1. First pass
Run scan through all real tickers to generate artificial tickers for RSI
(close field).
2. Second pass
Run scan through all RSI artificial tickers. Do the following:
currentMax = Foreign("~minmax", "high");
currentMin = Foreign("~minmax", "low");
newMax = max(C, currentMax);
newMin = min(C, currentMin);
deltaMax = newMax - currentMax;
deltaMin = newMin - currentMin;
AddToComposite(deltaMax, "~minmax", "high");
AddToComposite(deltaMin, "~minmax", "low");
On Tue, Oct 6, 2009 at 1:01 PM, ta <[email protected]> wrote:
>
>
> Mike, thanks for your interest. Lets simplify the problem. Lets assume
> that we want to calculate the RSI for every bar for all tickers in the
> database. We can easily calculate rsi numbers and store them in an atc file.
> Then we want to find out what is the minimum and maximum values for rsi is
> on any given bar in our database (all tickers). For example if we have three
> tickers in our database and we have three bars. The calculated rsi for each
> ticker would be as follows:
>
>
>
> IBM = 12, 1 , 6
>
> MSFT = 10, 2, 7
>
> INTC = 13, 9, 87
>
>
>
> On bar 1 min = 10 max = 13
>
> On bar 2 min = 1 max = 9
>
> On bar 2 min = 6 max = 8
>
>
>
> I don’t know how to program AB to find the min and max values for every bar
> and store in a new atc file (lets call it ~minmax). I hope this clarifies
> the problem. TIA
>
>
>
>
>
> *From:* [email protected] [mailto:[email protected]] *On
> Behalf Of *Mike
> *Sent:* Monday, October 05, 2009 10:09 PM
> *To:* [email protected]
> *Subject:* [amibroker] Re: Best Approach to a Multipass Problem
>
>
>
>
>
> For steps 1 and 3, are you spanning symbols? In other words, do you want
> the min out of all symbols, or do you want the min on a symbol by symbol
> basis?
>
> You might get a better response if you describe a concrete example of what
> you are trying to do, assuming 2-3 symbols over a handful of bars.
>
> e.g.
> AAA
> Alpha = 1, 3, 5, 7
> Beta = 2, 4, 6, 8
>
> BBB
> Alpha = ...
> Beta = ...
>
> CCC
> Alpha = ...
> Beta = ...
>
> Now what?
>
> Mike
>
> --- In [email protected] <amibroker%40yahoogroups.com>, "ta"
> <tagro...@...> wrote:
> >
> > Well, after spending about a month on this problem. I can not figure out
> > step to namely:
> >
> > 2. Run thru the atc files and find the min and max values for alpha
> > and beta and store is in one new atc file (2nd pass thru database)
> >
> > Any help or direction would be much appreciated. TIA
> >
> >
> >
> > From: [email protected] <amibroker%40yahoogroups.com> [mailto:
> [email protected] <amibroker%40yahoogroups.com>] On Behalf
> > Of ta
> > Sent: Friday, September 11, 2009 4:42 PM
> > To: [email protected] <amibroker%40yahoogroups.com>
> > Subject: [amibroker] Best Approach to a Multipass Problem
> >
> >
> >
> >
> >
> > I am calculating certain characteristics for every stock than I have in
> my
> > EOD database (approximately 3000). For the sake of clarity let's use
> alpha
> > and Beta as characteristics. I want to :
> >
> > 1. calculate the min and max value of alpha & beta in my data base.
> >
> > 2. Then normalize the values to values between 0 and 1
> >
> > 3. Then calculate the sum of normalized alpha and beta and store them
> > in atc file to be used in backtests
> >
> >
> >
> > I was thinking of using the following procedure:
> >
> > 1. Calculate alpha and beta and store the values for each stock in an
> > atc file (first pass thu database)
> >
> > 2. Run thru the atc files and find the min and max values for alpha
> > and beta and store is in one new atc file (2nd pass thru database)
> >
> > 3. Normalize alpha & beta for each stock using the stock's atc file
> > and minmax atc file that I created during the previous step (3rd pass
> thru
> > database)
> >
> >
> >
> >
> >
> > Is there a better/faster approach? Any help or suggestions is much
> > appreciated. TIA
> >
>
>
>
