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You
just can't wait, can you?
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size=2>
Other
than using UM's ABTool, it is all in pure AFL code. The next step is
some jscript and then a DLL. The learning curve is so steep and time
is so short. I guess I'm paying the price, at the moment, of using AFL
code to prove that the concept works without regard to how long it takes to
run. While it is running, I'm working on improving
throughput. Through all of this, I keep hoping that TJ is going to
surprise us soon and/or David (TradeSim) will implement the changes I have
requested, making my work redundant.
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But
your idea of how it works is "spot on".
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: b519b
[mailto:b519b@xxxxxxxxx]Sent: Sunday, May 04, 2003 2:01
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Ranking Stocks (AFL or via scripting)Chuck,A
generic version of your sorting system would be great to see.Is your
sorting system entirely in AFL or does it use J script or VB script or a
custom DLL? My guess would be that it might involves a script which
creates an external file listing each ticker with an indicator value. The
data in the external file would next be sorted by an external program to
make a new ticker file that has the "cut off" value for the top 5, 10,
20 stocks in the Open, High, Low, etc fields. The Foreign function could
then be used to access these cut off values for the actual backtesting. Of
course, if you are using a DLL rather than a script, the DLL might do the
sorting itself and thus save a few manual steps. This approach could be
extended by using another J-script to use the ranked external file to
control which tickers get traded for a particular day.Or have you
found a way to do the sorting and record the results via AFL. I can
imagine an approach that might work in entirely in AFL but it would
involve the use of multiple artificial tickers and would thus take "all
day" to run.Am I any where close with either of these
ideas?b--- In amibroker@xxxxxxxxxxxxxxx, "Chuck
Rademacher" <chuck_rademacher@x> wrote:> I'm quite happy to
share the methodology and code "snippets".> Unfortunately, the actual
AFL involved has too much of my proprietary> trading logic within
it. I'll have a look at replacing the underlying>
system with something more generic. Then, I would be able to post
the> complete AFL.> > Once I've verified that it is
working properly and it's not taking all day> to run, I'll prepare
a document and post it in the files section for this>
group.> > It wouldn't have been possible without the ABTool
plug-in and assistance so> graciously contributed by
UM. I'm hoping that a few other members of this> group
see the potential in UM's plug-in and come up with some ideas of
their> own. No doubt, there will be a better way than what
I'm currently doing.> I call it "leap frog" technology.
Someone comes up with an idea and> someone else comes up with an
improvement on that idea, etc. until we all> benefit from a group
effort.> > > -----Original
Message-----> From: HB
[mailto:hossamb@xxxx]> Sent: Sunday, May 04, 2003 1:01
AM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: Re: [amibroker] Ranking Stocks (was ABTool)> >
> Chuck, fascinating !> > Once
you rank, I assume that you can do things like:> - take the
top "x" trades only> - take only the trades above a certain
"y" value> - take only the trades that are "z"% below "q"'s
value> - etc.> > Yes ?>
> Will this ranking component be shared on the list
?> > HB> -----
Original Message -----> From: Chuck
Rademacher> To:
amibroker@xxxxxxxxxxxxxxx> Sent: Sunday, May
04, 2003 0:40> Subject: RE: [amibroker] Ranking
Stocks (was ABTool)> > > Ah
ha.... I don't determine the ranking criteria. More
explicitly, it> can be whatever YOU like.>
> An example might help. Let's say
you thought that there was> "information" in the RSI value; the lower
the RSI value, the better the buy> signal. If that was the
case, your criteria would be the RSI value and you> could sort
based on it. If you had P/E or Debt/Equity ratio available
in> your data, you could rank based on either of those. The
actual buy signal> can be something quite different from the
ranking criteria.> > In a nutshell,
whatever YOU would like to rank by can be written to a> file and
sorted in order to limit but orders to available
cash.> -----Original
Message-----> From: HB
[mailto:hossamb@xxxx]> Sent:
Sunday, May 04, 2003 12:12 AM> To:
amibroker@xxxxxxxxxxxxxxx> Subject:
Re: [amibroker] Ranking Stocks (was ABTool)> >
> Chuck,>
> What are your ranking criteria
?> >
HB> ----- Original
Message -----> From:
Chuck Rademacher> To:
amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, May 03, 2003
23:12> Subject: RE:
[amibroker] Ranking Stocks (was ABTool)> >
> The ranking technique
will work in optimize and backtest mode. It> is slow,
however, and that's what I'm workiing on
now.>
-----Original
Message----->
From: b519b
[mailto:b519b@xxxx]>
Sent: Saturday, May 03, 2003 10:58
PM> To:
amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Ranking Stocks (was ABTool)> >
>
Chuck,>
> Does your
ranking code just work in scan or exploration modes,
or> can it
be using in backtesting to create portfolios of limited>
size>
(limited by number of stocks at one time, or limited by
total>
capital used)?>
> b>
> --- In
amibroker@xxxxxxxxxxxxxxx, "Chuck
Rademacher">
<chuck_rademacher@x>
wrote:>
> I just finished modifying my
"pairs">
trading AFL to use UM's new
ABTool.>
> It saves about 12 hours of
processing>
time, making it possible to
actually>
> use the
system.>
>> >
I am almost finished modifying
another>
piece of AFL to rank buy/short
orders>
> and limit the orders to available
cash.>
>> >
Since these two approaches don't
seem> to be
of general interest, I'm
happy> >
to discuss methods, etc. with anyone
offline.>
>> >
Thanks again, UM, for developing such a useful tool.> > >
> Send BUG
REPORTS to
bugs@xxxx>
Send SUGGESTIONS to
suggest@xxxx>
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