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I am embarrassed to report
that a previous message of mine, reporting times of execution of two methods of
ranking ordinal values was incorrect. This message is to correct the key
detail and explain why the conclusion reached was not right.
As background, a series of
previous messages referred to ranking symbols in a Watchlist by the ranked
ordinal values of various indicators, and using the sum of the ranked ordinals
at a combo rank. Paul Ho offered two code approaches, not detailed in this
message but seen in past messages. Approach 1, I have been calling the n^2
approach because of the supposed inefficient sorting of the ordinals and the
execution time penalties which would be experienced when processing Watchlists
with larger numbers of symbols. Approach 2 we will call the custom
backtest approach, in which the built-in ranking capability of the backtester is
used to rank or sort the symbols by the appropriate indicator; Paul's code
(extension he says of Tomasz code example) will then sum the indicator ordinals
and write this sum to the OI field (or alternatively to an external file using
command lines in the code which have been commented out.)
In my message at http://finance.groups.yahoo.com/group/amibroker/message/126512 (which
by the way contains the backtester code of Approach 2, but has one missing end
bracket at the end), I reported on stupendous time of execution differences
between Approach 1 and Approach 2. Specifically I said that running 426
symbols from 12/31/2002 to 7/5/2008 (I actually did not report the date range
but this is a critical element), took 7 min 25 sec for Approach 1 and 1 min 42
sec for Approach 2---a stunning difference.
Well, I did not test apples
to apples and so the timing comparison is false.
There is a statement in the
Approach 2 code which is
SetOption ( "MaxOpenPositions", 50 ); //AB only
keeps 2* maxpos top
This line of code controls
(in a way I do not understand) how many symbols are ranked. Thus, it must
be set to one half of the number of symbols in the Watchlist you are testing.
Thus, my test of a 426 symbol Watchlist really only ranked 100 of those
symbols. A clue was that when I examined the OI field using a simple
explore to print the OI field to the AA results window, I found a number of them
were zero, thus unranked. I ignored these because I thought (incorrectly)
that the list was still sorted in the correct order. My bad--too major
mistakes in the same message; how can you believe this one.
This morning I have
repeated the test but alas, it did not go to completion. I set the
MaxOpenPositions to 216 to go with the 426 member watchlist and the optimization
never completed. I stopwatched it but when times before the first
optimization run box appeared exceeded 8 minutes, I clicked Cancel only to get
the dreaded "Not Responding" message. I did this three times with the same
result. I decreased the MaxOpenPositions to 100 (double the original 50),
thus saying it would rank 200 symbols instead of the 426 in the list. This
time the dialog box (signaling the end of the first pass of the optimization
statement) appeared at 3 min 50 sec and the total run took 7 min 34 seconds,
virtually identical to the Approach 1 timing, but with an incomplete ranking
set.
Finally, perhaps I did not
wait long enough for the processing to complete (but why would I get "Not
Responding" once I clicked on Cancel?) but I do not think so. Perhaps I
did not have enough memory (I have 3052 Mb RAM), or some other factor is
involved.
Nonetheless, my apologies
for publishing incorrect data. I hope this addendum has added to the pool
of knowledge and has helped some of you out.
I certainly would like to
hear any comments, questions, or reactions.
Ken
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