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I should have been a bit clearer in my first post. Thanks to Peter's
comments, I can make a couple clarifications:
> The first problem I see is that QQQ didn't start trading until
early 1999 so
> your study will not work with QQQ if you go back to 1985.
I've already done the back testing of the QQQ from its start in March
1999 using an indicator batch of about 50 stocks. That was done with
a spreadsheet. The results are encouraging but there was one drawdown
of over 30% in the two and half years of QQQ history. If such a
drawdown only occurs every couple of years, the method may be
workable, but not if it occurs every year. So I want to use the
Nasdaq 100 index as a proxy for the QQQ so to get 10 to 15 year test
period to see how often the indicator might fail miserably.
Comparison of the proxy results and those for the QQQ results for the
overlapping period (March 1999 to the present) should confirm that
the Nasdaq 100 is a reasonable proxy for the longer test.
> I think what you would want to do is make a new composite
> ticker with a list of stocks. There is a newsletter that explains
how to do
> this.
No, I really don't want a composite ticker of a new list of stocks.
That would only measure the variations of the list as a group,
but I want to measure the variation of each stock and then total up
the individual variations (+1 if it is positive no matter how large,
or -1 if negative). Since the indicator is based on the direction of
the moves not their magnitude, a composite of the stocks would not
work.
What I am trying to get is an overbought/oversold indicator based on
the movement of individual stocks. My reference to a ticker in the
pseudo code probably confused matters on this. Given my limited
undestanding of AFL, the only way I can see to store the results of
indicator calculations would be to put them into a stock like data
array. Amibroker would think it was a stock, but I'd know that that
the data in the Open, High, Low, Close, etc were aspects of the
indicator and program the buy/sell conditions according.
Why am I using a work around of storing indicator results in a stock
like data list? Good question. I'm not sure if I need to, but
it would save Amibroker from having to recalculate a rather long
and set of calculations for multiple back tests. Perhaps it would
best to just let Amibroker recalculate the indicator fresh each time.
Or maybe, I should just go back to an Excel spreadsheet to create the
indicator. It would then be a simple task to have the spreadsheet
results saved as in a stock like format and imported when needed into
Amibroker using the foreign call feature.
Since it took a couple days to do a 50 stock indicator for two and a
half years in the spreadsheet, 10 years plus might take a week or
two. I was hoping that with the right coding Amibroker might do this
in less than a day. Any comments?
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