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<SPAN
class=922384520-17022003>Al,
That
is what is being done. Sectorid(1) returns the sector ID for each stock.
Example: Consumer Cyclical or Retail. The code creates 12 sectors indexes using
the data found in each associated stock. So the Consumer Cyclical index has been
created using only consumer cyclical stocks etc, etc. I used the Nas 100
as a small watchlist but in fact I am comparing each associated sector index
against each component stock within the Nas 100.
<SPAN
class=922384520-17022003>
Put
another way, I am comparing consumer cyclical stocks in the Nas 100 against the
consumer cyclical index created from a larger universe of stocks. I am repeating
the process for each Sector so any given Pair is comprised of a stock in a given
Sector and the index of that Sector. Clicking the heading row sorts the
best/worst performers for more careful consideration.
<SPAN
class=922384520-17022003>
The
concept was born from work I have been doing with Sectors. I like to plot the
sectors RSI on top of the stocks RSI and the sector index on top of the normal
price plot. Often times the Sectors can lead the individual stock which
offers a bit of a heads up. Dimitris presentation made me consider the use of
Pairing in a more systematic approach.
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Avcinci
[mailto:avcinci@xxxxxxxxxxx]Sent: Monday, February 17, 2003 3:15
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Stock pairs
Jayson,
If you are developing your buy/sell/short/cover signals using SectorID(1)
(I don't know what sector that is), then applying the signals to individual
Nasdaq 100 stocks, why don't you apply the signals to the individual stocks that
comprise SectorID(1) rather than the Nasdaq100 stocks? Isn't that apples and
oranges? It seems it would be more in keeping with your intent that you were
explaining at the beginning of your message to apply the signals on the stocks
contained within the particular sector that gave the signals rather than on
stocks in a completely unrelated index like the Naz100.
Al
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A href=""
title=jcasavant@xxxxxxxxxxxx>Jayson
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>1ami
Sent: Monday, February 17, 2003 2:49
PM
Subject: [amibroker] Stock pairs
Building on the
work that Dimitris presented this week end it occurred to me that using a
Sector Index as one side of the "Pair" would make a lot of sense. While many
stocks can lead a given index many will also trail. By getting signals from
the index the stock belongs to we can take advantage of those stocks that tend
to trail the index by a few days. With Addtocomposite it is simple to create a
series of indexes based on any universe (S&P500, nasdaq, or custom
universe). First we must build the composites. Scan the universe of your
choice to build these custom indexes...
<FONT
face=Arial>
Buy=1<FONT
color=#282828>;<FONT
color=#000000>
isym="~i"+SectorID(1<FONT
color=#000000>);<FONT
size=2>
AddToComposite(C<FONT
face=Arial>,isym,"C"<FONT
color=#000000>);<FONT
size=2>
AddToComposite(O<FONT
face=Arial>,isym,"O"<FONT
color=#000000>);<FONT
size=2>
AddToComposite(H<FONT
face=Arial>,isym,"H"<FONT
color=#000000>);<FONT
size=2>
AddToComposite(L<FONT
face=Arial>,isym,"L"<FONT
color=#000000>);<FONT
size=2>
AddToComposite(V<FONT
face=Arial>/1000,isym,"V"<FONT
color=#000000>);
<SPAN
class=040455918-17022003>From here you can easily apply the system of your
choice to the index data while making the actual buy/sell on the other side of
the Pair. Over the last few days I have experimented with several systems
ranging from a simple SAR system to RSI systems to moving average
systems, Running the various systems against the Nasdaq 100 I found
system after system capable of producing 100% or better (some MUCH
better) returns on the top 8 or 10 stocks. Here is a very simple
example......
<SPAN
class=040455918-17022003>
<SPAN
class=040455918-17022003> <FONT
color=#000000>
symbol="~i"+SectorID(1<FONT
color=#282828><FONT color=#000000 face=Arial
size=2>);
C=<FONT
color=#0000ff>Foreign(symbol,<FONT
color=#ff00ff>"C");<FONT
color=#000000>
O=<FONT
color=#0000ff>Foreign(symbol,<FONT
color=#ff00ff>"o");<FONT
color=#000000>
H=<FONT
color=#0000ff>Foreign(symbol,<FONT
color=#ff00ff>"h");<FONT
color=#000000>
L=<FONT
color=#0000ff>Foreign(symbol,<FONT
color=#ff00ff>"l"<FONT face=Arial
size=2>);
<FONT
face=Arial>
Plot(SAR(),"SAR",IIf(SAR()>C<FONT
face=Arial>,1,9),styleDots<FONT
color=#000000 face=Arial>);<FONT
color=#0000ff>
Plot(C<FONT
face=Arial>,"",colorWhite<FONT
face=Arial>,styleCandle<FONT
color=#000000 face=Arial size=2>);
Buy=<FONT
color=#0000ff>Cross(<FONT
color=#000000>C,<FONT
color=#0000ff>SAR());<FONT
color=#000000>
Sell=<FONT
color=#0000ff>Cross(<FONT
color=#0000ff>SAR(),<FONT
color=#000000>C<FONT color=#282828 face=Arial
size=2>);
Buy=<FONT
color=#0000ff>ExRem(<FONT
color=#000000>Buy,<FONT
color=#000000>Sell);<FONT
color=#000000>
Sell=<FONT
color=#0000ff>ExRem(<FONT
color=#000000>Sell<FONT
color=#282828>,Buy<FONT
color=#282828>);
<FONT
face=Arial>
PlotShapes(IIf(Buy<FONT
face=Arial>,shapeUpArrow<FONT
face=Arial>,shapeNone)
,colorBrightGreen<FONT color=#000000
face=Arial>);<FONT
face=Arial>
PlotShapes(IIf(Sell<FONT
face=Arial>,shapeDownArrow<FONT
face=Arial>,shapeNone),9<FONT
color=#282828>);
<SPAN
class=040455918-17022003>This is Very simplistic system with very few
parameters yet when run on the Nasdaq 100 it returned some impressive initial
results...
<SPAN
class=040455918-17022003>
<SPAN
class=040455918-17022003><IMG align=baseline alt="" border=0 hspace=0
src="gif00041.gif">
<SPAN
class=040455918-17022003>
<SPAN
class=040455918-17022003>The Universe I use to build the Indexes consists
of a little over 700 stocks and is based on fundamental as well as price
and volume data. While there are certainly questions left to be answered It
would seem this process holds promise.........
<SPAN
class=040455918-17022003>
<SPAN
class=040455918-17022003>Have fun with
it!
<SPAN
class=040455918-17022003> <FONT color=#0000ff
face=Arial size=2>Jayson
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