are talking about.

So I am wondering what machine you're running on. and what kind of AA setting you use?  What I will suggest is that you DONT Check pad and align, this will increase the number of bars by quite a lot. You can check QuickAFL though.

I have also given you a few suggestions in one of the other posts, including monthly bars, normalisation of scores etc http://finance.groups.yahoo.com/group/amibroker/message/126336. Did you take a look at that?

Despite its shortcoming, I think the N^2 algorithm will still perform better/faster than Bruce's suggestions. Pad and Align &/or ATC will slow it down even more. In the past, I have made a ranking dll which uses a 2 dimensional array, and basically insert the stock into the right ranking order as each symbol is scanned, a little bit like Fred's algorithm but on a total array basis. That is certainly very fast. In addition, Tomasz's custom Backtester code has the potential also to be quite fast without the use of dll. I have ported the code so it stores directly in the OI during after optimization. However, it comes back with an internal error in certain instances if the watchlist gets over 1400 symbols and no of bars is more than 2500. I have sent it to Tomasz for him to have a look at, when he comes back. I can share that with you. But my point is that the N^2 idea should be fast enough for what you are talking about ~500 stocks. You see there is a big difference between 1 minute and 1 and half hour.

Send me a private email if you like, I'm curious why there such a big difference.

Cheers

 

 

---

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Ken Close
Sent: Monday, 7 July 2008 7:40 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

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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