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All -
I'm not sure exactly what Graham was after either, but you've touched
on something I've been meaning to share (and its a lazy Sunday
morning). The reason that you might want what Graham
entitled "average change" is to create a normalized portfolio equity
line or an equal weighted average.
ATC of prices to get an average price is mostly OK for indices or
large families. It is, in effect, a price weighted average. It can
distort the average of a smaller portfolio. In a simple portfolio,
you might invest equal amounts and periodically rebalance the
investment. If the prices vary widely, ATC of prices/count distorts
the picture. Reconstituting an equity line from a daily average of
gains is a decent approximation of a less frequent rebalance and is
easy to do.
BTW, it is sometimes useful to look at the unweighted, rebalanced
average of cap-weighted indexes and sectors.
Bruce
P.S. If this is what you are after and you want it, I'll post
a program to do this in the files section.
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Graham,
> I think I understand what you are after. Why would you want to sum
(cum) all
> the changes for each stock? If you are looking to see what the
change in
> momentum is perhaps a simple ROC of the close over a given period
would
> offer you more in your composite?
>
> Next you are using the foreign call for ~index to view the
composite data
> versus an individual stock, is this correct? Are you trying to
overlay
> ~index onto your stock price chart? Are you using styleownscale for
your
> ~index plot?
>
> Perhaps I am not understanding your challenge. As they say a
picture is
> worth a thousand words......
>
> Regards,
> Jayson
> -----Original Message-----
> From: Graham [mailto:gkavanagh@x...]
> Sent: Sunday, August 24, 2003 9:32 AM
> To: AB yahoo group
> Subject: [amibroker] Create composite from average change
>
>
> I am wanting to create a composite of a group of tickers by adding
the
> change of the price day to day
> I have tried it the simple way of just
> Addtocomposite(c-ref(c,-1), "~index", "C");
> etc for OHLC
> Addtocomposite(1, "~index", "I");
>
> Then to create the chart by just using Foreign function then Cum(C)
> But I found the resulting chart changed too much when I viewed it
from each
> stock on the list due to, I guess, the starting point varying
according to
> the base ticker I am viewing from
>
> What I think I need to do is create a composite, then read in the
values
> from this composite to create a second composite which has definite
arrays
> that require no further modification to plot
> But I am not certain how to do this in a single scan
> A simplified procedure below, but I am not sure how to get it to
work
>
> Addtocomposite(c-ref(c,-1), "~base", "C");
> -? - what can I do here ?
> newC = Foreign("~base","c")
> myC = cum(newC)
> Addtocomposite(myC,"~index","C") etc
>
>
> Any suggestions appreciated, or reference to another post made, as
I cannot
> find what I am looking for
> I have simplified the formulae above as too lazy to fully type out
> everything in the brackets or check if correct, it is the procedure
I am
> needing.
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
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