> 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>>
>>