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Hi Bruce,
Thanks very much for the feedback. I'll give it a try.
--- In amibroker@xxxxxxxxxxxxxxx, "Bruce" <brucer@xxx> wrote:
>
> Diego -
>
> I saw this the other day and it is the type of broader topic that I want
> to cover on AmibrokerU.com soon with a demo app. I'll call it a "Score
> Mask" coding pattern. I'll briefly explain the approach now, though,
> and hope that it gets you pointed in a useful direction.
>
> PROBLEM - In a rotational trading system, define periods where tickers
> in the filter are available to be held in the portfolio. This has
> several appplications -
>
> * Only trading tickers that trade above a certain price.
> * Only trading tickers that have a volume MA or a money flow above a
> certain threshold.
> * Only trading tickers that appear on a recommended list (ValueLine,
> IBD100, etc.)
>
> In coding this, I'd suggest thinking of it in steps. The steps could be
> done in a different order, but it is probably easier to see this way -
>
> 1. You have a watchlist that will build up over time, or you can just
> run against all stocks if processing time is not important. For each
> stock, calculate a proprietary position score for all days.
>
> 2. Create a function that does the following. Initialize the return
> date mask to 0. Read a text file, called RECOMMENDED_FILE, where each
> line contains a mask for dates that the current ticker was
> "recommended". Say the ratings are released on Mondays. Then, for
> example, a line might be - "AAPL,7/13/09,7/31/09" - representing
> starting on Monday, and ending on a Friday. Set the mask to 1 for that
> date range. Do the same for other lines that match the current ticker.
> Return the resulting mask called DATE_ MASK.
>
> 3. Modify the position score array to contain the score for days that
> the DATE_ MASK is 1 and 0 for days that the mask is 0. Call this the
> DATE_ MASKED_ SCORE.
>
> 4. Create a array that contains 1 on days that you want to rotate and
> 0 otherwise. For example, Monday. Call this the TRADING_ MASK. If the
> recommended list comes out on Monday, then this would be the day.
>
> 5. Set the final position score to the DATE_MASKED_SCORE when the
> TRADING_MASK is 1. and to ScoreNoRotate (a keyword) for days when the
> TRADING_MASK is 0.
> Depending on the size of the recommended list, number of tickers over
> the backtest, size of recommended list, etc., there are optimizations
> that can be done to reduce run time. Also, if the test file that is
> used to set the DATE_MASK is in chrono order and recommendations are
> repeated each week, you can obviate the need for the end date on each
> line. But, the above steps will get the basic idea going.
>
> Hope this helps.
>
> -- BruceR
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Diego Zviovich <zviovich@> wrote:
> >
> > Dear all,
> >
> > I'm migrating from Wealth-Lab to Amibroker to take advantage of
> > Amibroker's functionality and brokerage house independence. As with
> > any new language, it tak
> > es a while to get through the learning curve.
> > Please, would someone be kind to point me to any existing document or
> > example that would tackle the following type of trading system as
> > explained below?
> > The subset of issues in which the rotational system operates is
> > reviewed on a weekly basis, based on an unknown propietary rating
> > system (Think of Valueline T1, MSN 100, IBD, etc) . Some symbols are
> > dropped from the list, some new symbols are added to the list. If the
> > symbol is dropped from the list the position is closed, it will be
> > replaced by a new issue from the updated list for which a position is
> > not already open. The rest of the system operates the same way as the
> > standard rotational system operates, based on some position scoring
> > condition.
> > Thanks.
> >
>
------------------------------------
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