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Note I said UNWEIGHTED index...
>From `Stock Market Logic', Ch 75:
"After calculating the average percent change of each stock on a
given day, the index itself is derived as follows: Start with an
arbitrarily established index value; say, 50.00. If the average stock
appreciates 1%, the new index value is 1.01 times 50, or 50.50. By
similar logic, if the average stock declines 1%, the new index value
is equal to 0.99 times 50.00, or 49.50. This is an eminently fair and
reasonable method of calculating stock market indexes. Each stock
receives equal treatment, regardless of price or capitalization."
Daily percent change MUST be calculated as (C – Ref(C,1))/Ref(C,-1).
DO NOT USE (C – Ref(C,1))/C.
Fosback notes that any index calculated by dividing by today's close
suffers from a downward bias.
Hope this helps. Get the book. Its a classic.
downhillspeedster
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> downhillspeedster,
>
> Interesting. I am unfamiliar with Fosbacks book. Could you perhaps
summarize
> why this is the Only correct way?
>
>
> Jayson
> -----Original Message-----
> From: downhillspeedster [mailto:downhillspeedster@x...]
> Sent: Thursday, April 24, 2003 11:19 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Creating IM200 indices - JAYSON
>
>
> 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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