Hi Ken, But is it possible to do this scanning 8000 tickers to find the best 500 and automatically includ them in the backtester? I understand that it is possible to manually select the best one thanks to the ranking, but is it possible to do all this automatically to make the backtest as reliable as possible?
Thanks, Louis 2008/7/5 Ken Close <[EMAIL PROTECTED]>: > Louis: > > The code needs additional statements added to it before it can be made into > a backtestable system. The numbers represent ordinal rankings, and you > intuitively think that low ranking values mean "better" symbols. Well, > depending on what indicators you have chosen, the low value ranks may or may > not be the best ones to buy. Thus, you really need to think of a set of > conditions which should be in Buy situations and which should be in Sell > situations. Another way to backtest such a system is to set up a Rotational > Trading model and use the Rank as the PositionScore. Even in this, you have > to alter the ranking (or reverse it) before it can be a good PositionScore > variable. There are so many ways to possibily use this kind of ranking to > make a trading system, that more specifics are hard to give. I know this is > not what you wanted or expected to hear but that is what the situation is. > > HTH, > > Ken > > > ------------------------------ > *From:* [email protected] [mailto:[EMAIL PROTECTED] *On > Behalf Of *Louis Préfontaine > *Sent:* Saturday, July 05, 2008 8:17 PM > *To:* [email protected] > *Subject:* Re: [amibroker] What a Great Ranking Tool > > Hi everyone, > > This seem interesting. Is there a way to add this to a backtest so the > backtest would consider let's say the 500 best results? > > I'll try to be more clear: if I can spot a condition for having a symbol in > my watchlist but I want a maximum of 500 tickers in my watchlist, can I do > this by using some ranking that would go automatically in the backtest? > > Thanks, > > Louis > > 2008/7/5 Ken Close <[EMAIL PROTECTED]>: > >> Paul Ho has come up with a supurb ranking tool. I have expanded it to >> two indicators. Feel free to expand the code structure to any number of >> indicators. >> >> Possible next step: stick the Tot_Rank values into the OI field for the >> symbols, then Plot the Ranks for a visual representation of "where the >> symbol is over time". >> >> The possibilities are endless (or at least enlarged because of Paul's code >> idea). Thanks Paul for your creative input. >> >> Ken >> >> >> *// Ranking_Alt01.afl KSC **07/05/2008*** >> >> *// Original code by Paul Ho, Amibroker list **07/05/2008*** >> >> *// Modifications and expansions by Ken Close **07/05/2008*** >> >> ** >> >> *// Will ordinal rank every symbol in watchlist for every bar.*** >> >> ** >> >> ** >> >> *mOwnROC = **ROC**(**C**, **14**);* >> >> *mOwnRSI = **RSIa**(**C**, **14**);*** >> >> *mRoc = **0**;* >> >> *mRSI = **0**;* >> >> *list = **CategoryGetSymbols**(**categoryWatchlist**, **16**);* >> >> *ROCcount[**0**] = rocrank[**0**] = **0**;* >> >> *RSIcount[**0**] = RSIrank[**0**] = **0**;* >> >> *for**(i = **0**; (sym = **StrExtract**(list, i)) != **""**; i++)* >> >> * {* >> >> * **SetForeign**(sym);* >> >> * mRoc = **ROC**(**C**, **14**);* >> >> * mRSI = **RSIa**(**C**, **14**);* >> >> * **RestorePriceArrays**(); * >> >> * n = !**IsNull**(mRoc);* >> >> * m = !**IsNull**(mRSI);* >> >> * roccount += n;* >> >> * rsicount += m;* >> >> * rocrank = **IIf**(**Nz**(mRoc) > mOwnROC, Rocrank + n, rocrank);* >> >> * rsirank = **IIf**(**Nz**(mRsi) > mOwnRSI, Rsirank + m, rsirank);* >> >> * Totrank = rocrank + rsirank;* >> >> * }* >> >> *ROCn = **ROC**(**C**, **14**);* >> >> *RSIn = **RSIa**(**C**, **14**);* >> >> *Filter** = **1**;* >> >> *Buy** = **Sell** = **0**;* >> >> *AddColumn**(ROCn, **"ROCn"**,**1.2**);* >> >> *AddColumn**(RSIn, **"RSIn"**,**1.2**);* >> >> *AddColumn**(mRoc, **"MROC"**, **1.2**);* >> >> *AddColumn**(ROCrank, **"ROCRank"**, **1.0**);* >> >> *AddColumn**(RSIrank, **"rsirank"**,**1.0**);* >> >> *AddColumn**(Totrank, **"Totrank"**, **1.0**);* >> >> ** >> >> *// To check the sorting, run on a watchlist, then click once on the >> date column, *** >> >> *// Then shift click on one of the indicators, ie, RSIn, and you will >> see the *** >> >> *// ordinal values in order.*** >> >> ** >> >> ** >> >> >> > > >
