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<FONT face=Arial
size=2>Dimitri,
<FONT face=Arial
size=2>
1 -
Vertical/Horizontal transformation : I think I had misunderstood your
terminology. I thought your "vertical/horizontal transformation" process applied
to the chart that you included in your mail. I don't understand
the use of this chart.
<FONT face=Arial
size=2>
2 - Sorting out the
top 5 : your code is perfectly valid. I just thought a "for" loop
would be more flexible, allowing to sort out the "top X" instead of the
"top 5". But I still have version 4.30 installed, so I cannot use
loops yet on my computer. But the code should look something like that
(after having created the "rankY" composite) :
<FONT face=Arial
size=2>
<SPAN
class=601103508-24042003>H0 = Foreign("~rankY","C");
<SPAN
class=601103508-24042003>NbTickers = 101;
<SPAN
class=601103508-24042003>Counter = Cum(1);
<SPAN
class=601103508-24042003>IdBar = Counter - BarCount + NbTickers +
1; //array containing the Status number of each
stock
<SPAN
class=601103508-24042003>NbTops = 5; //Number of
tops considered
<SPAN
class=601103508-24042003>
<SPAN
class=601103508-24042003>TopValue[BarCount - 1] = HHV(H0,n); <FONT
color=#008000>//Top value of the top 5
<SPAN
class=601103508-24042003>TopId[BarCount - 1] = ValueWhen(IdBar,H0 ==
HHV(H0,n),n); //Status of the stock having the
top value
<SPAN
class=601103508-24042003><FONT
size=2><SPAN
class=601103508-24042003>
<SPAN
class=601103508-24042003>for(i=1;i<NbTops;i++)
<SPAN
class=601103508-24042003> {
<SPAN
class=601103508-24042003> for(j = BarCount -
NbTickers;j<BarCount;j++)
<SPAN
class=601103508-24042003>
{
<SPAN
class=601103508-24042003> if(H0[j]
> TopValue[BarCount - i - 1] && H0[j] <=
TopValue[BarCount - i] && j != TopId[BarCount -
i])
<SPAN
class=601103508-24042003>
{
<SPAN
class=601103508-24042003>
TopValue[BarCount - i -1] = H0[j]; //Value of the next top
5
<SPAN
class=601103508-24042003> TopId[BarCount
- i -1] = IdBar[j]; //Status of the next top
5
<SPAN
class=601103508-24042003> }
<SPAN
class=601103508-24042003> }
<SPAN
class=601103508-24042003>
}
<SPAN
class=601103508-24042003>
The value and Status of the top
5 are stored in 5 last bars of the "TopValue" and "TopId" arrays. To sort out
more than 5 stocks, just change the value of the "NbTop" variable. Equal values
are not a problem. You can also store the values for further use in a new
composite ticker. This code should be run only for the "~rankY"
ticker.
If you have stored the
"TopValue" and "TopId" arrays in a new composite ticker ("~Top5" for example),
and want to filter out these top 5 stocks in an exploration, you should be
able to do like that :
<SPAN
class=601103508-24042003>
<SPAN
class=601103508-24042003>NbTops = 5;
<SPAN
class=601103508-24042003>TopId = Foreign("~Top5","C");<FONT
color=#008000>//Status array of our top
performers
<SPAN
class=601103508-24042003><FONT
size=2><SPAN
class=601103508-24042003>
<SPAN
class=601103508-24042003>for(i = BarCount - NbTops;i <
BarCount;i++)
<SPAN
class=601103508-24042003> if(TopId[i] ==
Status("StockNum")
<SPAN
class=601103508-24042003>
Filter[BarCount - 1] = 1;
<FONT
size=2>
Please note that this code has
not been tested. It is only to illustrate the idea of extracting and using the
TopX performers through loops.
Best regards, Jérôme
ULRICH
<SPAN
class=601103508-24042003> <FONT
face=Arial><SPAN
class=601103508-24042003>
<SPAN
class=601103508-24042003>
<FONT face=Tahoma
size=2>-----Message d'origine-----De : DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx]Envoyé : jeudi 24 avril 2003
10:18À : amibroker@xxxxxxxxxxxxxxxObjet :
[amibroker] Re: The top5 of an
explorationJerome,thank you for the interesting
reply.See comments below--- In amibroker@xxxxxxxxxxxxxxx,
"Silvarius" <silvarius@xxxx> wrote:> Hello Dimitri,>
> Why do you need this transformation vertical/horizontal ? Once you
have the> result of your exploration stored in "~rankY" ticker,
but, the "~RankY" *is* the tsansformation >it seems simpler
to> sort out the top five through a "for" loop. Is it possible
to be more specific with some code?>And if you want to store
these> top five for further use in AB, you can put them in the five
last bars of a> new ticker.How?> > Best
regards, Jerome ULRICH> -----Message
d'origine-----> De : Dimitris Tsokakis
[mailto:TSOKAKIS@xxxx]> Envoye : jeudi 24 avril 2003
09:16> A : amibroker@xxxxxxxxxxxxxxx>
Objet : [amibroker] The top5 of an exploration> >
> 1. The VHTr transformation> To Explore
N100 for the last RSI, select the top5 and see their> performance to a
trading system,> run first in AA for all stocks, all
quotations the> > // VHTr, Vertical to horizontal
transformation, by D. Tsokakis, Apr 2003>
x=Status("stocknum");>
y=LastValue(RSI());z=LastValue(Cum(1))-x;>
Ry=AddToComposite(IIf(z==Cum(1),y,-1e10),"~RankY","C");>
Buy=0;> Filter=1;>
AddColumn(Y,"INDICATOR",1.3);>
AddColumn(x,"STOCKNUM",1.0);> > An atificial ticker
"~RankY" is just created. It is a bit peculiar, it has> values for
the last 101 bars only.> [My N100 database has 101 names,
the 100 stocks plus the index ^NDX> itself]>
From left to right, each bar of the new array is equal to the
exploration> result. The 1st is YHOO, the last is
^NDX,> exactly inversed from the alphabetic sorting in my
Symbol tree. But, this> ticker is a normal array and accepts
any> array treatment. For example, we may find the top5
values.> Suppose, for the simplicity, that there are no
equal values* and paste in> IB the> >
H0=Foreign("~RankY","C");>
L1=LastValue(Cum(1));> n=101;// the population of the
database> H1=LastValue(HHV(H0,n));>
BAR1=LastValue((ValueWhen(H0==H1,Cum(1))));>
H2=LastValue(HHV(IIf(H0<H1 ,H0,0),n));>
BAR2=LastValue((ValueWhen(H0==H2 ,Cum(1))));>
H3=LastValue(HHV(IIf(H0<H1 AND H0<H2,H0,0),n));>
BAR3=LastValue((ValueWhen(H0==H3 ,Cum(1))));>
H4=LastValue(HHV(IIf(H0<H1 AND H0<H2 AND
H0<H3,H0,0),n));> BAR4=LastValue((ValueWhen(H0==H4
,Cum(1))));> H5=LastValue(HHV(IIf(H0<H1 AND H0<H2 AND
H0<H3 AND H0<H4,H0,0),n));>
BAR5=LastValue((ValueWhen(H0==H5 ,Cum(1))));>
COLOR=IIf(H0==H1 OR H0==H2 OR H0==H3 OR H0==H4 OR
H0==H5,7,1);>
Plot(H0,"",COLOR,2);GraphXSpace=3;> Title= "[
NUM1="+WriteVal(L1-BAR1,1.0)+",H1="+WriteVal(H1,1.2)+"]"+>
"[
NUM2="+WriteVal(L1-BAR2,1.0)+",H2="+WriteVal(H2,1.2)+"]"+>
"[
NUM3="+WriteVal(L1-BAR3,1.0)+",H3="+WriteVal(H3,1.2)+"]"+>
"[
NUM4="+WriteVal(L1-BAR4,1.0)+",H4="+WriteVal(H4,1.2)+"]"+>
"[ NUM5="+WriteVal(L1-BAR5,1.0)+",H5="+WriteVal(H5,1.2)+"]";>
> The top5 values are paited yellow and, in the title, you
read 5 pairs> [STOCKNUM,RSI]> The #14 [ BRCD ]
is the champion with RSI=77.43 and the top5 is> BRCD, ICOS,
SPOT, PCAR, BRCM> We read in IB title the results of the
exploration [all stocks, n=1 last> quotations] of
VHTr.> 2. The use of the VHTr
transformation> Explore now all stocks, n=1 last quotations
with the> >
X=Status("STOCKNUM");>
H0=Foreign("~RankY","C");L1=LastValue(Cum(1));>
n=101;> H1=LastValue(HHV(H0,n));>
BAR1=LastValue((ValueWhen(H0==H1,Cum(1))));>
H2=LastValue(HHV(IIf(H0<H1 ,H0,0),n));>
BAR2=LastValue((ValueWhen(H0==H2 ,Cum(1))));>
H3=LastValue(HHV(IIf(H0<H1 AND H0<H2,H0,0),n));>
BAR3=LastValue((ValueWhen(H0==H3 ,Cum(1))));>
H4=LastValue(HHV(IIf(H0<H1 AND H0<H2 AND
H0<H3,H0,0),n));> BAR4=LastValue((ValueWhen(H0==H4
,Cum(1))));> H5=LastValue(HHV(IIf(H0<H1 AND H0<H2 AND
H0<H3 AND H0<H4,H0,0),n));>
BAR5=LastValue((ValueWhen(H0==H5 ,Cum(1))));>
Cond=X==L1-bar1 OR X==L1-bar2 OR X==L1-bar3 OR X==L1-bar4 OR
X==L1-bar5;>
Buy=Cross(RSI(),35);Sell=Cross(RSI(),65);// THE TRADING
SYSTEM> e=LastValue(Equity());>
Filter=COND;>
AddColumn(X,"STOCKNUM",1.0);>
AddColumn(E,"EQUITY");> > You will see the final
equity value for the top5 stocks.> Dimitris
Tsokakis> *another set will be posted to treat the
possibility of equal values in> the result list.>
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