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

As TJ and I have already stated … You get the list by running an Explore to generate the list which with a little additional work could be put into a separate watchlist … You then use the watchlist for the trading part.

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Louis Préfontaine
Sent: Friday, July 18, 2008 10:18 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Paul Ho: Memory Challenges with Great Ranking Tool

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@xxxxxxxxxxcom>:

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

To: amibroker@xxxxxxxxxps.com

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@xxxxxxxxxxnet>:

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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