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Don't take it personal Ed, just trying to help. Also, I don't EVER
assume people have actually really read the manual.
Two more things before I'll leave this treat to you:
1)The new MaxOpenLong/MaxOpenShort deals with seperating Longs from
Shorts. Combined with CBT you can do anything.
2) In terms of comment C ("If you are going to create a rotational
trading system it is very important to make sure that the stocks on
your Watchlist are non-correlated") this is again based on another
one of your assumptions, in this case of how other users (should) use
Rotational. What if you use Rotational to create factor-mimicking
portfolios, for example to check whether your risk-factor model
continues to capture what it is supposed to capture, namely returns
of risk factors? Puts correlation in a different light.
PS
--- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@xxx>
wrote:
>
> Comment A
> Love wrote that he had been studying the manual, so I assumed he
> already knew about EnableRotationalTrading(); My problem with ERT
> mode is that cover/sell signals are created by events occurring in
> other stocks in the WatchList. So stock XYZ has some event (either
> positive or negative - since the absolute value is used) that pushes
> it to the top of the list and generates a cover/sell in stock ZYX
that
> may be doing just fine and doesn't deserve to be sold.
>
> Comment B
> By the nature of ranking indicators, a stock has to push past all of
> the others to get near the top of the list. Often, this is majority
> of its up move. I actually trade my ranking system, and often pick
> stocks from other locations in the list based on industry strength
and
> market condition and company fundamentals. It still is a merit
> system, but several other factors are considered.
>
> Comment C
> If you are going to create a rotational trading system it is very
> important to make sure that the stocks on your Watchlist are
> non-correlated. If your Watchlist stocks are all going up or down
at
> the same time rotating from one dropping stock to another stock that
> might be dropping at a slightly slower rate won't help you. I use a
> correlation matrix for find the stocks that are NOT moving in
> lock-step with one another.
>
> Reef Break
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@> wrote:
> >
> > Take a look at rotational mode. For further flexibility you can
> > combine it with CBT (custom-back-tester). In short, in can be
done.
> >
> > PS
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@>
> > wrote:
> > >
> > > I think this could be done by AB. It would be an
> > > intermediate/advanced level of programming - not for a newbie.
> > >
> > > One of the difficult problems is you have to write a 2-
dimensional
> > > sort routine
> > > Dimension 1
> > > is the value of your ranking indicator for each ticker in the
> > > WatchList. This is easy since AB supports x[1] = 1.2, x[2]=3.5
etc
> > ie
> > > - arrays of numbers. There are sort routines available here
and the
> > > AB website library.
> > >
> > > Dimension 2
> > > this is more difficult since AB does not support arrays of
strings
> > > like y[1] = "SPY", Y[2] = "DIA", etc so carrying the ticker
symbol
> > > along while you are sorting your ranking indicator value is more
> > > difficult. I used the index number from "GetCategorySymbols(
> > > categoryWatchlist, listnum ));" construct.
> > >
> > > If you want to plot your results you have to construct this
sorted
> > > 2-dim array for each day you want to plot (one plot for each
ticker
> > in
> > > your Watchlist, of course) - another tricky programming task,
but
> > do-able.
> > >
> > > I've got this to work for an arbitrary WatchList of arbitrary
> > length -
> > > but it wasn't easy. Maybe some other contributor has an easier
> > method
> > > to create a 2-dimensional numerical+text string sort???
> > >
> > > Now once you have the paired list of each ticker in order by
your
> > > ranking indicator, you need to hand the top n symbols off to
the
> > back
> > > tester along with your entry/exit rules. I haven't done this
part
> > but
> > > I think it would be possible.
> > >
> > > In summation - this is do-able, but difficult programming task.
> > >
> > > ReefBreak
> > >
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "love_carrot_cake"
<michaelpub@>
> > > wrote:
> > > >
> > > > I have went through the tutorial and documentation but it's
still
> > not
> > > > clear to me if Amibroker can do what I'm looking for. I would
> > > > appreciate it greatly if someone could tell me if it can do
it.
> > It's
> > > > quite simple really but I don't have experience with this
sort of
> > thing.
> > > >
> > > > My strategy that I want to backtest is this:
> > > >
> > > > each day I want to scan a watchlist of around 10-50 symbols
> > > > the scan is for certain indicator criteria, for example macd
> > recently
> > > > crossed over, etc.
> > > > I'd like to rank the results, for example by stoch or by
volume
> > > > I'd then like to buy the top x stocks (configurable of course)
> > > > I'd like to configure the exact entry, exit, and stop
> > > >
> > > > I'd like to backtest this strategy over a long period and
show the
> > > > results.
> > > >
> > > > If Amibroker can do this I would like to invest the amount of
time
> > > > required to learn AFL and purchase the software. Thanks for
your
> > help.
> > > >
> > >
> >
>
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