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With VBS or JS or something else …
but external to AB …
What you are looking at is a fairly simple
ranking process … The script, outside the time it takes to run the
initial Explore, shouldn’t take more than a few seconds to process.
If you are interested in having such a
thing written for you then feel free to contact me via my email.
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Louis Préfontaine
Sent: Monday, July 14, 2008 6:03
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Paul
Ho: Memory Challenges with Great Ranking Tool
That may be a solution. How would you do that?
Louis
2008/7/14 <ftonetti@xxxxxxxxxxnet>:
Why do you need it to run it in BackTest ? Are you
trying to run this using todays data every few minutes during the day ?
Even if that's the case TWO AFL's to the job will be
the easiest solution tied together with a script ...
AFL 1 - calclates the values using EXPLORE
AFL 2 - Uses the Watchlist of the top 500 to run
BackTest
- Runs AFL 1 ( Explore ) to get the metric of all
- Chooses the top 500 and flags them to be included in
whatever watchlist
- Runs AFL 2 ( BackTest ) based on the Watchlist built
above
----- Original Message -----
From: Louis Préfontaine
Date: Monday, July 14,
2008 5:39 pm
Subject: Re: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool
To: amibroker@xxxxxxxxxps.com
> I think you don't understand. As I said like 10
times, this is
> the easiest
> part. I need to find a code that will implement this in a
> backtest. It is
> *easy* to create a watchlist every night and use that watchlist
> the next day
> in intraday. What is more difficult is to have a code that will
> automatically rank the 8000 tickers *each day* and then use the
> 500 best as
> the universe of tickers to which the intraday code will be applied.
>
> 2008/7/14 :
>
> > Since you stated I described it accurately I don't think I
> need to
> > scroll up ...
> >
> > So as I said ... Create a watchlist with the top 500 ... I
> assume this
> > process only needs to be run once per day i.e. at end of day
> yesterday or
> > beginning of day today ... But in any case even if you run it
> every n
> > minutes it would still seem like the simplest way to get this done.
> >
> > After that you can use the Watchlist as the driving factor for
> whatever> else you are doing intraday
> >
> > ----- Original Message -----
> > From: Louis Préfontaine
> > Date: Monday, July 14, 2008 5:30 pm
> > Subject: Re: [amibroker] Re: Paul Ho: Memory Challenges with
> Great Ranking
> > Tool
> > To: amibroker@xxxxxxxxxps.com
> >
> > > Yes, this is exactly what I need. A code that will get the 500
> > > tradableseach day and add this as a condition for the intraday
> > > trading of the day
> > > after that. Just scroll up; all the details are there.
> > >
> > >
> > >
> > > 2008/7/14 :
> >
> > >
> > > > Scuse me ? ... I thought what you wanted was a list of the
> > > 500 tradables
> > > > that were closest to their 52 Week High as of today ...
What
> > > did I miss ?
> > > >
> > > > ----- Original Message -----
> > > > From: Louis Préfontaine
> > > > Date: Monday, July 14, 2008 5:17 pm
> > > > Subject: Re: [amibroker] Re: Paul Ho: Memory Challenges
with
> > > Great Ranking
> > > > Tool
> > > > To: amibroker@xxxxxxxxxps.com
> > > >
> > > > > This is not possible. I have to backtest each daily
bar
> > > > > considering the top
> > > > > 500 has been chosen.
> > > > >
> > > > >
> > > > > 2008/7/14 :
> > > >
> > > > >
> > > > > > 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@xxxxxxxxxps.com
> > > > > >
> > > > > > > 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@xxxxxxxxxps.com
> > > > > > > >
> > > > > > > > > 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
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > > >
> > >
> >
> >
>
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