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<SPAN
class=804274505-04052003>Markus,
<SPAN
class=804274505-04052003>
See
between lines..
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: funnybiz@xxxxxx
[mailto:funnybiz@xxxxxx]Sent: Saturday, May 03, 2003 9:06
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
JAYSON: Creating IM200 indices
Jayson,
regarding your kind aswer a while ago, I´d still
like to use your expertise.
A few things still aren´t clear to me:
1./don´t I have to divide the composite
values of open, high, low and close (each) thru the number of
symbols computed to get an AVERAGE price? Otherwhise, the price of all
securities maybe just summed up but no AVERAGE price would be computed,
right? Can´t I specify this in addtocomposite directly instead of having to
create a separate indicator???????<SPAN
class=804274505-04052003>
<SPAN
class=804274505-04052003>
<SPAN
class=804274505-04052003>How would you do that? Since the composite does not
know the total number of stocks until the scan is complete. This is
why we use addtocomposite(1,"V") to store the count
to Volume
2./ You mentioned data holes and recommended
to smoothem by dividing by "V". Isnt´that exactly what I´m asking at 1./
above?Insn´t there another flaw that we include stocks to our composites that
have differing lastvalue(cum(1)) values?? <SPAN
class=804274505-04052003>
<SPAN
class=804274505-04052003>
<SPAN
class=804274505-04052003>See my answer above. W e take an average to smooth out
jumps in price, a big gap on earnings etc. Yes there is a flaw when we find
holes and now that flaw is addressed with Tomasz's new Database Purify
tool
Take for instance two stocks one of which has 200 bars and the
other has 400 bars of which the composite index is to be created.
Wouldn´t we then get weird data since the stock with only 200
bars would impact on the chart after 200 (actually 199) days??<FONT
color=#0000ff>
<SPAN
class=804274505-04052003>
You are
talking about new issues? Interesting..... yes a new issue would impact the data
as our new closing data will be added...... But would it be accurate to not
include those new tickers TODAY. Because today they do in fact contribute
to the composites move. This new data being added is also being mitigated by an
increase in the count when the ticker is added.
<SPAN
class=804274505-04052003>
If you
wanted to strip the new issues from the composite you could check for bars as a
filter using barsindex()= "Your minimum number" but I question if that
would be wise. Would you want to strip CSCO simply based on when it was
originally issued? It is too important today to simply ignore the stock. I guess
the real question is what are you doing with the data? Trading today or
yesterday? If you want to only include all stocks if they all existed at a given
date then you must first create a watchlist of stocks with a minimum number of
bars. You could initially explore the universe for Barindex() then sort the
results to see which stocks to include in your watchlist, or alternatively to
see at which point in history you wish to begin using the composite
data.....
<SPAN
class=804274505-04052003>
<SPAN
class=804274505-04052003>
Shouldn´t we thus check that all the stocks included in our
composite tickers have the SAME # of bars, i.e. ALL contribute to the index
EVERY day on the chart? Otherwhise the index chart could jump around and create
wrong impression similar to what you referred to as data holes,
right?
How could I specify that in my addtocomposite()?
3./ How could I admit only stocks to my indices with an
MA(vol,50)>20,000? By putting that in a filter IN FRONT of
the addtocomposite function or by using and IIF statement WITHIN the
addtocomposite statement ITSELF??<SPAN
class=804274505-04052003>
<SPAN
class=804274505-04052003>
Again I
would do it at the point of watchlist creation. Filter for the criteria and only
add those stocks meeting the criteria to your Master
watchlist
4./ I put the following code in a separate indicator window.
Note that I used PlotOHLC since I wanted bar charts<FONT color=#6600aa
face="Courier New">. The weird thing is that I get bar charts but in the tool
tip windwo, I get only the bars closing price!!! Why is that??? <FONT
color=#0000ff face=Arial><SPAN
class=804274505-04052003>
<FONT color=#0000ff
face=Arial><SPAN
class=804274505-04052003>
<FONT color=#0000ff
face=Arial>Since you have renamed OHLC and volume
you can simply Plot the data there is no need to use
plotOHLC...try
<FONT color=#0000ff
face=Arial><SPAN
class=804274505-04052003>
<FONT color=#0000ff
face=Arial>plot(c,"Group Index",
colorwhite,64);
<FONT color=#0000ff
face=Arial><SPAN
class=804274505-04052003>
<SPAN
class=804274505-04052003><FONT
color=#0000ff><SPAN
class=804274505-04052003>jayson
sym="~"<FONT
color=#6600aa face="Courier New">+<FONT color=#0000ff
face="Courier New">IndustryID<FONT color=#6600aa
face="Courier New">(1<FONT
color=#6600aa face="Courier New">);<FONT
color=#000000 face="Courier New">
C=<FONT
color=#0000ff face="Courier New">Foreign<FONT color=#6600aa
face="Courier New">(sym,<FONT color=#ff00ff
face="Courier New">"C"<FONT color=#6600aa
face="Courier New">);<FONT color=#000000
face="Courier New">
O=<FONT
color=#0000ff face="Courier New">Foreign<FONT color=#6600aa
face="Courier New">(sym,<FONT color=#ff00ff
face="Courier New">"o"<FONT color=#6600aa
face="Courier New">);<FONT color=#000000
face="Courier New">
H=<FONT
color=#0000ff face="Courier New">Foreign<FONT color=#6600aa
face="Courier New">(sym,<FONT color=#ff00ff
face="Courier New">"h"<FONT color=#6600aa
face="Courier New">);<FONT color=#000000
face="Courier New">
L=<FONT
color=#0000ff face="Courier New">Foreign<FONT color=#6600aa
face="Courier New">(sym,<FONT color=#ff00ff
face="Courier New">"l"<FONT color=#6600aa
face="Courier New">);<FONT color=#000000
face="Courier New">
V=<FONT
color=#0000ff face="Courier New">Foreign<FONT color=#6600aa
face="Courier New">(sym,<FONT color=#ff00ff
face="Courier New">"V"<FONT
size=2>);
PlotOHLC(<FONT
color=#000000 face="Courier New">O<FONT color=#6600aa
face="Courier New">,<FONT color=#000000
face="Courier New">H<FONT color=#6600aa
face="Courier New">,<FONT color=#000000
face="Courier New">L<FONT color=#6600aa
face="Courier New">,<FONT color=#000000
face="Courier New">C<FONT color=#6600aa
face="Courier New">,"Group
index",<FONT
color=#000000 face="Courier New">colorWhite<FONT
color=#6600aa face="Courier New">,<FONT color=#000000
face="Courier New">styleBar<FONT color=#6600aa
face="Courier New">);
Markus
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A href=""
title=jcasavant@xxxxxxxxxxxx>Jayson
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 24, 2003 4:04
PM
Subject: RE: [amibroker] Creating IM200
indices - JAYSON
<SPAN
class=678142113-24042003>Markus,
see
answers below...
<SPAN
class=678142113-24042003>
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?<FONT
color=#0000ff><SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003>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 :-((((<SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003>Yes you may plot candles but think about what you
were trying to do....
<SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003><FONT
face=Arial> AddToComposite(<FONT
color=#000000>C<FONT
color=#282828>,sym,"X"<FONT
color=#282828>); would not this populate closing value through out all
the fields? try......<FONT
color=#0000ff>
<SPAN
class=678142113-24042003>
<FONT
color=#0000ff> <FONT
size=2>
AddToComposite(<FONT
color=#000000>C<FONT
color=#282828>,sym,"C"<FONT
color=#282828>);<FONT
size=2>
AddToComposite(<FONT
color=#000000>O<FONT
color=#282828>,sym,"O"<FONT
color=#282828>);<FONT
size=2>
AddToComposite(<FONT
color=#000000>H<FONT
color=#282828>,sym,"H"<FONT
color=#282828>);<FONT
size=2>
AddToComposite(<FONT
color=#000000>L<FONT
color=#282828>,sym,"L"<FONT
color=#282828>);<FONT
face=Arial>
AddToComposite(<FONT
color=#ff00ff>1,sym,<FONT
color=#ff00ff>"V"<FONT face=Arial
size=2>);<FONT
color=#0000ff>
<SPAN
class=678142113-24042003>
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
<SPAN
class=678142113-24042003>
<FONT color=#000000 face=Arial
size=2>
C=<SPAN
class=678142113-24042003> c /V<FONT
color=#282828><FONT
color=#0000ff>;<FONT
size=2>
O=<SPAN
class=678142113-24042003> o /V<FONT
color=#282828>;<FONT
color=#0000ff>
H=<SPAN
class=678142113-24042003> h /V<FONT
color=#282828><FONT
color=#0000ff>;<FONT
size=2>
L=<SPAN
class=678142113-24042003> L /V<FONT
color=#282828>;
<FONT color=#000000 face=Arial
size=2>
Plot(<FONT
color=#000000>C<FONT
color=#282828>,"Sector Index"<FONT
color=#282828>,<FONT
color=#000000>colorWhite<FONT
face=Arial>,<FONT
color=#000000>styleCandle<FONT
face=Arial size=2>);
or better yet..If
you want to plot your index in the same chart as a component stock
try........
<FONT
face=Arial>
sym="~"+SectorID(1<FONT
color=#0000ff face=Arial>);<FONT
color=#0000ff>
C=Foreign(sym,"C")/V<FONT
color=#0000ff face=Arial>;<FONT
size=2>
O=Foreign(sym,"o")/V<FONT
color=#282828>;<FONT
color=#000000>
H=Foreign(sym,"h")/V<FONT
color=#0000ff face=Arial>;<FONT
size=2>
L=Foreign(sym,"l")/V<FONT
color=#282828>;
Plot(<FONT
color=#000000>C<FONT
color=#282828>,"Sector Index"<FONT
color=#282828>,<FONT
color=#000000>colorWhite<FONT
face=Arial>,<FONT
color=#000000>styleCandle<FONT
size=2>);<SPAN
class=678142113-24042003> 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
<SPAN
class=678142113-24042003>
<IMG
align=baseline alt="" border=0 hspace=0
src="gif00275.gif">
<SPAN
class=678142113-24042003>
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??).<SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003>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.
<SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003>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........
<SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003>Regards,
<SPAN
class=678142113-24042003>
<SPAN
class=678142113-24042003>jayson
Highly appreciate your help!!!!
Thanx
Markus
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A href=""
title=jcasavant@xxxxxxxxxxxx>Jayson
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 24, 2003 6:38
AM
Subject: RE: [amibroker] Creating IM200
indices - JAYSON
<SPAN
class=855470704-24042003>JMarkus,
<SPAN
class=855470704-24042003>
I
have been gone most of the afternoon. Sorry to leave you hanging. Answers
below......
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: <A
href="">funnybiz@xxxxxx
[mailto:funnybiz@xxxxxx]Sent: Wednesday, April 23, 2003 5:26
PMTo: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
Re: [amibroker] Creating IM200 indices - JAYSON
Anthony,thanks for stepping in here.If I
may:1./ does Jayson´s SYM variable refer to the array part of the
addtocompositefunction. If so, why is it not put in parenthesis (though
this results in anerror).<FONT
color=#0000ff face=Arial size=2>
<FONT
size=2>The line
<FONT
size=2>
<FONT
size=2>sym="~"+sectorid(1)
<FONT
size=2>
<FONT
size=2>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 <FONT
face=Arial>
AddToComposite(<FONT
color=#000000>C<FONT
color=#282828>,sym ,"C"<FONT
color=#282828>); <SPAN
class=855470704-24042003> becomes
addtocomposite(c,"~utilities","C");
<FONT
color=#0000ff>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
useindustryid(0)I don´t understand Jayson´s remark here: WHICH
stocks does that include? Iwant to include all stocks belonging to the
same of the 200 industry groups.<FONT
color=#0000ff face=Arial size=2>
<FONT color=#0000ff
face=Arial>Sectorid(1) returns the 12 sectors (Capital goods, utilities,
financials etc) If you want industry groups then replace that line
with
<FONT color=#0000ff
face=Arial>sym="~"+industryID(1);
<SPAN
class=855470704-24042003><FONT color=#0000ff face=Arial
size=2>
<FONT color=#0000ff
face=Arial>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??<FONT
color=#0000ff face=Arial size=2>
<FONT color=#0000ff face=Arial
size=2>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 upto date?<SPAN
class=855470704-24042003><FONT color=#0000ff face=Arial
size=2>
<FONT
face=Arial>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 Iwant to use
addtocomposite in exploration mode?<FONT
color=#0000ff face=Arial size=2>
<FONT color=#0000ff face=Arial
size=2>flag=16 is a description.... just add comma 16
AddToComposite(<FONT
color=#000000>C,sym ,<FONT
color=#ff00ff>"C"<SPAN
class=855470704-24042003> <FONT
color=#ff00ff face="Courier New">,16 );
Many thanks for your
help!Markus----- Original Message -----From: "Anthony
Faragasso" <ajf1111@xxxxxxxx>To:
<amibroker@xxxxxxxxxxxxxxx>Sent: Wednesday, April 23, 2003 8:37
PMSubject: Re: [amibroker] Creating IM200 indices -
JAYSON> Also...do not forget to add this dummy line...which
is needed forscanning.>>
Buy=0;>>>> Send BUG REPORTS to
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