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Louis there would be no reasonable way to use intraday ranking values
for live trading on 500 symbols. The time to run the ranking would
mean the market moved on.
I personally cannot see any reason to use 500 symbols intraday unless
your system only gives 1 or 2 signals per day over all the stocks,
surely 10 symbols would be sufficient for live intraday trading
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
2008/7/13 Louis Préfontaine <rockprog80@xxxxxxxxx>:
> Hi Graham,
>
> What exactly is a multi pass method and how can I use composite to get
> exactly the 500 tickers I want to trade each day?
>
> I'm really confused about this, but this seem essential to me. I wasted
> dozens of hours on a system that is working but that would not be working in
> RT because of the 500 symbols Real-time limitation. I must absolutely find
> a way to reproduce this limitation in a backtest. Hence the idea of getting
> a ranking of the 500 tickers. I understand that there can be problems, and
> it is surely possible to add a limitation that would not consider tickers
> that had major holes, as an example.
>
> But where to start? I tried the code that is posted in this thread and 2
> hours later AA is still running and nothing is happening. Is there a code
> that would help me? I must not be the only one with this problem!
>
> Thanks,
>
> Louis
>
> 2008/7/12 Graham <kavemanperth@xxxxxxxxx>:
>>
>> Some of the things I have found in the past running afl similar to the
>> one provided here for ranking
>> The ranking works great if all the symbols contain exactly the same
>> data dates or datetimes
>> Where it can cause problems with values is when some contain less
>> history, have data holes, or stopped trrading some time in the past
>> The indicator values are all calculated based on the bars of the
>> current symbol, so data holes in other symbols being referenced with
>> foreign function have padded or ignored bar information. This may not
>> affect all indicators but does with some.
>> eg base has holes, so the last 10 days may, in fuller symbols actually
>> be 11 days, thus 1 day is ignored. worse if the current symbol is a
>> very low traded symbol with many holes
>> Consider a simple HHV(H,100). In a fully traded symbol this would be,
>> say, 20 weeks of data. But in a symbol with holes it could represent
>> 25 weeks. Thus the full symbols are being calculated over 25 weeks not
>> 20, and the holes in base symbol may actually coincide with the
>> relevant indicator highs in fuller symbols
>> Of course you can get around this by using padding to reference symbol
>> in analsyis window. This can overcome some problems, but can also
>> introduce others in hole filled symbols depending on the indicator you
>> are using.
>>
>> Consider the effect of hole padding when your base symbol has full
>> trading. Your calculations will use the padded data for the weaker
>> symbols being referenced as foreign.
>>
>> A further problem can be that short history symbols being padded will
>> have the un-traded padded part at the start and give results of zero
>> or null. If zero then if your indicator has positive and negative
>> numbers (eg ROC) then the zero will be included in the ranking, even
>> though the symbol never actually existed at that earleir time. Same
>> can occur at the end of data if a symbol has not traded for some time
>> before the most recent date. it will provide results even though it
>> may have ceased trading on the exchange
>>
>> These are just some thoughts for you to consider
>>
>> I recommend that unless you are ranking over symbols that are
>> comparable in data that you use a multi pass method, utilising the
>> power of composites for storing the indicator values bgefore ranking
>> them. This can overcome some of the problems.
>>
>> --
>> Cheers
>> Graham Kav
>> AFL Writing Service
>> http://www.aflwriting.com
>>
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