> 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>>
>>