Re: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool, AmiBroker Email List Archive

So create a watchlist with the top 500

----- Original Message -----
From: Louis Préfontaine
Date: Monday, July 14, 2008 4:56 pm
Subject: Re: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool
To: amibroker@xxxxxxxxxxxxxxx

> Hi,
>
> The problem I see using PositionScore is that PositionScore
> considers the
> number of signals in real-time to determine how many to consider
> when there
> are too many, but this is not possible for me because the goal
> is to limit
> the number of tickers from which to take the signals because
> with real-time
> data I can't process more than 500... Or maybe PositionScore
> can be used to
> get those 500 tickers in the first place?!
>
> Louis
>
> p.s. Glenn: I asked to be a member and will try to download
> osaka ASAP. I
> will get back to you with this. Thanks!
>
>
>
> 2008/7/14 :
>
> > Is there some reason that PositionScore doesn't work ? i.e.
> assuming> daily data then something to the effect of ...
> >
> > PositionScore = C / HHV(C, 252);
> >
> > The number of tradables can be limited in other ways ...
> >
> > ----- Original Message -----
> > From: Louis Préfontaine
> > Date: Monday, July 14, 2008 2:48 pm
> > Subject: Re: [amibroker] Re: Paul Ho: Memory Challenges with
> Great Ranking
> > Tool
> > To: amibroker@xxxxxxxxxxxxxxx
> >
> > > 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 :
> >
> > >
> > > > 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
> > > >
> > > >
> > > >
> > >
> >
> >
>