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Thinking about using ranking during the day on intraday live data
Running raking through 500 symbols would be very time consuming,
taking a long time to do calculations as each symbol ran through every
other 500 symbols. While this is running the data would also be
updating and your results could very well be nonsense.
My suggestion would be to run this differently using script and the
OLE control. You could run a straight exploration sorting on the
required column, export to a text file, then read off the top ranked
number of symbols on that list. From this just place them into a
watchlist, and run whatever other afl calculations etc to get your
trade signals. I would think that the script could be run every X
minutes from windows, must be some sort of tool that can do this.
I feel this would be much faster than the alternative ranking as you
would only be calculating the indicator values once in a single pass.
Provided your afl where reasonably straightforward your run time could
be less than a minute or 2, or less.
Now as you suggest you only want the previous daily values, then
simply put you run the ranking afl nightly and save the best ranked
symbols to watchlists. Or you sould create composite for each symbol
with the ranked value results in the arrays. Just run your intraday
scans referencing the composites
If you need to automate this, then again use OLE script and set up
windows to run the script at a certain time each day.
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
2008/7/14 Louis Préfontaine <rockprog80@xxxxxxxxx>:
> Hi,
>
> Thanks to you two for your responses.
>
> @Ara: I think I could achieve this (well I may need some help but this is
> something I am close to be able to do by myself), but the point 3 is the
> problem: I need this to be automatic. I need to be able to run a backtest
> using only the selected 500 symbols. E.g. If I use a script that backtests
> 8000 symbols and then can only act on 500 in real-time trading, then there
> is a problem. I need to find a code that would automatically select the 500
> "best" results (e.g. the closest to HHV 52 weeks) for the backtest to go
> on. How would you do that? Thanks!
>
> @Graham: I plan to use EOD ranking to decide which 500 symbols to trade
> intraday the next day. I can run the code at night based on the previous
> day Close, and in the morning I can manually select the 500 stocks which are
> closest to 52 weeks high, and those will be the one I will trade. As I
> wrote to Ara, I need to find a way to make this process automatic, to
> include it in the backtesting so as not to distort the results.
>
> Why do I use that much symbols? Because I never know in advance what I will
> trade.
>
> Are you serious when you say you trade 10 symbols at a time? This seem like
> so little data to me! Or maybe you trade ticks? I prefer to trade swing
> trading but with better entry points based on 1-minute data... Is this
> possible?
>
> Thanks,
>
> Louis
>
> 2008/7/13 Graham <kavemanperth@xxxxxxxxx>:
>>
>> 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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