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Jerome,
many thanks for the details.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Silvarius" <silvarius@xxxx> wrote:
> Dimitri,
>
> 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.
>
> 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) :
>
> H0 = Foreign("~rankY","C");
> NbTickers = 101;
> Counter = Cum(1);
> IdBar = Counter - BarCount + NbTickers + 1; //array containing the
Status
> number of each stock
> NbTops = 5; //Number of tops considered
>
> TopValue[BarCount - 1] = HHV(H0,n); //Top value of the top 5
> TopId[BarCount - 1] = ValueWhen(IdBar,H0 == HHV(H0,n),n); //Status
of the
> stock having the top value
>
> for(i=1;i<NbTops;i++)
> {
> for(j = BarCount - NbTickers;j<BarCount;j++)
> {
> if(H0[j] > TopValue[BarCount - i - 1] && H0[j] <=
> TopValue[BarCount - i] && j != TopId[BarCount - i])
> {
> TopValue[BarCount - i -1] = H0[j]; //Value of the next
top 5
> TopId[BarCount - i -1] = IdBar[j]; //Status of the next
top 5
> }
> }
> }
>
> 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 :
>
> NbTops = 5;
> TopId = Foreign("~Top5","C");//Status array of our top performers
>
> for(i = BarCount - NbTops;i < BarCount;i++)
> if(TopId[i] == Status("StockNum")
> Filter[BarCount - 1] = 1;
>
> 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
>
>
> -----Message d'origine-----
> De : DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Envoyé : jeudi 24 avril 2003 10:18
> À : amibroker@xxxxxxxxxxxxxxx
> Objet : [amibroker] Re: The top5 of an exploration
>
>
> Jerome,
> 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@x...]
> > 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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