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Hi Louis,
> Do I have to be a member of amibroker-dll to get the OSAKA
Yes.
> you believe it would do exactly what I need
Yes but not exactly 500 on ever day due to data holes.
Cheers Glenn
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine" <rockprog80@
...> wrote:
>
> Hi,
>
> Glenn: Do I have to be a member of amibroker-dll to get the OSAKA_
105
> plugin? It sure seems like a nice feature... So, you believe it would do
> exactly what I need, I mean: it will select the 500 stocks by ranking
based
> on my conditions for EOD day 1 then apply my system for day 2,
then do it
> again for EOD day 2 and apply the resulting 500 tickers to day 3, etc.?
> That would be awesome!
>
> Chris: This look like a good idea too, but what do you mean by
whether it is
> on the list or not? I export all the results of the daily scan to a .csv
> with the EOD data for the best 500 tickers, then... what? It sure
looks
> like a good idea if I can understand a little better how to do it. But do I
> have to do that for each day, and how to put the information back into
AB?
> But so far your idea seems like the easiest to do, even if it would take
> forever for data going back to last year (but still, taking forever is
> better than losing all my money with an unsound strategy)
>
> Ken: " *Are you saying that you want to BACKTEST 8000 symbols
and "select",
> based on profitability, the top 500 most profitable ones to use in your
next
> day's trading.*" No; I want to select the 500 tickers which are closest
to
> their 52 weeks HHV and use those tickers for intraday trading the
next day.
> It is easy to do in live trading, but I need to find a way to include it in
> backtesting so when I test my strategy I am not using 8000 tickers but
> "only" the 500 closest to HHV based on their daily(yesterday) EOD
close.
>
> Thanks all for your help. I really feel like this is going somewhere!
>
> Louis
>
>
> 2008/7/13 glennokb <glennokb@xxx>:
>
> > If I understand what you are trying to do, maybe this method -
Osaka!
> >
> > It creates a composite which you can reference in your system for
> > backtesting
> >
> > Note that the 500 may not be precise due to data holes (as Graham
> > mentioned). Plus I just added HHV(H,100) as an example but this
need
> > to be replaced with your rank.
> >
> > Also, check the categoryGroup or Watchlist is correct in the code.
> >
> > // Add To Composite RankValue based on Ranking calculation.
> > /*------------------------
> > Notes:
> > 1. Install OSAKA_105.zip ranking located here:
> > http://groups.yahoo.com/group/amibroker-dll/
> > 2. Use CURRENT SYMBOL - an index
> > (ie: symbol with no data holes).
> > 3. Select date range
> > 4. SCAN
> > --------------------------*/
> >
> > osInitialize();
> > #pragma nocache
> >
> > // ----------------------------------
> > // User Variables - enter here
> > // ----------------------------------
> > sGroup = 0; // set to desired watchlist.
> > Rank_No = 500; // set the depth to rank to.
> > // ----------------------------------
> > // USER variables - Used for consistency & Ease
> > // ----------------------------------
> > sov1 = 100;
> > sov2 = 0; // not currently used
> > sov3 = 0; // not currently used
> > sov4 = 0; // not currently used
> >
> > // ----------------------------------
> > // AddToComposite name
> > // ----------------------------------
> >
> > ATCName = "~HHV_Rank";
> >
> > // ----------------------------------
> > // Ranking Calculation
> > // ----------------------------------
> >
> > function Ranking(Sov1,Sov2,Sov3,Sov4)
> > {
> >
> > TO = HHV(H,Sov1);
> >
> > return TO;
> > }
> >
> > // ----------------------------------
> > // End Ranking Calculation
> > // ----------------------------------
> >
> > // ----------------------------------
> > // End User Variables
> > // ----------------------------------
> > StartBar = LastValue( ValueWhen( Status("firstbarinrange"),
> > BarIndex() ) );
> > FinishBar = LastValue( ValueWhen( Status("lastbarinrange"),
> > BarIndex() ) );
> > RankValue = 0; // initialise Rank Value array
> > List = GetCategorySymbols( categoryGroup, sGroup);
> >
> > // ----------------------------------
> > // Create Ranking Table
> > // ----------------------------------
> >
> > sRank = osTabCreate();
> > // Initialize Ranking Columns
> > // Use loop to add columns to cover # of bars ranked.
> > i = StartBar;
> > while (i <= FinishBar)
> > {
> > osTabAddColumn("RROR", 1, sRank);
> > i = i + 1;
> > }
> >
> > // ----------------------------------
> > // Load table with Ranking data
> > // ----------------------------------
> > for (j=0; (sTicker = StrExtract( List,j)) != ""; j++)
> > {
> > SetForeign(sTicker);
> > Rank = Ranking(Sov1,Sov2,Sov3,Sov4);
> > k = StartBar;
> > i = 0;
> > while (k <= Finishbar)
> > {
> > osTabSetNumber(Rank[k], j, i, sRank);
> > i = i + 1;
> > k = k + 1;
> > }
> > RestorePriceArrays();
> > }
> >
> > // ----------------------------------
> > // Sorting rank calculations
> > // ----------------------------------
> >
> > k = StartBar;
> > i = 0;
> > while (k <= Finishbar)
> > {
> > osTabSort(sRank, i, False, True);
> > RankValue[k] = osTabGet(Rank_No-1, i, sRank);
> > i = i + 1;
> > k = k + 1;
> > }
> >
> > // ---------------------------------------
> > // clean up - delete srank table
> > // ---------------------------------------
> > osTabDelete(srank);
> >
> > AddToComposite(rankvalue, ATCName, "x",23);
> >
> > Buy=Sell=1;
> > Filter=1;
> > AddColumn(RankValue, "Rank value",1.0);
> > //END
> > // ---------------------------------------
> >
> > Then place this code in your system for backtesting:
> >
> > HHV_Symbol = Foreign("~HHV_Rank","C");
> > HHV_Rank = HHV(H,100) > HHV_Symbol;
> >
> > Buy = HHV_Rank and cond1 and cond2 etc
> >
> >
> >
>
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