Louis there would be no reasonable way to use intraday ranking values for live trading on 500 symbols. The time to run the ranking would mean the market moved on. I personally cannot see any reason to use 500 symbols intraday unless your system only gives 1 or 2 signals per day over all the stocks, surely 10 symbols would be sufficient for live intraday trading
-- Cheers Graham Kav AFL Writing Service http://www.aflwriting.com 2008/7/13 Louis Préfontaine <[EMAIL PROTECTED]>: > Hi Graham, > > What exactly is a multi pass method and how can I use composite to get > exactly the 500 tickers I want to trade each day? > > I'm really confused about this, but this seem essential to me. I wasted > dozens of hours on a system that is working but that would not be working in > RT because of the 500 symbols Real-time limitation. I must absolutely find > a way to reproduce this limitation in a backtest. Hence the idea of getting > a ranking of the 500 tickers. I understand that there can be problems, and > it is surely possible to add a limitation that would not consider tickers > that had major holes, as an example. > > But where to start? I tried the code that is posted in this thread and 2 > hours later AA is still running and nothing is happening. Is there a code > that would help me? I must not be the only one with this problem! > > Thanks, > > Louis > > 2008/7/12 Graham <[EMAIL PROTECTED]>: >> >> Some of the things I have found in the past running afl similar to the >> one provided here for ranking >> The ranking works great if all the symbols contain exactly the same >> data dates or datetimes >> Where it can cause problems with values is when some contain less >> history, have data holes, or stopped trrading some time in the past >> The indicator values are all calculated based on the bars of the >> current symbol, so data holes in other symbols being referenced with >> foreign function have padded or ignored bar information. This may not >> affect all indicators but does with some. >> eg base has holes, so the last 10 days may, in fuller symbols actually >> be 11 days, thus 1 day is ignored. worse if the current symbol is a >> very low traded symbol with many holes >> Consider a simple HHV(H,100). In a fully traded symbol this would be, >> say, 20 weeks of data. But in a symbol with holes it could represent >> 25 weeks. Thus the full symbols are being calculated over 25 weeks not >> 20, and the holes in base symbol may actually coincide with the >> relevant indicator highs in fuller symbols >> Of course you can get around this by using padding to reference symbol >> in analsyis window. This can overcome some problems, but can also >> introduce others in hole filled symbols depending on the indicator you >> are using. >> >> Consider the effect of hole padding when your base symbol has full >> trading. Your calculations will use the padded data for the weaker >> symbols being referenced as foreign. >> >> A further problem can be that short history symbols being padded will >> have the un-traded padded part at the start and give results of zero >> or null. If zero then if your indicator has positive and negative >> numbers (eg ROC) then the zero will be included in the ranking, even >> though the symbol never actually existed at that earleir time. Same >> can occur at the end of data if a symbol has not traded for some time >> before the most recent date. it will provide results even though it >> may have ceased trading on the exchange >> >> These are just some thoughts for you to consider >> >> I recommend that unless you are ranking over symbols that are >> comparable in data that you use a multi pass method, utilising the >> power of composites for storing the indicator values bgefore ranking >> them. This can overcome some of the problems. >> >> -- >> Cheers >> Graham Kav >> AFL Writing Service >> http://www.aflwriting.com >>
