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1. I tried day over day % delta for OHL and the charts are much
uglier than adding today's avg OHL range to the day over day close
delta; plotted using candles, the HL tails get much longer.
2. Of course, with afl looping, this can now be done in pure AFL.
This exercise is left to the student ;)
3. Again, the magic formula is (C – Ref(C,-1))/Ref(C,-1)...if this is
equivalent to ROC, use ROC for tidier code.
downhillspeedster
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> 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
> -----Original Message-----
> From: downhillspeedster [mailto:downhillspeedster@x...]
> Sent: Friday, April 25, 2003 12:57 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Creating IM200 indices - JAYSON
>
>
> 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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