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OmniScan
Omniscan to filter out sector / industry group
21 replies, 2413 viewings
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OmniTrader Upgrade Forums
OmniScan
Omniscan to filter out sector / industry group
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Last Activity 3/11/2022 10:09 PM 21 replies, 2413 viewings |
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TonyJ Regular  Posts: 59 Joined: 12/11/2003 Location: Marietta, GA  User Profile |
For example, create a scan of S&P 500 stocks that does not include the energy sector. I know there are Zacks groups such as ZG015 but I can't figure out how to create an Omniscan that would filter out stocks in the Zacks group. Alternatively, I have created a custom group of energy stocks. Is there a way to filter out stocks that are found in a custom group? | ||
| Jim Dean Sage   Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
Group(Symbol$) <> zackgrroupnumber … or sector() or subgroup() | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
Using Group(Symbol$) <> "ZG015" produced an Invalid token 'Symbol$' in expression error. Tried $Symbol in place of Symbol$ but got the same error. Tried Symbol (no dollar sign) but got a Visual Basic compiler error saying Group is not declared. Will attach screen shots...  Attached file : OmniScan1.jpg (55KB - 282 downloads) Attached file : OmniScan2.jpg (47KB - 265 downloads) Attached file : OmniScan3.jpg (69KB - 271 downloads) | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
I thought that they had included those functions in the Zacks upgrade. Hmm. I don’t recall offhand for sure, but I think that all zacks groups have a long fixed length symbol name such as ZG12345678. Not at pc right now so I can’t check but it should be easy to. If so, you can construct a rule based either on the number of characters or the prefix or both. Here is an example but you’ll have to tweak it for the actual Zacks ID structure: To *only allow* Zacks symbols, use this: Left$(Symbol,2) = “ZG” and len(symbol) = 10 To *NOT allow* Zacks symbols, use this: Left$(Symbol,2) <> “ZG” or len(symbol) < 10 I used “MG” and it’s len = 3,4,5 to ID MG Sectors, Groups and Subgroups. IIRC, the ZG’s all are the same length - but again, easy to check from the pencil Omniscan table. [Edited by Jim Dean on 2/23/2021 3:41 PM] | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
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| Keith Parsons Regular Posts: 76 Joined: 6/28/2009 Location: Durban, South Africa User Profile |
If support do give you a solution on Zacks - kindly post it. Many thanks | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
OT Support said they were not aware of a way to filter out a Zacks group from an OmniScan. If they come back with a way to do so, I will post it here. Tony | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
For a Focus List (or OScan Population) that has a mix of Zacks ZG######### symbols and other tradeable symbols, here are some rules that allow you to exclude various categories of the Zacks symbols, for use in a filter block or OmniScan: To exclude all Zacks averages: not( left(Symbol,2) = "ZG" ) To exclude only Zacks sectors: not( left(Symbol,2) = "ZG" and len(Symbol) = 5 ) To exclude only Zacks groups: not( left(Symbol,2) = "ZG" and len(Symbol) = 8 ) To exclude only Zacks subgroups: not( left(Symbol,2) = "ZG" and len(Symbol) = 11 ) To exclude all Zacks except sectors: not( left(Symbol,2) = "ZG" and len(Symbol) >= 5 ) To exclude all Zacks except subgroups: not( left(Symbol,2) = "ZG" and len(Symbol) >= 5 and len(Symbol) <= 8 ) To exclude all Zacks except groups: not( left(Symbol,2) = "ZG" and (len(Symbol) = 5 or len(Symbol) = 11) ) NOTE: to filter FOR those various symbols ... ie ONLY allow the Filter or Scan to include Zacks symbols of one form or another, simply remove the "not( ... )". [Edited by Jim Dean on 3/2/2021 10:32 AM] Attached file : Zacks symbol name sample.png (97KB - 721 downloads) | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
Yes, if I'm using "All Zacks Industry Groups" as the starting population in Omniscan then the various search criteria that you suggested will work to select (or filter out) the various groups and give you a symbol list of Zacks groups (e.g. ZG001, ZG001002, etc.) However, what I am trying to accomplish is to take a stock list as the starting population (e.g. S&P 500, Nirvana lists like Large Cap stocks) and then try to filter out those stocks that belong to a certain sector. For example, let's say I want a population of stocks that are in the S&P 500 and are NOT energy stocks. I may be wrong but I don't think there's a way to do this in an OmniScan. Seems like we would need a different reserved variable (instead of Symbol) to return the Zack group or subgroup that a stock symbol belongs to in order to filter a starting population that consists of a list of stocks. But you are correct that there are ways to get lists of Zacks groups using the methods you suggested. There's plenty of value in that, it's just not what I'm looking to do. | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
I actually did solve this problem for my MTV routine by creating a master excel csv data file that mapped all the supported stock symbols to the MG sector, group, subgrp ... so that by dint of a bunch of horsing around code, I could determine any of the three associated MG symbols, for whatever stock is current. This worked well, and fast. The problem of doing this for Zacks is that unlike MG, which has not been updated for about a decade, the mapping of stock symbols to the ZG symbols can change literally every day, to some degree or another. It would be an exercise in futility to try to maintain the excel "map" for Zacks, on account of that. HOWEVER, I do have a sorta-likely-to-work-around for you. As I understand it, you have a particular Zacks Sector or Group or Subgroup that you want to AVOID ... that is, any "current" stock symbol that is in the verboten ZG should be skipped and not processed. Is that correct? Second question: is it usually just one ZG######### that you're trying to avoid, or is it a collection of three or four or more of them? And finally ... are you using daily bars or intraday? (hint - my trick is much more likely to work for daily bars ... although maybe I can implement it for intraday with some hassling around. PS: the solution uses this capability, in a rube-goldberg kinda way [Edited by Jim Dean on 3/2/2021 1:56 PM] | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
I agree, functions like Sector(Symbol), Group(Symbol) and SubGroup(Symbol) would be nice to have. Normally when you add groups to the starting population, the stocks from each group are added together to make the initial population list. Another approach in place of the functions would be to have a means of specifying an exception population. Any stocks found in the exception population would be removed from the starting population. Don't know, that may be more difficult an approach that the new functions though. Certainly would require a UI change as well as some logic changes. On the plus side, I think it would be more visually intuitive. | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
However let’s try to find a solution that works with the current capabilities. Let’s say that first, you Add all symbols from whatever canned lists you want, to the Population area. Now, if I understand correctly, it would do the trick if you could apply a technical filter that blocks any symbols that are in some specified Zacks list. Is that correct? I think I can create an “indicator” function that returns true false, which would have input parameter(s) which allow you to specify the ZG#(s) that you want to *block* - so any symbol from the population that is in the spec’d group would NOT end up in the FL. If that would completely solve your problem, let me know *how many* such ZG blocking spec’s you’d want to apply together (max). Keep in mind that you can block an entire Sector with a single 2-digit code, or a full Group with a 5-digit input … rather than having to list every included SubGroup # (although you could do that if you choose, only blocking certain subgroups in a group). And, presuming this works nicely, would it be worth a few bucks for the indicator? It would be usable anywhere OmniScript rules can be input, for OT or VT (but not in the N cloud). | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
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| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
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| Hafnium Regular Posts: 74 Joined: 1/1/2004 Location: Fairfax, VA User Profile |
I was trying to develop a scan last year that would only allow the top 3 ranked sectors to download. I never got the scan/indicator to work right ( I am not a programmer). If anyone figures out how to do that, I would be appreciative... However I did figure out how to manipulate Zack group downloads (its not exact and seems to miss a stock or to, but it works fairly well). To only let Energy Stocks through, use GetClose("SECTOR") = GetClose("ZG012") To only allow all Non Energy Stocks to pass use GetClose("SECTOR") <> GetClose("ZG012") Give it a try and see if it meets your needs. | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
There’s also a way to search for the highest ranks for Zacks sectors etc and exclude symbols unless they are in that universe. Unfortunately, unless some tricksy code is used, any function that does that will likely run pretty slowly. | ||
| Hafnium Regular Posts: 74 Joined: 1/1/2004 Location: Fairfax, VA User Profile |
It would probably be better to check for say the C[1] and the Open together..... Good idea. The new OT2021 2D prerelease added a new parameter to the MT function. Previously, MT("RSI(10)","D", X), where X was 1 (dynamic) or 2 (previous bar). Parameter 3 is added. " it can now be set to 3 in order to use the previous bar with actual data instead of building the data from the current timeframe. This parameter "may" allow you to retrieve the Zack data from the intraday timeframe - at least its worth a try.... Finally - When I attempted to download only the 3 top sectors (automated) - the scan took about 3 or 4 hours to complete. I finally figured out that my simple code was actually trying to calculate and rank every sector for every stock it checked, it was non-workable.... [Edited by Hafnium on 3/4/2021 4:01 PM] | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
I haven’t tried using the new MT option yet. My understanding is that the Zacks data series, and certainly the ZR and ZIR ranks, are solely daily-bar based (like MG’s were/are). If that’s true, then when you are using say 10m bars, you’d need to implement MT extensively, to do whatever you need to do re Zacks info. Part of the tricksy stuff to speed things up would involve writing csv files and then reading them back in, to avoid repetitive work for each symbol. [Edited by Jim Dean on 3/4/2021 4:26 PM] | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
I'll test it out this weekend. | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
I did some more testing and it appears that GetClose("ZG012") works but GetClose("SECTOR") always returns 0. If I use GetClose("SECTOR") = 0 as a criteria rule, all of the stocks in the population list are returned. I use GetClose("SECTOR") <> 0, none of the stocks in the population list are returned. Not sure if I'm doing anything wrong but that's what I'm seeing. Thanks for all your efforts though. | ||
| Jim Dean Sage Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
[Edited by Jim Dean on 3/6/2021 1:29 PM] | ||
| TonyJ Regular Posts: 59 Joined: 12/11/2003 Location: Marietta, GA User Profile |
Thanks for your patience Jim, I appreciate the help. [Edited by TonyJ on 3/6/2021 4:03 PM] Attached file : Doh.jpg (9KB - 474 downloads) |
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