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Not so weird. What you describe is essentially what was being done in
the thread that I included with my last response.
The easiest way to speed it up what you already had is to use
AddToComposite in a first pass then refer to the composites on a
second pass. Requires two runs instead of one. But, it would still
probably be faster, particularly for larger wathclists.
Script1 (untested):
MyValue = ROC(C,NumBars)/ATR(250);
CurrentHigh = Foreign("~CurrentHigh", "X");
AddToComposite(
IIF(MyValue > CurrentHigh, MyValue - CurrentHigh, 0),
"~CurrentHigh",
"X");
CurrentLow = Foreign("~CurrentLow", "X");
AddToComposite(
IIF(MyValue < CurrentLow, (CurrentLow - MyValue) * -1, 0),
"~CurrentLow",
"X");
Script 2 (untested):
FirstHourUp = IIf (TimeNum() == 103000,True,False);
NumBars = 13;
MaxRelPerf = Foreign("~CurrentHigh", "X");
MinRelPerf = Foreign("~CurrentLow", "X");
Buy = FirstHourUp AND ROC(C,NumBars)/ATR(250)==MaxRelPerf;
Short = FirstHourUp AND ROC(C,NumBars)/ATR(250)==MinRelPerf;
This way you are not iterating through the entire watchlist for each
and every member of the list. Instead you are doing it once up front,
then a second time for the final pass.
But, again, if you ever want more than a single long/short, then you
have to start doing sorting rather than just tracking the single
highest/lowest.
Try it out. I suspect that you will see a marked speed improvement,
albeit at the cost of convenience. You could adopt BatMan in the
Files section of this group and create a batch of the two runs then
just fire the single batch run each time.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "claudecaruana" <claudecaruana@xxx>
wrote:
>
> I agree this seems like the only solution. It is a pity however, as
I
> would have expected to be able to pick up the weakest signal as a
> short position. In fact at this point I don't really understand how
> the new functionality SeparateLongShortRank actually works.
>
> In reality I was trying to use positionscore to speed up an earlier
> code which directly computed the minimum and maximum values for the
> watchlist, and went long/short on those. Worked perfectly, but very
> slow. By having to calculate a median value in a similar way I'm
back
> to square one :)
>
> Here is my earlier code, for reference. I guess it's a bit of a
weird
> way to do it, but it does work..
>
> FirstHourUp = IIf (TimeNum() == 103000,True,False);
> TickerList = CategoryGetSymbols(categoryWatchlist, 16); ;
> NumBars = 13;
> MaxRelPerf = -10000;
> MinRelPerf = 10000;
> for( i = 0; ( symbol = StrExtract( TickerList, i ) ) != ""; i++ )
> {
> SetForeign(symbol);
> MaxRelPerf = Max(ROC(C,NumBars)/ATR(250),MaxRelPerf);
> MinRelPerf = Min(ROC(C,NumBars)/ATR(250),MinRelPerf);
> }
> RestorePriceArrays();
> Buy = FirstHourUp AND ROC(C,NumBars)/ATR(250)==MaxRelPerf;
> Short = FirstHourUp AND ROC(C,NumBars)/ATR(250)==MinRelPerf;
>
>
> cheers,
> Claude
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > Deducting an average derived from anything other than the values
of
> > the watch list in question (e.g. deducting average of S&P500)
would
> > still be prone to the same problem since the elements of the
watch
> > list might all be on the high side of the average and thus still
all
> > end up positive (or conversely all be on the low side and all end
up
> > negative).
> >
> > Similarly, deducting an average of the watchlist itself would
only be
> > guaranteed to correctly handle the single long/single short
scenario.
> > If the strategy were to be expanded to handle 2 or more longs or
2 or
> > more shorts, then a single extreme value could drag the average
> > up/down such that only that single extreme value was above/below
the
> > average and the subsequent longs/shorts would never get
recognized. If
> > you're sure that you only ever want a single long and a single
short,
> > this can easily be accomplished by first running an AFL that uses
> > AddToComposite with which to later derive an average in the main
AFL
> > on the second pass.
> >
> > The more robust solution would be to calculate the *median* value
and
> > subtract that from the individual ROC(C,NumBars)/ATR(250) values
> > giving an equal number of positive results as negative results.
You
> > could then successfully employ your original logic for taking
longs
> > when > 0 and shorts when < 0 with the assurance that there will
always
> > be an equal number of each, thereby allowing any combination of
longs
> > and shorts.
> >
> > e.g.
> >
> > PositionScore = ROC(C,NumBars)/ATR(250) - MedianValue;
> > Buy=FirstHourUp AND PositionScore > 0;
> > Short=FirstHourUp AND PositionScore < 0;
> >
> > So, the question becomes how to get the median value? For that
you
> > would need to rank and sort the ROC(C,NumBars)/ATR(250)
calculation
> > across all members of the watch list, then pull out the value
> > appearing in the center of the ordered list (if odd number of
items in
> > watch list) or the average of the two center items (if even
number of
> > items in watch list).
> >
> > So, how do you rank and sort across a watch list? You can refer
to the
> > following link for a solution where there are not too many items
in
> > the list:
> >
> > http://finance.groups.yahoo.com/group/amibroker/message/126400
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@> wrote:
> > >
> > > One way of solving this would be to deduct an average ROC from
some
> > > aggregate index from each of your individual scores, e.g. if
your
> > > stocks belong to the S&P500, deduct its ROC from each of your
> > > individual ROCs (you can also create one yourself). You are
correct
> > > in using the new functionality to seperate your shorts from
your
> > > longs via the MaxOpenLong and MaxOpenShort functions.
> > >
> > > Hope this helps.
> > >
> > > PS
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "claudecaruana"
<claudecaruana@>
> > > wrote:
> > > >
> > > > Hi,
> > > >
> > > > Actually the code I supplied on my original message already
does
> > > > this.. Works ok if the positionscores for each iteration
contain
> > > both
> > > > positive and negative values. If they are all positive or all
> > > negative
> > > > the code below would fail.
> > > >
> > > > BR
> > > > C
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Joe" <j0etr4der@> wrote:
> > > > >
> > > > > Hi,
> > > > >
> > > > > This bit me, too. From the AFL Reference Manual, section
on
> > Using
> > > > > Position Score, "...AmiBroker will use the absolute value of
> > > > > PositionScore variable to decide which trades are
preferred."
> > > > >
> > > > > Try this (untested):
> > > > >
> > > > > PS = ROC(C,NumBars)/ATR(250);
> > > > > PositionScore = PS;
> > > > > .
> > > > > .
> > > > > .
> > > > > Buy=FirstHourUp AND PS > 0;
> > > > > Short=FirstHourUp AND PS < 0;
> > > > >
> > > > >
> > > > > Good luck,
> > > > >
> > > > > Joe
> > > > >
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "claudecaruana"
> > <claudecaruana@>
> > > > > wrote:
> > > > > >
> > > > > > hi All,
> > > > > >
> > > > > > I am trying to implement a very simple intraday system
using
> > > > > > PositionScore, which buys the strongest symbol at a
particular
> > > time
> > > > > > and shorts the weakest. Exit is at some particular time
later.
> > > > > >
> > > > > > I am using ROC to determine strength. The code below
works
> > fine
> > > when
> > > > > > the symbols backtested have mixed positive and negative
ROC's,
> > > but if
> > > > > > on a particular day all ROC's are positive, the short
trade is
> > > missed
> > > > > > and vice versa for all ROC's negative.
> > > > > >
> > > > > > I think I understand why this is happening, however I
cannot
> > get
> > > > > > around solving it!
> > > > > >
> > > > > > Here is the code: (I am using V5.17)
> > > > > >
> > > > > > FirstHourUp = IIf (TimeNum() == 103000,True,False);
> > > > > > numbars=13;
> > > > > >
> > > > > > SetOption("SeparateLongShortRank", True );
> > > > > > SetOption("MaxOpenPositions", 2);
> > > > > > SetOption("MaxOpenLong", 1 );
> > > > > > SetOption("MaxOpenShort",1);
> > > > > >
> > > > > > PositionScore = ROC(C,NumBars)/ATR(250);
> > > > > >
> > > > > > Buy=FirstHourUp AND PositionScore > 0;
> > > > > > Short=FirstHourUp AND PositionScore < 0;
> > > > > >
> > > > > > Sell = TimeNum() == 113000;
> > > > > > Cover = TimeNum() == 113000;
> > > > > >
> > > > > >
> > > > > > Note: If I replace the buy/sell lines with the following:
> > > > > >
> > > > > > Buy=FirstHourUp ;
> > > > > > Short=FirstHourUp ;
> > > > > >
> > > > > > then I get no short signals at all. I am not sure why.
> > > > > >
> > > > > > Any ideas on what I can do to resolve the issue?
> > > > > >
> > > > > > Thanks for any feedback,
> > > > > > Claude
> > > > > >
> > > > >
> > > >
> > >
> >
>
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