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> You get the list by running an Explore
Osaka is dazzlingly/exceptionally/very much faster on a large database
compared to the Great Ranking Tool.
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxx> wrote:
>
> 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@
yahoogroups.com] 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@xxxxxxxxxx <mailto:groups@
...>
> com>:
>
> 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.amibroke <http://www.amibroker.com/video/
exploration.html>
> r.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 <mailto:rockprog80@...> Préfontaine
>
> To: amibroker@xxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
ps.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@xxxxxxxxxx <mailto:ftonetti@...> net>:
>
> 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@xxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
ps.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@xxxxxxxxx <mailto:amibroker@
yahoogroups.com> ps.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@xxxxxxxxx <mailto:amibroker@
yahoogroups.com> ps.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@xxxxxxxxx <mailto:amibroker@
yahoogroups.com>
> ps.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.
> <http://groups.yahoo.com/group/amibroker-dll/>
> 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
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > > >
> > > >
> > >
> > >
> >
>
>
>
>
>
>
>
>
>
>
> _____
>
> I am using the free version of SPAMfighter for private users.
> It has removed 506 spam emails to date.
> Paying users do not have this message in their emails.
> Try SPAMfighter <http://www.spamfighter.com/len> for free now!
>
------------------------------------
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