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1. First pass
Run scan through all real tickers to generate artificial tickers for RSI (close field).
2. Second pass
Run scan through all RSI artificial tickers. Do the following:
currentMax = Foreign("~minmax", "high");
currentMin = Foreign("~minmax", "low");
newMax = max(C, currentMax);
newMin = min(C, currentMin);
deltaMax = newMax - currentMax;
deltaMin = newMin - currentMin;
AddToComposite(deltaMax, "~minmax", "high");
AddToComposite(deltaMin, "~minmax", "low");
On Tue, Oct 6, 2009 at 1:01 PM, ta <tagroups@xxxxxxxxxxxxx> wrote:
Mike, thanks for your interest. Lets simplify the problem. Lets assume
that we want to calculate the RSI for every bar for all tickers in the database.
We can easily calculate rsi numbers and store them in an atc file. Then we want
to find out what is the minimum and maximum values for rsi is on any given bar
in our database (all tickers). For example if we have three tickers in our
database and we have three bars. The calculated rsi for each ticker would be as
follows:
IBM = 12, 1 , 6
MSFT = 10, 2, 7
INTC = 13, 9, 87
On bar 1 min = 10 max = 13
On bar 2 min = 1 max = 9
On bar 2 min = 6 max = 8
I don’t know how to program AB to find the min and max
values for every bar and store in a new atc file (lets call it ~minmax). I hope
this clarifies the problem. TIA
For steps 1 and 3, are you spanning symbols? In
other words, do you want the min out of all symbols, or do you want the min on
a symbol by symbol basis?
You might get a better response if you describe a concrete example of what you
are trying to do, assuming 2-3 symbols over a handful of bars.
e.g.
AAA
Alpha = 1, 3, 5, 7
Beta = 2, 4, 6, 8
BBB
Alpha = ...
Beta = ...
CCC
Alpha = ...
Beta = ...
Now what?
Mike
--- In amibroker@xxxxxxxxxxxxxxx,
"ta" <tagroups@xxx> wrote:
>
> Well, after spending about a month on this problem. I can not figure out
> step to namely:
>
> 2. Run thru the atc files and find the min and max values for alpha
> and beta and store is in one new atc file (2nd pass thru database)
>
> Any help or direction would be much appreciated. TIA
>
>
>
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of ta
> Sent: Friday, September 11, 2009 4:42 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Best Approach to a Multipass Problem
>
>
>
>
>
> I am calculating certain characteristics for every stock than I have in my
> EOD database (approximately 3000). For the sake of clarity let's use alpha
> and Beta as characteristics. I want to :
>
> 1. calculate the min and max value of alpha & beta in my data base.
>
> 2. Then normalize the values to values between 0 and 1
>
> 3. Then calculate the sum of normalized alpha and beta and store them
> in atc file to be used in backtests
>
>
>
> I was thinking of using the following procedure:
>
> 1. Calculate alpha and beta and store the values for each stock in an
> atc file (first pass thu database)
>
> 2. Run thru the atc files and find the min and max values for alpha
> and beta and store is in one new atc file (2nd pass thru database)
>
> 3. Normalize alpha & beta for each stock using the stock's atc file
> and minmax atc file that I created during the previous step (3rd pass thru
> database)
>
>
>
>
>
> Is there a better/faster approach? Any help or suggestions is much
> appreciated. TIA
>
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