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Hi Chuck,
I don't know the inners of your algorithm, but
I think there
is big a desire/need of having the functionality
of a table or
matrix (in memory only), which can
be filled from within
AFL
on a field level, and later be <FONT
face=Arial>sorted. I'm currently working on
this addition to ABtool. Here the
basic concept:
user creates a table object, and adds the
column definitions
(type of column; whether numeric, datetime, or
string type etc.)
to the table object. After this, the rows and cells
can be filled
with values. And afterwards the table can be sorted
(asc/desc) on
a given column and further processed for
example in a "for" loop
by the user.
Exporting to a CSV file can also be done.
I think this would eliminate some of the external
scripting needs,
and also make the process faster.
UM
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, May 04, 2003 8:48 AM
Subject: RE: [amibroker] Re: Ranking
Stocks (AFL or via scripting)
You
just can't wait, can you?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
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.
<FONT face=Arial color=#0000ff
size=2>
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.> >
>
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