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Jayson,
right, I want the name of the index to be displayed
rather than a mere "Group Index"
Markus
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jcasavant@xxxxxxxxxxxx
href="">Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, May 05, 2003 4:12 PM
Subject: RE: [amibroker] JAYSON: Creating
IM200 indices
<SPAN
class=575040814-05052003>Marcus,
<SPAN
class=575040814-05052003>
On
your example does not the correct name "~Banking West" get displayed?? I am
not sure I understand your question...
2./ Is it possible to plot the
name of the corresponding group index rather than just "Group Index"?
Plot(c,"sym", stylebar) doesn´t do that
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jcasavant@xxxxxxxxxxxx
href="">Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, May 04, 2003 4:58
PM
Subject: RE: [amibroker] JAYSON:
Creating IM200 indices
<SPAN
class=804274505-04052003>Markus,
<SPAN
class=804274505-04052003>
<SPAN
class=804274505-04052003>See between lines..
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: <A
href="">funnybiz@xxxxxx
[mailto:funnybiz@xxxxxx]Sent: Saturday, May 03, 2003 9:06
PMTo: <A
href="">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?? <FONT
color=#0000ff><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??<SPAN
class=804274505-04052003>
<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
face="Courier New" color=#6600aa>. 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??? <SPAN
class=804274505-04052003>
<FONT face=Arial
color=#0000ff><SPAN
class=804274505-04052003>
<FONT face=Arial
color=#0000ff>Since you have renamed OHLC and
volume you can simply Plot the data there is no need to use
plotOHLC...try
<FONT face=Arial
color=#0000ff><SPAN
class=804274505-04052003>
<FONT face=Arial
color=#0000ff>plot(c,"Group Index",
colorwhite,64);
<FONT face=Arial
color=#0000ff><SPAN
class=804274505-04052003>
<FONT face=Arial
color=#0000ff><FONT
face=Arial><FONT face="Courier New"
color=#6600aa><SPAN
class=804274505-04052003>jayson<FONT
size=2>
sym="~"<FONT
face="Courier New" color=#6600aa>+<FONT face="Courier New"
color=#0000ff>IndustryID<FONT face="Courier New"
color=#6600aa>(1<FONT
face="Courier New" color=#6600aa>);<FONT
face="Courier New" color=#000000>
C=<FONT
face="Courier New" color=#0000ff>Foreign<FONT face="Courier New"
color=#6600aa>(sym,<FONT face="Courier New"
color=#ff00ff>"C"<FONT face="Courier New"
color=#6600aa>);<FONT face="Courier New"
color=#000000>
O=<FONT
face="Courier New" color=#0000ff>Foreign<FONT face="Courier New"
color=#6600aa>(sym,<FONT face="Courier New"
color=#ff00ff>"o"<FONT face="Courier New"
color=#6600aa>);<FONT face="Courier New"
color=#000000>
H=<FONT
face="Courier New" color=#0000ff>Foreign<FONT face="Courier New"
color=#6600aa>(sym,<FONT face="Courier New"
color=#ff00ff>"h"<FONT face="Courier New"
color=#6600aa>);<FONT face="Courier New"
color=#000000>
L=<FONT
face="Courier New" color=#0000ff>Foreign<FONT face="Courier New"
color=#6600aa>(sym,<FONT face="Courier New"
color=#ff00ff>"l"<FONT face="Courier New"
color=#6600aa>);<FONT face="Courier New"
color=#000000>
V=<FONT
face="Courier New" color=#0000ff>Foreign<FONT face="Courier New"
color=#6600aa>(sym,<FONT face="Courier New"
color=#ff00ff>"V"<FONT
size=2>);
PlotOHLC(<FONT
face="Courier New" color=#000000>O<FONT face="Courier New"
color=#6600aa>,<FONT face="Courier New"
color=#000000>H<FONT face="Courier New"
color=#6600aa>,<FONT face="Courier New"
color=#000000>L<FONT face="Courier New"
color=#6600aa>,<FONT face="Courier New"
color=#000000>C<FONT face="Courier New"
color=#6600aa>,"Group
index",<FONT
face="Courier New" color=#000000>colorWhite<FONT
size=2>,<FONT
face="Courier New" color=#000000>styleBar<FONT
face="Courier New" color=#6600aa>);
Markus
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jcasavant@xxxxxxxxxxxx
href="">Jayson
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, April 24, 2003 4:04
PM
Subject: RE: [amibroker] Creating
IM200 indices - JAYSON
<FONT face=Arial
size=2>
<SPAN
class=678142113-24042003>Markus,
<SPAN
class=678142113-24042003>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?<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 face=Arial color=#000000
size=2>
AddToComposite(<FONT
color=#000000>C<FONT
size=2>,sym,"C"<FONT
color=#282828>);<FONT
size=2>
AddToComposite(<FONT
color=#000000>O<FONT
size=2>,sym,"O"<FONT
color=#282828>);<FONT
size=2>
AddToComposite(<FONT
color=#000000>H<FONT
size=2>,sym,"H"<FONT
color=#282828>);<FONT
size=2>
AddToComposite(<FONT
color=#000000>L<FONT
size=2>,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 face=Arial color=#000000
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 face=Arial
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 face=Arial color=#000000
size=2>
Plot(<FONT
color=#000000>C<FONT
face=Arial>,"Sector
Index",<FONT
color=#000000>colorWhite<FONT
face=Arial>,<FONT
color=#000000>styleCandle<FONT
color=#282828>);
<FONT face=Arial color=#000000
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
face=Arial color=#0000ff>);<FONT
face=Arial>
C=Foreign(sym,"C")/V<FONT
face=Arial color=#0000ff>;<FONT
color=#000000><FONT
face=Arial>
O=Foreign(sym,"o")/V<FONT
color=#282828>;<FONT
color=#000000><FONT
size=2>
H=Foreign(sym,"h")/V<FONT
face=Arial color=#0000ff>;<FONT
color=#000000><FONT
face=Arial>
L=Foreign(sym,"l")/V<FONT
color=#282828>;
Plot(<FONT
color=#000000>C<FONT
face=Arial>,"Sector
Index",<FONT
color=#000000>colorWhite<FONT
face=Arial>,<FONT
color=#000000>styleCandle<FONT
color=#282828>);<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 alt=""
hspace=0 src="gif00287.gif" align=baseline
border=0>
<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 title=jcasavant@xxxxxxxxxxxx
href="">Jayson
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">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>
<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).<SPAN
class=855470704-24042003><FONT face=Arial color=#0000ff
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
face=Arial>,sym ,<FONT
color=#ff00ff>"C"); <FONT
color=#0000ff> 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.<SPAN
class=855470704-24042003><FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial
color=#0000ff>Sectorid(1) returns the 12 sectors (Capital goods,
utilities, financials etc) If you want industry groups then replace that
line with
<FONT face=Arial
color=#0000ff>sym="~"+industryID(1);
<SPAN
class=855470704-24042003><FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial
color=#0000ff>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 face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
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 face=Arial color=#0000ff
size=2>
<FONT
size=2>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?<SPAN
class=855470704-24042003><FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
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
face="Courier New" color=#ff00ff>,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
bugs@xxxxxxxxxxxxx> Send SUGGESTIONS to
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