Use Screener to Find Potential Splits?

Use Screener to Find Potential Splits?

Dave W.
2014-02-25 19:08:46

I'm attempting to use the screener to identify splits in symbols I'm interested in so I can apply those splits using the built-in QuantShare split functionality. I've populated the split custom database and come up with the following screener code:

BarsToEvaluate = 500; // Look at the last 500 bars for splits
SplitRatio = GetData('splits', 'ratio', Zero);
filter = hhv(SplitRatio , BarsToEvaluate );

AddColumn('Ratio', GetData('splits', 'ratio', LastData));
AddColumn('Announced', GetData('splits', 'announced', LastData));
AddColumn('Date', GetData('splits', 'Date', LastData));

This screener code seems to properly identify splits and returns the split ratio as expected, but I can't get it to return the other column values (i.e., the announced column and the Date column) from the custom split database. Can you help?

Thanks,
Dave

QuantShare
2014-02-26 13:01:13

Hi Dave,

Make sure the "announced" column exists. If it is a "string" then use: GetDataString('splits', 'announced', '')

To get the date, use "date()" function. This is because the custom database data is synchronized with the quotes data.

Dave W.
2014-02-26 19:22:22

Hi and thanks for the suggestions - I validated that the database and field exist, and the field is a string. I'm happy to share this code on the server if I can get it working, but it isn't there yet.

I think what is happening is I'm able to identify the highest SplitRatio using the hhv function, but I don't know how to identify the same bar for the remaining columns. For example, when I use the Date() function you mentioned, I get today's date, not the date when the condition occurred.

I've tried 50 different permutations of various functions (some shown commented-out below) to identify and present the date and announced fields on the same bar the condition (i.e., hhv(SplitRatio , BarsToEvaluate ) ) was true. How can I do that?

BarsToEvaluate = 500;
SplitRatio = GetData('splits', 'ratio', Zero);
SplitAnnounced = GetDataString('splits', 'announced', '');
filter = hhv(SplitRatio , BarsToEvaluate ) ;

AddColumn('Ratio', GetData('splits', 'ratio', LastData));
AddColumn('Announced', SplitAnnounced);
AddColumn('Date', date() );

// Various options tried but not returning desired values
SplitAnnounced = GetDataAdv("splits","announced","","hhv(SplitRatio,BarsToEvaluate)");
//AddColumn('Announced', LastNotNullValue(SplitAnnounced) );
//AddColumn('Announced', LastValue(SplitAnnounced) );
//AddColumn('Announced', GetDataAdv('splits', 'announced', '', 'last');
//AddColumn('Announced', GetDataString("splits", "announced", '' ));
//AddColumn('Announced', SplitAnnounced );
//BarWhenSplitHappened = BarsSince( hhv(SplitRatio , BarsToEvaluate ) ==1 );
//AddColumn('BarNum', BarWhenSplitHappened);

QuantShare
2014-02-27 11:58:54

Best Answer

Hi Dave,

First, download this function to reference previous value of "string" variables: RefString.

To get the date of last split ratio, type:

date1 = refstring(date(), barssince(SplitRatio));

To get the last split ratio type:

splitratio1 = ref(SplitRatio, NaNtoZero(barssince(SplitRatio), 1));

RefString (by QuantShare, uploaded several months ago)

No notes

Dave W.
2014-02-27 17:47:04

Excellent. Thanks for the new function. I've shared / uploaded the updated screener script which is worked perfectly now.

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