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[amibroker] Re: Backtesting with difference tickers everyday


  • Date: Thu, 25 Feb 2010 20:50:31 -0000
  • From: "longt3rm" <longt3rm@xxxxxxxxx>
  • Subject: [amibroker] Re: Backtesting with difference tickers everyday

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Ramon,

Thank you for the information.

I can see how this code would work for this application.

One of the challenges that I did not make clear is the symbols change on a daily basis for years. I will be downloading the date, rank, ticker combinations via vb.net and writing those out to a file.

I would expect to have about 260 files for each year for each strategy.

I'm leaning toward SQL has the medium if for no other reason that being able to spot when one ticker is showing up in two strategies.

Bill

--- In amibroker@xxxxxxxxxxxxxxx, "ramoncummins" <ramoncummins@xxx> wrote:
>
> Hi Bill,
> 
> The way I approach this problem is to have a watchlist with ALL relevant tickers in it (in your case, it would be 6)and then have a dateCheck function in my Buy Signal that specifies the allowed dates for each ticker. Note that the dates need to be entered in Amibroker Date format ). I am writing this post without amibroker in front of me, so no doubt the code has some minor mistakes, but I'm sure you can fix them. I can post verified code later if needed.
> 
> function datecheck (myTicker) {
> datecheck = false;
> switch (myTicker) {
> case "AAA": iff(datenum()> startDate and datenum()<enddate,true,false); break;
> Case "BBB": etc . . . .
> }
> }
> 
> Buy = EntryConditions and datecheck(name());
> 
> Make sure you select the watchlist with all the tickers in it when you run AA.
> 
> Hope this helps
> 
> Ramon
> 
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "longt3rm" <longt3rm@> wrote:
> >
> > Hello,
> > 
> > I have a backtest model I would like to develop where the basket of stocks used will change on a daily basis.
> > 
> > For example:
> > On October 5 2009, the backtest would use tickers:
> > AAA
> > BBB
> > CCC
> > 
> > On October 6 2009, the backtest would use tickers:
> > DDD
> > EEE
> > FFF
> > 
> > I am looking for ideas on how to approach this. The two ways I've pondered are:
> > 1) Create separate CSV files using the naming convention:
> > ticker20091005.csv
> > ticker20091006.csv
> > 
> > Then use FGets to parse the file to build that days tickers.
> > 
> > 2) Store the tickers / dates in a Microsoft SQL database and call a stored procedure via ODBC.
> > 
> > Would anyone have thoughts / ideas on which approach would be:
> > 1) Faster for backtest
> > 2) Easier to maintain
> > 
> > Any sample code would be fantastic.
> > 
> > Thank you,
> > 
> > 
> > Bill
> >
>




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