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RE: [amibroker] Re: Creating IM200 indices - JAYSON



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Thanks 
for posting this. So basically you are taking roc(c,1) for your close. but why 
not carry this to your OHL data? I wonder if this could now been done in pure 
AFL? 
 
 Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: downhillspeedster 
[mailto:downhillspeedster@xxxxxxxxx]Sent: Friday, April 25, 2003 
12:57 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] 
Re: Creating IM200 indices - JAYSONNote 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 &#8211; 
Ref(C,1))/Ref(C,-1). DO NOT USE (C &#8211; 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@xxxx]> 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,>  ) ;> > --- 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@xxxx]> >   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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