> 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@gmail.com>:
>>
>>
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@xxxxxxcom>:
>> > 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@gmail.com>:
>>
>>
>> >> 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>>
>>