AFL: new function: StaticVarGenerateRanks function (flexible ranking
function)
NOTE: This function is NOT intended to replace bakctester's built-in ranking
via PositionScore. Just the opposite: whenever you can, you should use
PositionScore
as it is way way faster and less memory-consuming way to perform backtests
with ranking. To learn more about how to use PositionScore see "Portfolio
level backtesting" section of the tutorial.
StaticVarGenerateRanks is intended to be used for tasks OTHER than backtesting
such as explorations or indicators
that may require ranking functionality.
WARNING: this function is computationally and memory intensive. It
takes about 20ms per 15K bars and 7 symbols. Try to call it JUST ONCE
per scan/exploration/backtest using
if( Status("stocknum")==0) or better yet, use separate scan
just once to pre-calculate ranks and use it later (like composite creation
scan).
If you fail to do so and call StaticVarGenerateRanks for every symbol
performance would drop significantly as this function not only needs
lots of time to compute
but it also has to lock the access to shared memory used by static variables
so other threads trying to access static variables would wait until this
function completes.
StaticVarGenarateRanks( "outputprefix", "inputprefix",
topranks, tiemode )
"inputprefix" is a prefix that defines names of static variables
that will be used as input for ranking.
AmiBroker will search for all static variables that begin with that prefix
and assume that remaining part of the variable name is a stock symbol.
Say you want to rank stocks by ROC (rate of change). All you need to
do is to store values into static variables.
Let us say that we will use static variable names like "ValuesToSortAPPL", "ValuesToSortMSFT",
and so on.
To fill input static variables you can use this loop:
for( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++
)
{
SetForeign(sym );
Value = ROC( C, 10 );
RestorePriceArrays();
StaticVarSet( "ValuesToSort" + sym, Value );
}
Now you are ready to perform sorting/ranking. There are two modes, normal
ranking mode and Top/Bottom Rank mode.
Normal ranking mode is performed when toprank argument is set to zero.
StaticVarGenerateRanks( "rank", "ValuesToSort",
0, 1224 );
In this case StaticVarGenerateRanks call would generate set of static
variables starting with prefix defined by 2nd argument
each variable holding the rank of particular symbol, so in this case
RankValuesToSortMSFT will hold ranking of MSFT
RankValuesToSortAAPL will hold ranking of AAPL
Note that in AmiBroker rank count start from ZERO.
Third argument (topranks) is zero in normal ranking mode
Fourth argument (tiemode) defines how ties are ranked. Supported modes
are 1234 and 1224. In 1224 mode ties are numbered with equal rank.
Example code for normal ranking mode (everything done is done in one
pass, can be used in indicator):
symlist = "C,CAT,DD,GE,IBM,INTC,MSFT";
// delete static variables
StaticVarRemove("ValuesToSort*");
// fill input static arrays
for( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
SetForeign(sym );
Value = ROC( C, 10 );
RestorePriceArrays();
StaticVarSet( "ValuesToSort" + sym, Value );
}
// perform ranking
StaticVarGenerateRanks( "rank", "ValuesToSort", 0,
1224 ); // normal rank mode
// read ranking
for( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
Plot( StaticVarGet( "RankValuesToSort" + sym ), sym, colorCustom10
+ i );
}
Top/bottom ranking mode (that generates top/bottom ranking tables that
hold indexes to top ranking values. When topranks > 0 top ranked values
are used, when topranks < 0 then bottom ranked values are used.
The values are stored in variables that have format of:
OutputprefixInputprefixN where N is a number 1, 2, 3 representing top/bottom
ranks. Let us assume that
OutputPrefix parameter is "Top" and Inputprefix parameter is
ROC.
In such case variable TopROC1 would hold the index of top rated value.
TopROC2 would hold second top rated value, and so on.
StaticVarGenerateRanks function uses rank numbering that starts from
ONE.
In top ranking mode StaticVarGenerateRanks will also prepare static variable
that contains comma separated list of variable names that can be used
to
find out which index refers to which symbol. So if TopROC1 holds 1 you
would lookup first substring in TopROCSymbols variable to find out what
variable (symbol)
ranked at the top.
Additionally StaticVarGetRankedSymbols gives easy-to-use method to retrieve
comma separated list of ranked symbols for particular datetime.
Example code for top ranking mode
symlist = "C,CAT,DD,GE,IBM,INTC,MSFT";
// delete static variables
StaticVarRemove("ValuesToSort*");
// fill input static arrays
for( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
SetForeign(sym );
Value = ROC( C, 10 );
RestorePriceArrays();
StaticVarSet( "ValuesToSort" + sym, Value );
}
// perform ranking
StaticVarGenerateRanks( "rank", "ValuesToSort", 0,
1224 ); // normal rank mode
StaticVarGenerateRanks( "top", "ValuesToSort", 3,
1224 ); // top-N mode
StaticVarGenerateRanks( "bot", "ValuesToSort", -3,
1224 ); // bottom-N mode
// read ranking
for( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
Plot( StaticVarGet( "RankValuesToSort" + sym ), sym, colorCustom10
+ i );
}
sdt = SelectedValue( DateTime() );
Title = "{{NAME}} -{{DATE}} - {{VALUES}} TOP: " + StaticVarGetRankedSymbols( "top", "ValuesToSort",
sdt ) +
"
BOT: " + StaticVarGetRankedSymbols( "bot", "ValuesToSort",
sdt ) ;
