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AN1 - Creating Security Lists

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1. A B C LEARNIN AJ ENGINEERING A P EAGERS LI A P EAGERS LI AAPC LIMITED AAPT LIMITED ABADOR GOLD Daily 07 05 2001 Daily 07 05 2001 Daily 07 05 2001 Daily 07 05 2001 Daily 13 03 1998 Daily 16 11 2000 Daily 18 04 2000 ABADOR GOLD Daily 18 04 2000 ABEDNEGONIC Daily 04 03 1999 ABERFOVYLE LL Created with Metastock by Equis 2001 Select OK and then click on the Options button and make sure Use Filter is checked Exploration Options Created with Metastock by Equis 2001 Click on Options from the exploration dialogue box and check the Load Minimum Records checkbox to speed up processing Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved http www compuvision com au Page 10 AN 1 Creating a Portfolio Security List in Metastock the Easy Way Explorer Options Ea Data Loading K C Load 4300 Records Cancel EL aat Securities Help M Always Promptfor Securities Reporting M Notify When Exploration is Done Created with Metastock by Equis 2001 se Click OK then click Explore and click OK again to start the exploration When the exploration has completed click the Report button and the report dialogue box should open with all of the securities that were matched between the security list file and the security database files Check that all of the securities that were in the security list file are present in t
2. AN 1 Creating a Portfolio Security List in Metastock the Easy Way Tradesim Advanced Trading Simulator and Back Tester Application Note 1 Creating a Portfolio Security List in Metastock the Easy Way TradeSim Standard Edition TradeSim Professional Edition TradeSim Enterprise Edition Metastock Version 7 xx only Se SS Last Update 1 April 2003 Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 1 http Awww compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way Contents ESE E H SE N EE E E E E EE EE E 2 DISCLAIMER EE E SAOS OE EEEE E AEE E COPYRIGHT AND LICENSING AGREEMENT eesssoesssesssesssocesoossoossooessoesssosssoossooessossssesssoessse Trademarks ccccscssssssccssccsscssssssecssecssecscseessesesesessneesseeseeescsesnssscsssessecsseasesesssesssesesssenssenses 5 Introduction esseseesesoeseseesosseseeocsosseseceesoeseeoceoseeseecesorseseceosoeseeoceosoeseeeesoeseroceoseeseeceseseeeosseseesesossee 6 Automating the Process sccscccscssssssscssscssscssscsssscsssssesssssssesssessssessneseseessessecsssssscsssssseessasscsssessoes 8 Using the GetSymbolLength function to generate a portfolio list scsscssesssssessseseseeseoes 11 REFERENCE LITERATURE sis sccascsssctscascausssconecdsautsaseoscssendsdesgecsonsesasussesonsdsbontectedbsoecdsnisoncaay 13 Copyright 2000 2002 by Compuvision Australia Pty Ltd All Right
3. ASx Stacks BORAL LIMITED BLD D Ezydata MetaStock ASx Stocks BRL HARDY LIMITED D Ezydata MetaStock ASx Stocks Lx 4 gt Created with Metastock by Equis 2001 Using the GetSymbolLength function to generate a portfolio list Typically you may have data for all securities listed on your exchange This can amount to thousands of securities which may include a lot of illiquid traded Warrants and Stock Options that you don t want to include when you generate a trade database When you generate a security list you may only want to Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 11 http Awww compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way include the primarily traded securities which for the case of the ASX are all securities with three characters in their symbol name TradeSim comes to the rescue by providing an additional function called GetSymbolLength which returns the number of characters in the symbol and can be used in a security list exploration to include or exclude securities with symbols that are a certain length For example if you are only concerned with the primary securities which have symbol lengths of 3 then you can easily use the GetSymbolLength function in an exploration to reject all 4 5 6 character stock options and warrants by simply filtering out securities with symbol lengths greater than 3 Like the FilterSecurity function the Get
4. you must keep this password secret You must also take reasonable steps to prevent any third party from copying the software from one of your machines without your permission The Vendor reserves the right to revoke your license if you violate any or all of the terms of this license agreement without prior notice Trademarks TradeSim is a registered trademark of Compuvision Australia Pty Ltd Metastock is a registered trademark of Equis International Microsoft Windows is a registered trademark of Microsoft Corporation Microsoft Excel is a registered trademark of Microsoft Corporation Word for Windows is a registered trademark of Microsoft Corporation TradeStation is a registered trademark of Omega Research Corporation DS Ore Gs Bo Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 5 http Awww compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way Introduction Traditionally when running any kind of exploration in Metastock including a trade database exploration you would first have to select the securities of interest to be used in the exploration Typically you may have data for all securities listed on your exchange however you may only want to test a trading system using a subset of this data For example you may only want to test a trading system using the top 100 stocks because these are the most liquid securities and therefore are mor
5. EAM MARINE INDUSTRIALS Misc Industrials AFI AUSTRALIAN FOUNDAT FINANCIALS Invest amp Fin Seru AGL AUSTRALIAN GAS LIGHT UTILITIES Infra amp Utilities AIP AMP INDUSTRIAL TRUST FINANCIALS Property Trusts AIX AUSTRALIAN INFRASTR FINANCIALS Infra amp Utilities ALL ARISTOCRAT LEISURE CONSUMER DISCRETIONARY Tourism amp Leisure ALN ALINTAGAS LIMITED UTILITIES Infra amp Utilities AMC AMCOR LIMITED MATERIALS Paper amp Packaging Note that the first column should always contain the security code or symbol and any other columns are ignored by the filter exploration so you can add comments after each security code provided that there is at least one white space separating the security symbol and the remaining contents of the line You may have portfolio lists in other file formats but you will have to save or export the list so that it is stored as a basic space or tab delimited text file For example if you have a list that is in a spreadsheet file format first load the list into your spreadsheet program and then save it as a space or tab delimited text file Also you will need to carefully note the name and directory of your portfolio list file In this example the ASX 100 list was stored in the file specified by D Trading Security Lists asx100constituents txt With this portfolio list file we can now create a simple exploration using the external formula contained in the TradeSim External Plug In called FilterSecurity This external
6. Folders Securities taStoc ckst A D Ezydata MetaStock ASx Stocks B D Ezydata MetaStock ASx Stacks C D Ezydata MetaStock ASX Stocks D D Ezydata MetaStock ASx Stocks E D Ezydata MetaStock AS Stocks F D Ezydata MetaStock ASx Stacks G D Ezydata MetaStock ASx Stacks H D Ezydata MetaStock ASX Stocks l D Ezydata MetaStock ASX Stacks J D Ezydata MetaStock AS Stocks K D Ezydata MetaStock ASX Stocks L D Ezydata MetaStock ASX Stocks M D Ezydata MetaStock ASX Stacks N D Ezydata MetaStock ASx Stacks O D Ezydata MetaStock ASx Stacks P DAF ardatat MotaStacht ACY Stacks zl I Use results from last exploration Statistics 26 folders currently added Selected Securities 2692 Total Securities 2692 Created with Metastock by Equis 2001 Folders Securities ADELAIDE BRIG Daily 24 08 2000 ADSTEAM MARI Daily 24 08 2000 a ADVANCE PROP Daily 24 08 2000 AMALGAMATED Daily 24 08 2000 AMP DIVERSIFI Daily 24 08 2000 AMP INDUSTRIA Daily 24 08 2000 AMP LIMITED Daily 24 08 2000 AMP OFFICE TR Daily 24 08 2000 ANACONDANIC Daily 24 08 2000 ANGLOGOLD LI Daily 24 08 2000 APN NEWS amp ME Daily 24 08 2000 ARGO INVESTM Daily 24 08 2000 zi F Use results from last exploration Statistics AMCOR LIMITED Security Symbol Created with Metastock by Equis 2001 Normally you would check o
7. SymbolLength function would be inserted in the filter section of an exploration as in the following example Exploration Editor Ea General Name TradeSim Gen Security List ASX xx Notes This is a dummy exploration which uses the GetSymbolLength external function located in the TradeSim Metastock Plug In to generate a security list which only contains the primary securities with 3 character symbols Column A Column B Column c Column D Column E Column F Filter ExtFml TradeSim GetSymbolLength lt Cancel Functions Securities Options Help Created with Metastock by Equis 2001 When generating the security list for the example above you would make sure all of the securities are included in the exploration Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 12 http Awww compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way Reference Literature This list of references is by no means exhaustive but represents material which is either recommended or for general reading 1 Compuvision Australia TradeSim User Manual 2 Equis Metastock for Windows 95 98 amp NT This is the user manual that comes with Metastock Version 7 0 and is a prerequisite for using TradeSim Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 13 http Awww compuvision com au
8. ate Security List This is a dummy exploration which uses the TradeSim pluggin to generate a security list which matches an external list filed stored in a space or tab delimited text file ExtFml TradeSim FilterSecurity D NTrading sSecurity Lists asx100constituents txt Created with Metastock by Equis 2001 Click on Securities button and make sure that you have all of the relevant securities folders added to the security list box D EEEE EENE D Ezydata MetaStock ASx Stacks C D Ezydata MetaStock ASx Stocks D D Ezydata MetaStock ASx Stocks E D Ezydata MetaStock ASx Stocks F D Ezydata MetaStock ASx Stocks G D Ezydata MetaStock ASx Stacks H D Ezydata MetaStock ASx Stacks I D Ezydata MetaStock ASx Stocks J D Ezydata MetaStock Asx Stacks K D Ezydata MetaStock ASx Stocks L D Ezydata MetaStock ASx Stocks M D Ezydata MetaStock ASx Stocks N D Ezydata MetaStock ASx Stocks O D ee eee ee Created with Metastock by Equis 2001 Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 9 http www compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way Make sure all of the securities are checked in each folder as shown in the example below for the A folder Check a all of the other folders as well to see that all of the securities are all checked tocks A 7 CONVERTIN Daily 07 05 2001 8 NON CUMUL Daily 07 05 2001
9. e suitable when simulating a particular trading system In this case you would obtain a list of stocks that were in the top 100 and then only enable the relevant stocks in the securities list in Metastock Shown below is an example of part of a securities list for the ASX 100 constituents This list as well as all of the others for the other indices can be downloaded from the ASX website http www asx com au in Microsoft Excel format Group 025 S amp P ASX 100 GICS Sector Sector e FINANCIALS Property Trusts FINANCIALS Invest amp Fin Serv Furies infra tities _ CONSUMER DISCRETIONARY Tourism amp Leisure MATERIALS Paper amp Packaging FINANCIALS insurance O FINANCIALS Banks O FINANCIALS Property Trusts FINANCIALS Invest amp Fin Serv __ Fivanciats insurance D__ FINANCIALS Property Trusts CONSUMER DISCRETIONARY Retail MATERIALS O Divers Resources INDUSTRIALS Transport a MATERIALS Building Materials D CONSUMER STAPLES Alcohol amp Tobacco proai _ riwanciats Property Trusts To generate a securities list in Metastock involves adding the relevant security folders to the folders list and checking off the relevant securities in each of the folders as shown in the example below Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 6 http Awww compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way
10. ff all of the relevant stocks in the securities list which matches the securities in your portfolio Checking the securities from a database containing several thousand can become very laborious and error prone particularly when dealing with a large portfolio Fortunately TradeSim incorporates some additional features which makes this procedure fairly straightforward and helps to automate the process somewhat by allowing you to create a simple security filter exploration in Metastock which is purposely designed for this sort of application Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 7 http www compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way Automating the process To generate a security list using the TradeSim Metastock Plug In requires that we first have a portfolio list file stored as a basic space or tab delimited text file An example was given in the previous section However you can generate your own security list with a text editor such as Note Pad provided that you start each new symbol on a new line An example of part of the ASX 200 security list after it has been saved in tab delimited text format is shown below j asx200constituents tct Notepad of x File Edit Search Help Group 051 S amp P ASX 200 ABC ADELAIDE BRIGHTON MATERIALS Building Materials ADB ADELAIDE BANK FINANCIALS Banks ADP AMP DIVERSIFIED FINANCIALS Property Trusts ADZ ADST
11. function only takes one additional parameter which is a string constant that represents the full filename and directory of the security list file For example using the portfolio list file above we can write the exploration indicator as follows ExtFml TradeSim FilterSecurity D Trading Security Lists asx100constituents txt Every time this function is called in an exploration the security symbol is compared to the list of symbols stored in the portfolio list file and if a match is found the function returns a non zero value and the security is added to the report At the end of the exploration the securities listed in the report should match all of the securities in the portfolio list Warning The portfolio list file should always be specified by the full filename including the path and file extension Incorrect specification of the portfolio list file or an invalid portfolio will cause an internal error The filter security indicator should always be place in the filter section of an exploration and the Use Filter option should always be enabled in the exploration editor options Using this information we can now create an exploration in Metastock and call it TradeSim Generate Security List Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 8 http Awww compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way Exploration Editor _ TradeSim Gener
12. he report If some securities are missing in the report then this maybe because you have not included all of the relevant security data folders in the security list or some of the securities are missing from your data vendor or maybe the symbol names are different which quite often happens If you are happy with the list in the report you can save this list so that you can reuse it later by clicking on the Save List button and saving it to an appropriate file For example you might call it ASX 100 TradeSim Generate Security List Explored 11 07 2001 Results Rejects Exploration Folder Inspect AMP DIVERSIFIED ADP D Ezydata MetaStock s Si AUSTRALIAN FOUNDAT AFI D Ezydata MetaStock ASx Stocks Open Chart AUSTRALIAN GAS LIGHT AGL D Ezydata MetaStock ASx Stacks ARISTOCRAT LEISURE ALL D Ezydata MetaStock ASx Stocks AMCOR LIMITED AMC D Ezydata MetaStock ASx Stocks Sort AMP LIMITED AMP D Ezydata MetaStock ASx Stacks AUSTRALIA amp NZ BANK ANZ D Ezydata MetaStock ASx Stocks Print AMP SHOPPING CENTRE TRUST ART D Ezydata MetaStock ASx Stocks AUSTRALIAN STOCK EX ASX D Ezydata MetaStock ASx Stocks Sewage AXA ASIA PACIFIC HOLDINGS LIMITED AXA D Ezydata MetaStock ASx Stacks BILLABONG INTERNATIONAL LIMITED BBG D Ezydata MetaStack Asx Stocks I BROKEN HILL BHP D Ezydata MetaStock ASx Stocks I BRAMBLES INDUSTRIES BIL D Ezydata MetaStock
13. imilar to TradeSim and has a similar name The Vendor reserves the right to license the same Software to other individuals or entities under a different license agreement After accepting this license agreement the Licensee is permitted to use the Software under the terms of this agreement Under this license agreement the Software can only be used by those persons or entities that have purchased a license key Payment information is available at http www compuvision com au PurchaseOnline htm The Software is provided as is In no event shall Compuvision Australia Pty Ltd be liable for any consequential special incidental or indirect damages of any kind arising out of the delivery performance or use of this Software to the maximum extent permitted by applicable law While the Software has been developed with great care it is not possible to warrant that the Software is error free The Software is not designed nor intended to be used in any activity that may cause personal injury death or any other severe damage or loss When errors are found in the Software the Vendor will release a new version of the Software that may no longer contains those errors a reasonable amount of time after the Vendor is given an accurate description of those errors Which amount of time is reasonable will depend on the complexity and severity of the errors The Vendor will mention the release at http www compuvision com au at the Vendor s option direc
14. r Licensed Financial Consultant or your Stockbroker You should seek appropriate advice from your broker or licensed investment advisor before taking any action Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 3 http Awww compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way Copyright and Licensing Agreement TradeSim is Copyright 2000 2003 by Compuvision Australia Pty Ltd TradeSim is a trademark of Compuvision Australia Pty Ltd IMPORTANT READ CAREFULLY This license statement and limited warranty constitutes a legal agreement License Agreement between you Licensee either as an individual or a single entity and Compuvision Australia Pty Ltd Vendor for the software product TradeSim Software of which Compuvision Australia Pty Ltd is the copyright holder BY INSTALLING COPYING OR OTHERWISE USING THE SOFTWARE YOU AGREE TO BE BOUND BY ALL OF THE TERMS AND CONDITIONS OF THE LICENSE AGREEMENT Upon your acceptance of the terms and conditions of the License Agreement Compuvision Australia Pty Ltd grants you the right to use the Software in the manner provided below If you do not accept the terms and conditions of the License Agreement you are to promptly delete each and any copy of the Software from your computer s This license agreement only applies to the software product TradeSim and not to any other product even if that product is s
15. s Reserved Page 2 http Awww compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way Disclaimer In no event shall Compuvision Australia or its suppliers be liable for any damage either direct or indirect including without limitation damages for loss of business profits business interruption loss or business information or other losses arising out of the use of or inability to use the software The results obtained from using this software are not indicative of and have no bearing on any results which may be attained in actual trading Results of past performance are no guarantee of future performance It should not be assumed that you would experience results comparable to that reflected by the results from this software No assurance is given that you will not incur substantial losses nor shall Compuvision Australia Pty Ltd be held liable if losses are incurred Compuvision Australia Pty Ltd is not a licensed investment advisor and so the information and results obtained by using this software is for educational purposes and of the nature of a general comment and neither purports nor intends to be specific trading advice The information obtained from using this software should not be considered as an offer or enticement to buy sell or trade and is given without regard to any particular person s investment objectives financial situation and particular needs This software is not designed to replace you
16. tly contact the Licensee to announce the new release The Licensee can then at their option upgrade to the latest version or to continue to use the older version the Licensee already has In the latter case the Licensee will no longer be entitled to technical support until the Licensee has upgraded to the latest version The Vendor reserves the right to charge an upgrade fee in the case of major new enhancements or additions to the Software This major new version will then start a new version line which will use version numbers Copyright 2000 2002 by Compuvision Australia Pty Ltd All Rights Reserved Page 4 http Awww compuvision com au AN 1 Creating a Portfolio Security List in Metastock the Easy Way clearly distinguishable from the old version line The Licensee has no obligation to upgrade to the new version line You must not attempt to reverse compile modify translate or disassemble the Software in whole or in part You must not run the Software under a debugger or similar tool allowing you to inspect the inner workings of the Software The Software remains the exclusive property of the Vendor Any Licensee which fully complies with the terms in this license agreement may use it according to the terms of this license agreement You must not give copies of the Software or your license key to other persons or entities If you have received a download password or an URL with an embedded password for downloading the Software

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