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Re: [amibroker] Re: Filter for multiple categories?


  • Date: Fri, 19 Mar 2010 12:40:12 -0400
  • From: Keith McCombs <kmccombs@xxxxxxxxxxxx>
  • Subject: Re: [amibroker] Re: Filter for multiple categories?

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Mike --
That explains the long time required.
 
But it doesn't explain the results from my second
second test. 
I just noticed in the AB manual that filter = is for "Exploration Only".  That would explain why Scan is not effected by filter at all.  However, Back Test just gets completely befuddled by it.  That is really scary!

Do you think it makes any sense to try to use AB's OLE for this?  If so would it have to be called externally with a jscript?
I find the OLE documentation confusing.  I assume from the Example 1., that nType=0 means include, and =1 means exclude.  However, I have no assumptions as to the meaning of psz in pszCategory (or pszFileName).

Thanks for all your help.
-- Keith

On 3/19/2010 12:01, Mike wrote:
 

Sounds like you're confusing AA filter with the keyword Filter. They are not the same.

The filtering behavior of the AA window applies to which symbols the AFL script is *run* upon.

The Filter keyword determines which of the symbols *satisfy* the given condition.

In other words; The keyword Filter will identify which symbols, *of the symbols allowed by the AA filter*, satisfy your condition.

Mike

--- In amibroker@xxxxxxxxxps.com, Keith McCombs <kmccombs@xx.> wrote:
>
> Just finished two tests to see effect of using Filter = InWatchList().
>
> First test, using following code only:
> |*Filter* = InWatchList(49); // WL# 49 contains only two stocks
> *NumColumns* = 1;
> *Buy* = *Filter*;
> *Sell* = *Short* = *Cover* = 0;|
>
> With AA>Apply to>use filter>Define>Filter setting, both Include and
> Exclude clear, results were as expected but took approx. 25 seconds to
> read through entire equity list of 8455 files, for each Scan, Explore
> and Back Test. However, if I set Include to Watch list 49 in
> AA....Filter settings each is instantaneous. I had hoped that Filter =
> InWatchList() would have been instantaneous as well.
>
> Second test, only changed Buy = Filter; to Buy = 1;
> |*Filter* = InWatchList(49);
> *NumColumns* = 1;
> *Buy* = 1;
> *Sell* = *Short* = *Cover* = 0;
>
> W|ith AA....Filter settings, both Include and Exclude clear:
> Scan lists all 8455 stocks with as Buy.|
> Explore lists correct two stocks.
> Back Test lists four incorrect stocks, which are no longer traded.
> All three analysis took approx. 25 seconds.
> |
> Anybody have any thoughts on this?
> Thank you.
> -- Keith
>
> On 3/18/2010 19:14, Keith McCombs wrote:
> >
> > Anthony --
> > I was searching the AB Users Manual for 'InCategory', came up empty,
> > and gave up. I didn't think to look for 'InWatchList'. Thank you.
> >
> > However, I believe a bit more manipulation is required to use
> > CategoryGetSymbols(). For example, copy list from Category:Index to
> > Category:WatchList:WLnumber and then use Filter =
> > InWatchList(WLnumber) as you pointed out. Of coarse one might also
> > want to use CategoryRemoveSymbol() to implement exclusion as well.
> >
> > But, in order to save time, one might want to perform the operation
> > only once per scan, exploration, backtest, or optimization. Ah, so
> > now there's another question.
> >
> > And again, thank you.
> > -- Keith
> >
> >
> > On 3/18/2010 17:11, Anthony Faragasso wrote:
> >
> >> Keith ,
> >> I believe there are several ways...
> >> *CategoryGetSymbols( category, index ) *
> >> *GetCategorySymbols( category, index ) *
> >> *InWatchList( listno ) *
> >> Filter= InWatchList( 3 ) OR InWatchList( 5 );
> >> Anthony
> >> **
> >>
> >> ----- Original Message -----
> >> *From:* Keith McCombs <mailto:kmccombs@...>
> >> *To:* amibroker@xxxxxxxxxps.com <mailto:amibroker@xxxxxxxxxps.com>
> >> *Sent:* Thursday, March 18, 2010 3:30 PM
> >> *Subject:* [amibroker] Filter for multiple categories?
> >>
> >> With AA>Apply to>Define>Include, I have two similar problems:
> >> 1. If more than one category is selected, the are ANDed, rather
> >> than ORed. So that one cannot, for example, filter for
> >> Market:Nasdaq OR Group:ETF.
> >>
> >> 2. There is no way to select more than one list in a category.
> >> One cannot have Watchlist:7 OR Watchlist:13.
> >>
> >> I would very much like a solution to both problems.
> >>
> >> A programmatic solution would be most appreciated. I try to have
> >> as many settings in my code and as few GUI selected as possible.
> >>
> >> Thanks for any help.
> >> -- Keith
> >>
> >
>



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