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Louis,
There are a couple of ways to indicate that the trade should not be
taken. I just set the Signal's PosSize property to 0 (i.e. zero
shares).
In the code below, I'm assuming that the ranking is held in
PositionScore array. If you are holding your ranks somewhere else,
you'll need to modify the code to fetch the rank from wherever it is
being held.
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio) {
bo = GetBacktesterObject();
bo.PreProcess();
for (bar = 0; bar < BarCount; bar++) {
for (sig = bo.GetFirstSignal(bar);
sig;
sig = bo.GetNextSignal(bar))
{
if (sig.IsEntry() AND sig.IsLong()) {
if (sig.PosScore > 500) { // Use your ranking here
// Order would not have been placed, cancel it out.
sig.PosSize = 0;
}
}
}
bo.ProcessTradeSignals(bar);
}
bo.PostProcess();
}
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Hi
>
> Tomasz: Doing this is easy for the trading part; but I need to do
it for the
> backtesting part. I need to be able to get the top-500 for* each
day* in
> the backtest. This is where it is difficult!
> Mike: I like your idea of backtesting the 8000 stocks then applying
a code
> to discard those that would not have existed. But what would a
custom
> backtester code to do that would look like?
>
> Thanks,
>
> Louis
>
> 2008/7/15 Tomasz Janeczko <groups@xxx>:
>
> > Hello,
> >
> > You don't need any extra coding for that.
> > Use EXPLORATION, run it on the range "last 1 day" and all 8000
tickers.
> > Use SetSortColumns to perform sorting (or click on column) and
get top 500
> > from the list.
> > It is blazing fast, don't require any special coding.
> > ======================================
> > http://www.amibroker.com/video/exploration.html
> >
> > Note that if you are going to scan 8000 symbols *everyday* you
would either
> > need dedicated EOD source (may be even Yahoo) or if you insist on
using
> > intraday data
> > way faster connection than your 256kbps intraday data is about
25KB per day
> > per symbol
> > (so about 200+ MB per 8000 symbols, so with your current
connection it
> > would take
> > more than 4 hours fully saturated 256kbps connection)
> > You really need to do the math. Your connection is tiny compared
to what
> > you are trying to
> > do, and that means that you either need to adjust your
methodology (usign
> > EOD data for scans)
> > or change the connection. There are physical limits of your setup
that you
> > seem to be ignoring.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> >
> > ----- Original Message -----
> > *From:* Louis Préfontaine <rockprog80@xxx>
> > *To:* amibroker@xxxxxxxxxxxxxxx
> > *Sent:* Monday, July 14, 2008 11:39 PM
> > *Subject:* Re: [amibroker] Re: Paul Ho: Memory Challenges with
Great
> > Ranking Tool
> >
> > 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 <ftonetti@xxx>:
> >
> >> 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@xxxxxxxxxxxxxxx
> >>
> >> > 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@xxxxxxxxxxxxxxx
> >> > >
> >> > > > 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@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
> >> > > > > > > > >
> >> > > > > > > > >
> >> > > > > > > > >
> >> > > > > > > >
> >> > > > > > >
> >> > > > > > >
> >> > > > > >
> >> > > > >
> >> > > > >
> >> > > >
> >> > >
> >> > >
> >> >
> >>
> >
> >
> >
>
------------------------------------
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