> 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>>
>>