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Here are two afl code fragments to create an index based on average
day over day % change of each component in the index and display the
same index in Indicator Builder. It is the only correct way to build
an unweighted index (see Fosback's classic 'Stock Market Logic' for
more info).
Enjoy!
downhillspeedster
AddtoComposite Code Fragement to Create an Index
// Here we do an arithmetic market average
CompFlag = 3;
Temp28 = "~" + MarketSymbol + "_Indx" ;
CloseDelta = (C-Ref(C,-1))/Ref(C,-1);
OpenDelta = (O-C)/C;
LowDelta = (L-C)/C;
HighDelta = (H-C)/C;
AddToComposite(CloseDelta, Temp28 , "C" , flags = LastValue
(CompFlag));
AddToComposite(OpenDelta, Temp28 , "O" , flags = LastValue
(CompFlag));
AddToComposite(LowDelta, Temp28 , "L" , flags = LastValue(CompFlag));
AddToComposite(HighDelta, Temp28 , "H" , flags = LastValue
(CompFlag));
// add one to Open Interest field (we use this field as a totals
counter)
AddToComposite( 1, Temp28 , "I" , flags = LastValue(CompFlag));
// ****
Indicator Builder code fragment for reconstructing the index:
InitialIndexValue = 1000; // USER DEFINED INDEX INITIAL VALUE
// set the value of the index for the bar prior to the first bar
_N(Temp = "~" + MarketSymbol + "_Indx" );
NoDataBit = IIf (IsEmpty(Foreign(Temp,"I")) OR IsEmpty(Foreign
(TempV,"C")) OR
(Foreign(Temp,"I")) == 0 OR (Foreign
(TempV,"C")) == 0 , 1, 0 );
IndxClose = IIf(NoDataBit, -1E10, (Foreign(Temp, "C")/ Foreign
(Temp,"I")) );
IndxLow = IIf(NoDataBit, -1E10, (Foreign(Temp, "L")/ Foreign
(Temp,"I")) );
IndxHigh = IIf(NoDataBit, -1E10, (Foreign(Temp, "H")/ Foreign
(Temp,"I")) );
IndxOpen = IIf(NoDataBit, -1E10, (Foreign(Temp, "O")/ Foreign
(Temp,"I")) );
EnableScript("VBscript");
<%
' //VBscript code begins here
' /********************************************************
************************************/
'// set the value of the index for the first bar
InitialIndexValue = AFL("InitialIndexValue")
'// the below error check fixes the scan if the current stock's first
bar is > the date range selected
'// by the user as the first bar. Without this error check, you get
the run time error:
'// 'subscript out of range: k';
'// The real solution is to change the current stock to a stock with
valid data for the date range selected
vbStartBar = AFL("mystartbar")
If vbStartBar = 0 Then
vbStartBar = 1
End If
vbClose = AFL("IndxClose")
vbOpen = AFL("IndxOpen")
vbLow = AFL("IndxLow")
vbHigh = AFL("IndxHigh")
vbVol = AFL("IndxVol")
ResultsClose = AFL("IndxClose")
ResultsOpen = AFL("IndxOpen")
ResultsLow = AFL("IndxLow")
ResultsHigh = AFL("IndxHigh")
ResultsVol = AFL("IndxVol")
Redim ResultsClose(Ubound(VbClose))
Redim ResultsOpen(Ubound(VbClose))
Redim ResultsLow(Ubound(VbClose))
Redim ResultsHigh(Ubound(VbClose))
For m = Lbound(VbClose) to (vbStartBar-2) Step 1
ResultsClose(m) = InitialIndexValue
ResultsOpen(m) = InitialIndexValue
ResultsLow(m) = InitialIndexValue
ResultsHigh(m) = InitialIndexValue
Next
k = vbStartBar-1
ResultsClose(k) = (vbClose(k)+1) *InitialIndexValue
ResultsOpen(k) = (vbOpen(k)+1)*InitialIndexValue
ResultsLow(k) = (vbLow(k)+1)*InitialIndexValue
ResultsHigh(k) = (vbHigh(k)+1)*InitialIndexValue
For i = vbStartBar to Ubound(VbClose) Step 1
ResultsClose(i) = (vbClose(i)+1)*ResultsClose(i-1)
ResultsOpen(i) = (vbOpen(i)+1)*ResultsClose(i)
ResultsLow(i) = (vbLow(i)+1)*ResultsClose(i)
ResultsHigh(i) = (vbHigh(i)+1)*ResultsClose(i)
Next
AFL.Var("AvgClose") = ResultsClose
AFL.Var("AvgOpen") = ResultsOpen
AFL.Var("AvgLow") = ResultsLow
AFL.Var("AvgHigh") = ResultsHigh
'//
**********************************************************************
**********************/
%>
PlotOHLC( AvgOpen, AvgHigh, AvgLow, AvgClose, " ", color=BarColors,
style = styleCandle ) ;
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
>
> Markus,
>
> see answers below...
>
> Hello Jayson,
>
> don´t ya worry!
>
> You´ve already helped me a great deal in understanding the "basix"
of
> Addtocomposite.
>
> 1./ somehow my indices have been stored in -->markets-->market253
AND group
> 253. While I understand the latter, I don´t understand the former.
Is this a
> MUST?
>
> I think markets 253 is equivalent to All your stocks and tickers. I
am not
> sure what you are doing but I tend to break that group into watch
lists for
> testing and explorations. For instance you could create a watch
list of Nas
> 100 stocks. This watchlist would contain stocks that reside in the
new list
> AND market 253........
>
> 2./ I used the "x" option for the field code, figuring that would
enable me
> to make a bar chart from it (since OHLC are updated). But this is
NOT the
> case. I get only. No way to produce a bar chart as in HGS/QP2 from
it?? I
> thought of generating 4 ATC´s (one for Open, one for High etc.) but
how to
> bring those together in one index bar for each trading day
> (((
>
> Yes you may plot candles but think about what you were trying to
do....
>
> AddToComposite(C,sym,"X"); would not this populate closing value
through out all the fields? try......
>
>
> AddToComposite(C,sym,"C");
> AddToComposite(O,sym,"O");
> AddToComposite(H,sym,"H");
> AddToComposite(L,sym,"L");
> AddToComposite(1,sym,"V");
>
> Plotting your ticker now will show the appropriate OHLC data.
Unfortunately if you have any holes in your data they may cause
misleading candles. By dividing the values by the number of
calculations in each composite you can smooth these errors. To plot
this create a custom indicator
>
>
> C= c /V;
> O= o /V;
> H= h /V;
> L= L /V;
>
> Plot(C,"Sector Index",colorWhite,styleCandle);
>
> or better yet..If you want to plot your index in the same chart as
a component stock try........
>
> sym="~"+SectorID(1);
> C=Foreign(sym,"C")/V;
> O=Foreign(sym,"o")/V;
> H=Foreign(sym,"h")/V;
> L=Foreign(sym,"l")/V;
>
> Plot(C,"Sector Index",colorWhite,styleCandle); For separate
window or add |styleownscale for the same window
>
> AB will determine what sector (or industry in your case) the stock
belongs to then automatically plot the index for that stock. I use
this approach daily to compare the stocks RSI and the sectors or the
stocks momentum and the sectors or to measure the stocks correlation
to the sectors etc
>
>
>
>
>
> 3./ It makes me wonder that the newly created indices (in our case
the IM200´s) have to be updated EVERY day MANULY(running the scan).
Is there no workaround for this (i.e. store the calculated day
somewhere and onl update the LAST session as with regular stock
data??).
>
> The calculations needed require a look at your whole universe. Just
save your scan and run it... think of it as part 2 of your daily
update. It take but a moment. IMO this feature alone is worth the
price of admission to AB. I used to do all this work as a QP scan
then export to excel, sort, calculate and import to metastock. If I
missed a day I had to rewrite the scan to get yesterdays data etc,
etc. With AB the composite is re-created each day so if I miss a day,
no problem. If QP makes an adjustment, no problem.
>
> I have one scan that creates all my sector composites, all my
industry composites, and several market breadth composites. It takes
my old P600 system about 2 minutes to do the work then AB even sends
them to the appropriate watch list for further analysis. Super
feature........
>
> Regards,
>
> jayson
>
> Highly appreciate your help!!!!
>
> Thanx
>
> Markus
> ----- Original Message -----
> From: Jayson
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, April 24, 2003 6:38 AM
> Subject: RE: [amibroker] Creating IM200 indices - JAYSON
>
>
> JMarkus,
>
> I have been gone most of the afternoon. Sorry to leave you
hanging. Answers below......
>
> Jayson
> -----Original Message-----
> From: funnybiz@xxxx [mailto:funnybiz@x...]
> Sent: Wednesday, April 23, 2003 5:26 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Creating IM200 indices - JAYSON
>
>
> Anthony,
>
> thanks for s
> tepping in here.
>
> If I may:
>
> 1./ does Jayson´s SYM variable refer to the array part of the
> addtocomposite
> function. If so, why is it not put in parenthesis (though this
results in
> an
> error).
>
> The line
>
> sym="~"+sectorid(1)
>
> looks at each stock you scan and places "~" + the sector ID for
that stock
> in its place. If, for instance the stock resides in the Utilities
Sector
> then AB notes this and returns sym= "~Utilities". Addtocomposite
grabs this
> shorthand and Therefore the next line
> AddToComposite(C,sym ,"C"); becomes addtocomposite
(c,"~utilities","C");
>
> This is repeated for each stock scanned. addtocomposite then
simply looks
> to the stocks sectorid and places the data in the appropriate ticker
>
>
>
>
> 2./ sym="~"+SectorID(1);// this does sectors for industry groups
use
> industryid(0)
> I don´t understand Jayson´s remark here: WHICH stocks does that
include? I
> want to include all stocks belonging to the same of the 200
industry
> groups.
>
> Sectorid(1) returns the 12 sectors (Capital goods, utilities,
financials
> etc) If you want industry groups then replace that line with
>
> sym="~"+industryID(1);
>
> Ab will look at all the stocks in your scan. All the stocks with
with the
> same industryID will be counted in the appropriate composite Ticker.
>
> 3./ if I wanted to create an index for all the 200 used industry
groups
> (Quotes Plus Two), would I have to write this code 200 times??
>
> No... See above... AB does all the grunt work for you...
>
> 4./ would I have to run the scan EVEREY day to bring my
Addtocomposites up
> to date?
>
> Yes. the scan will create/update all 200 industry groups and
store them in
> group 253 (the default location for your Composites. You may also
create
> watch lists of these tickers to separate them. For instance I have a
> watchlist with just the 12 sectors, a second for the industry group
tickers
> etc....
>
> 5./ I added "flag=16" which gave me an error. How do I have to
specify if
> I
> want to use addtocomposite in exploration mode?
>
> flag=16 is a description.... just add comma 16
> AddToComposite(C,sym ,"C" ,16 );
>
>
>
> Many thanks for your help!
>
> Markus
>
> ----- Original Message -----
> From: "Anthony Faragasso" <ajf1111@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, April 23, 2003 8:37 PM
> Subject: Re: [amibroker] Creating IM200 indices - JAYSON
>
>
> > Also...do not forget to add this dummy line...which is needed
for
> scanning.
> >
> > Buy=0;
> >
> >
> >
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