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Dave
I've finally been able to reproduce your
finding. This occurs when there are Data holes (no trading days) in the
shares being analysed. A partial fix is to modify the following
line
for (j=0; (sTicker = StrExtract( List,j))
!= ""; j++)
{<FONT
color=#0000ff>
>
SetForeign(sTicker);
Rank =
Ranking(Sov1,Sov2,Sov3,Sov4);
k = StartBar;
to SetForeign<FONT face=Arial
size=2>(sTicker,false);
This will prevent filling data holes (see helpfile
SetForeign - Fixup), but this is only a partial fix. The Data holes still
cause problems
Run this small exploration and you will find that
the Ref Date array is different if there are data holes. In the Ranking
AFL I posted, everything is referenced back to the current stock periods (ie.
the indexes periods). This means that a 250 period MA looks at our
SetForeign Ticker for 250 index periods. The Second AFL you posted
calculates the 250 period MA over 250 Ticker periods. Data gaps will
result in different calculations for the MA.
// Apply to - Use Filter
- set to desired watchlist
// Range From - set date To - Same date (one day range)<FONT
face="Courier New" size=1>
Refdate = <FONT face="Courier New" color=#0000ff
size=1>Ref(<FONT
face="Courier New" color=#0000ff size=1>DateNum<FONT face="Courier New"
size=1>(),-20<FONT
face="Courier New" size=1>);
Filter = <FONT face="Courier New" color=#ff00ff
size=1>1;<FONT
face="Courier New" color=#0000ff size=1>
AddColumn(Refdate,<FONT
face="Courier New" color=#ff00ff size=1>"Ref Date"<FONT
face="Courier New" size=1>,<FONT face="Courier New" color=#ff00ff
size=1>1.0);<FONT
face="Courier New" color=#ff00ff size=1>
The Solution, A start would be to remove tickers from your watchlist
that have data holes (realistically only those that have excessive holes).
If your like me, You wouldn't want to trade something that doesn't trade every
day anyway. The Total solution would be to have the AFL reject tickers
that trade less than a certain % of periods. I'm working on something
related to this in another project. I'll get back to you when I've
finished.
Out of interest, What market are you trading - ASX ?
Andrew
<FONT
color=#000000>
<FONT
color=#000000>
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=dcrotty2003@xxxxxxxxxxxx
href="">dcrotty2003
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, December 21, 2003 8:40
PM
Subject: [amibroker] Re: Top 200 stocks
by volume
Hi Andrew,Yes, I did run the ranking using
Turnover=MA(V*C,250) in it.Another thing I have just done is run
this:Filter=MA(V*C,250);SetOption("NoDefaultColumns",
True);AddTextColumn( Name(), "Ticker", 77);AddColumn( DateTime(),
"
Date ",
formatDateTime);AddColumn( Close, " Close ",
1.3);AddColumn(MA(V*C,250), "Turnover", 1);...on a single date and
exported the data to a CSV file and on sortedthe volume top to
bottom.I compared it with the same date on the ~TurnoverTop200 and the
value in the ~TurnoverTop200 would catch around 180 stocks when
looking at the volume in the csv file. Thanks.Dave--- In
amibroker@xxxxxxxxxxxxxxx, "Andrew Perrin" <adjp@xxxx>
wrote:> Dave> Had to think about this one, I noticed you
have used Turnover=MA(V*C,250) . This is not the turnover calculation used
in the initial Ranking AFL, did you modify that ranking calculation as
well, if notthat is the reason for the discrepancy. It does work
for me. > > >BTW I would like to do an Explore on single day
(say on01/01/2003) > >using for an example: MA(V*C,250) so I can
do a sort in AA to see what > >the actual Top 200 stocks symbols
were. I've tried a few thing but I'm > >not sure how to set it
up in the AA and what range to set (ie:does it > >need to be
back 250 days for the 250 day MA) ?> > Just set Range From -
01/01/2003 To - 01/01/2003 and explore. No you don't have to worry
about 250 day MA, Amibroker takes care ofthat for you.>
> Andrew> > > ----- Original Message
----- > From: dcrotty2003 > To:
amibroker@xxxxxxxxxxxxxxx > Sent: Sunday, December 21, 2003
8:40 AM> Subject: [amibroker] Re: Top 200 stocks by
volume> > > Hi Andrew,>
> I just did a simple scan to see exactly how many stocks
wereabove the > turnover formula in the rank code
ie:> > Turnover=MA(V*C,250) >=
Foreign("~TurnoverTop200","C");> Buy =
0;> AddToComposite(Turnover, "~StockNum", "X" ); >
> ...I found the number of stocks picked on a day varies
between170 & > 180 or so, rather then 200. Do
you know why this would be? Thanks.> > BTW I would
like to do an Explore on single day (say on01/01/2003)
> using for an example: MA(V*C,250) so I can do a sort in
AA to see what > the actual Top 200 stocks symbols
were. I've tried a few thingbut I'm > not sure how
to set it up in the AA and what range to set (ie:does it
> need to be back 250 days for the 250 day MA) ?>
> Dave> > > > ---
In amibroker@xxxxxxxxxxxxxxx, "Andrew Perrin" <adjp@xxxx>
> wrote:> > Dave>
> Good to hear you got it working. I don't run this exact
scan,but yes I > do run a ranking scan daily.
I contributed the Turnover Rankingas an >
example, Perhaps of interest to you was a discussion on whether this
> particular formula for turnover was the best as opposed
to MA(V * > Close ,sov1). > > see <A
href="">http://groups.yahoo.com/group/amibroker-ts/message/596
for > this discussion> > >Just
add MA(V,sov1) * Close >= foreign> >
>("~Top200Vol","C"); to my system and that's it. Does thatsound
OK?> > What you suggest sounds right to
me> > Andrew> >
> > > > >
> > > ----- Original Message -----
> > From: dcrotty2003 >
> To: amibroker@xxxxxxxxxxxxxxx >
> Sent: Saturday, December 20, 2003 4:22 PM>
> Subject: [amibroker] Re: Top 200 stocks by
volume> > > > >
> Andrew,> > >
> Excellent!! :-) got it going, thanks for your time and
yourcode. I > didn't >
> understand how it worked and now that I see it on a chart, I
doesn't > > look like it's necessary to
do it month by month as Imentioed in my >
> previous post. Just add MA(V,sov1) * Close >=
foreign> > ("~Top200Vol","C"); to my system
and that's it. Does thatsound OK?> >
> > Do you run this daily prior to Scaning
for signals?> > > >
Thanks again.> > Dave>
> > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Andrew Perrin" <adjp@xxxx>
> > wrote:>
> > Dave> > > to use
this AFL, you need to set the APPLY TO -> CURRENT >
> STOCK not Filter ->
Watchlist -> 1000 stocks. For the current >
stock > > selected it is best to use a stock
with no data holes ( I usean > INDEX ).
> > I've copied a snippet of code from the
AFL below, this iswhat I tried > to
> > explain in first comment. Under
user variables are> > > sWatchlist =
4; This is the watchlist you want to scan not write
> > results to. Set this to whatever
you mistakenly set thefilter to >
initially.> > > Rank_No =
200; This is the depth you want to rank to ie.the
> 200th > > highest rank
value will be added to the AddToComposite.>
> > > > > //
> > >
****************************************************>
> ************> > > //
APPLY TO - CURRENT STOCK - Set to an index (no data
holes).> > > // RANGE - FROM - "set
date" TO - "set date",> > > // SCAN or
EXPLORE> > > // >
> >
****************************************************>
> ************> > >
osInitialize();> > > #pragma
nocache> > > //#include
"afl/AP_Functions.afl";> > >
//////////////////////////////////////////////////>
> > // User Variables - enter here //>
> >
/////////////////////////////////////////////////>
> > sWatchlist = 4; // set to desired
watchlist.> > > Rank_No = 100; // set the
depth to rank to.> > >
> > > >
> > Hope this Helps, any problems just
ask> > > >
> > Andrew> >
> ----- Original Message ----- >
> > From: dcrotty2003 >
> > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Saturday,
December 20, 2003 9:50 AM> >
> Subject: [amibroker] Re: Top 200 stocks by
volume> > > >
> > > > >
Hi Andrew, thanks for your reply.> > >
> > > Re: Add To Composite
RankValue based on Ranking calculation.>
> > > > >
Using the code in the message you wrote, I believe Icould use
> the > >
> composite value as a filter in my systems
backtest.> > > >
> > I could run the top 200 volume code over
each month forthe last> >
> couple of years, setting up watchlists/composites to
usein > > backtesting.
> > > >
> > Then in my system, add a date function for
each of the months > > >
composites as a volume filter for backtesting over the1000
> stocks.> > >
> > > ie:>
> > IIf(Year()==2003 AND Month()==11,MA(V,sov1)
* Close >= > foreign>
> >
("~Top200Vol_11_2003","C"),> >
> IIf(Year()==2003 AND Month()==12,MA(V,sov1) * Close >=
> foreign> >
> ("~Top200Vol_12_2003","C"),
> > > >
> > ....etc etc etc >
> > > > >
Nothing's never that easy is it!! ...hoping for a
simplerway.> > > >
> > Anyway down to business :-) I've downloaded
the Osakaplug-in > and >
> run > > >
the code on a watchlist of 1000 stocks. I get thecomposite come
> up > > >
with zero and nothing in my watchlist 4. In the AAresults all
the> > > Rank Values are
zero.> > > >
> > Any idea what I could be doing wrong? I'm
selecting Applyto ->> >
> Filter -> Watchlist -> 1000 stocks and setting the
dateto the last > > >
months worth. I'm using AB Version 4.5.6 and I guessthere's
> nothing> >
> to setup in the Settings?>
> > > > >
Thanks, Dave> > > >
> > > > >
--- In amibroker@xxxxxxxxxxxxxxx, "Andrew" <a.perrin@xxxx>
> > wrote:>
> > > Dave>
> > > Take a look at messages 50428 and
50457. They might be > what >
> you > > >
want> > > >
> > > >
Andrew> > > >
> > > > --- In
amibroker@xxxxxxxxxxxxxxx, "dcrotty2003" > >
> <dcrotty2003@xxxx> >
> > > wrote:>
> > > > Hi Mark, and thanks for the
reply.> > > > >
> > > > > Sounds a bit
tricky, I have no knowledge of JScript.> >
> > > > >
> > > Would anyone have already coded something similar
in > JScript > > that
> > > > > Mark
suggested and I may be able to modify it.> >
> > > > >
> > > Otherwise, any other suggestions on how to do it?
Thanks.> > > > >
> > > > >
Dave> > > > >
> > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Mark H" > >
<amibroker@xxxx> > > >
wrote:> > > > > > I
haven't tried that, but based on what I read inthe help
> file, > >
> > > you can do an automatic script to accomplish
that.> > > > > >
> > > > > > 1. load
the explore formula and settings> >
> > > > 2. invoke the explore>
> > > > > 3. save the results to a
file> > > > > > 4.
read the file and choose the top 200 tickers>
> > > > > 5. clear existing
watchlist> > > > > >
6. set the 200 tickers to watchlist> >
> > > > > >
> > > > You can even add the backtest
steps:> > > > > >
> > > > > > 7. load
the backtest formula and settings> >
> > > > 8. invoke the backtest>
> > > > > 9. save the reports to
files.> > > > > >
> > > > > > All
these can be done in JScript. After that, thewhole >
process > > > > is
> > > > > just one
click away.> > > > >
> > > > > > > -
Mark H.> > > > >
> ----- Original Message ----- >
> > > > > From: dcrotty2003
> > > > >
> To: amibroker@xxxxxxxxxxxxxxx >
> > > > > Sent: Thursday,
December 18, 2003 4:51 PM> >
> > > > Subject: [amibroker] Top 200
stocks by volume> > > >
> > > > > > >
> > > > > >
> Hi,> > >
> > > > > > >
> > From a newbie EOD trader. Instead of backtesting
using > > todays >
> > > > index, >
> > > > > is it possible to
create a daily list of 200 onlystocks from >
> > > a > >
> > > list > >
> > > > of 1000 filtered by moving average
volume and my > system >
> > > > backtested on >
> > > > > this
list?> > > > > >
> > > > >
> I know I could do an explore to pick out the top200
and > > save >
> > > it >
> > > > to a >
> > > > > watchlist then
backtest on the list, but I wantthe list to > be
> > > > >
> changed everyday within the backtest.>
> > > > > >
> > > > > I don't want if
using the rank function to onlybuy top-> down
> > > > > stocks
> > > > >
> with the highest volume but to buy any of the 200
> selected > >
> > stocks.> >
> > > > > >
> > > > Thanks for any
help.> > > > > >
> > > > >
> Dave> > > > Send BUG
REPORTS to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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