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You are
correct Dirk: I missed combinations, thanks for pointing that out. This was
because I copied/modified it from some other code. You missed stock
number 1 in your loop but bringing the start down to zero just appears to
overload the row character count - I seem to remember having that problem
before. You may have to drop one stock :-)
<SPAN
class=170100611-27112003>
I am not an
expert on abs vs rel correlation :-) can't help you
there.
<SPAN
class=170100611-27112003>
<FONT
face=Arial>Just for fun, after the line defining color you
can add: Color =
IIf(Ticker1==Ticker2,1,Color); <SPAN
class=170100611-27112003>to color the
position for same ticker correlation
black.
<SPAN
class=170100611-27112003>
<SPAN
class=170100611-27112003>herman
<FONT face=Tahoma
size=2>-----Original Message-----From: dirk schreiber
[mailto:tianatrading@xxxxxxxxx]Sent: November 27, 2003 6:06
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] to
HERMAN: N100 Correlation table
hello herman,
after playing around with your
code a little bit, i realized that it is not showing a COMPLETE
"heat list" of the n100. by "splitting up" the 100 stocks into two groups of
50, one for the x-axis and the other for the y-axis, we can't get the whole
picture. the first stock (AAPL) has its correlation only measured against
stocks 50-99(JDSU-YHOO), but not for example against ADBE or ADCT.
thanks to posting your code
i am beginning to understand the logic of looping better, so i just changed
some numbers to have the loop go through ALL possible combinations. it takes
slightly longer (instead of 50*50=2500 it's 100*100=10000 calculations) and of
course it has quite a lot of duplicate results, but i think it is the only way
to calculate all correlations.
also, i changed the code from
absolute to relative correlation, which gives different results.
what do you think?
dirk
// Exploration N100 relative
Correlation table <FONT
size=1>
Buy=Sell=Short=Cover=<FONT color=#ff00ff
size=1>0;
StkNum = Status<FONT
size=1>("StockNum");
Filter = Status<FONT
size=1>("LastBarInTest")
AND StkNum < 100<FONT
size=1>;
AddTextColumn(<FONT color=#0000ff
size=1>Name(),<FONT color=#ff00ff
size=1>"Ticker",<FONT color=#ff00ff
size=1>1.0); <FONT
color=#0000ff size=1>
SetOption(<FONT color=#ff00ff
size=1>"nodefaultcolumns",<FONT
color=#ff00ff size=1>1);
n = StkNum;
#include
<NtoN100Ticker.afl>
Ticker1 = Ticker;
C1 = ROC(<FONT
color=#0000ff size=1>Foreign(Ticker1,<FONT
color=#ff00ff size=1>"C"),<FONT color=#ff00ff
size=1>1);
for(m=<FONT face=Verdana
color=#ff00ff size=1>1;m<=<FONT
face=Verdana color=#ff00ff size=1>99<FONT
color=#000000>;m++)
{
n=m;
#include
<NtoN100Ticker.afl>
Ticker2 = Ticker;
C2 = ROC(<FONT
color=#0000ff size=1>Foreign(Ticker2,<FONT
color=#ff00ff size=1>"C"),<FONT color=#ff00ff
size=1>1);
Corr = Correlation<FONT
size=1>(C1, C2, 8 );
Color = IIf<FONT
size=1>(Corr>0<FONT face=Verdana
color=#ff00ff size=1>.7,<FONT color=#ff00ff
size=1>8,4<FONT
size=1>); // Add colors to make a heat map
AddColumn<FONT
size=1>(Corr,Ticker,1.3<FONT
size=1>,1,Color);
}
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman
vandenBergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, November 26, 2003
11:43 PM
Subject: RE: [amibroker] to TOMASZ: how
to loop through a list of tickers ?
<FONT face=Arial color=#0000ff
size=2>A slight oversight in my previous code, you CAN list tickers
by name (no string array needed) in the left most column with
the slightly different code below. Here is a fragment of the table.
Include file can be found in previous post.
<FONT face=Arial color=#0000ff
size=2>
<IMG alt="" hspace=0
src="" align=baseline
border=0>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#000000
size=2>// N100 Correlation table<FONT
size=2> <FONT
color=#ff0000>Buy=<FONT
color=#ff0000>Sell=<FONT
color=#ff0000>Short=<FONT
color=#ff0000>Cover=<FONT
color=#ff00ff>0<FONT
color=#000000>; StkNum = Status<FONT
color=#000000>(<FONT
color=#ff00ff>"StockNum"<FONT
size=2>); <FONT
color=#ff0000>Filter = <FONT
color=#0000ff>Status(<FONT
color=#ff00ff>"LastBarInTest") <FONT
color=#ff0000>AND StkNum < <FONT
color=#ff00ff>50<FONT
color=#000000>; AddTextColumn<FONT
color=#000000>(Name<FONT
color=#000000>(),"Ticker"<FONT
color=#000000>,1.0<FONT
face=Arial>); n = StkNum;
#include<FONT
face=Arial> <NtoN100Ticker.afl>
Ticker1 = Ticker; C1 = <FONT
color=#0000ff>Foreign(Ticker1,<FONT
color=#ff00ff>"C"<FONT
color=#000000>); <FONT
color=#ff0000>for(m=<FONT
color=#ff00ff>50;m<=<FONT
color=#ff00ff>99<FONT
color=#000000>;m++) { n=m;
<FONT
color=#ff0000>#include<FONT
size=2> <NtoN100Ticker.afl>
Ticker2 = Ticker; C2 =
Foreign<FONT
color=#000000>(Ticker2,<FONT
color=#ff00ff>"C"<FONT
color=#000000>); Corr = <FONT
color=#0000ff>Correlation(C1, C2, <FONT
color=#ff00ff>8<FONT
color=#000000> ); Color = <FONT
color=#0000ff>IIf(Corr><FONT
color=#ff00ff>0,<FONT
color=#ff00ff>8,<FONT
color=#ff00ff>4); <FONT
color=#000000>// Add colors to make a heat
map<FONT
color=#000000> <FONT
color=#0000ff>AddColumn(Corr,Ticker,<FONT
color=#ff00ff>1.3,<FONT
color=#ff00ff>1<FONT
color=#000000>,Color); <FONT
color=#0000ff>}
<FONT face=Tahoma
size=2>-----Original Message-----From: dirk schreiber
[mailto:tianatrading@xxxxxxxxx]Sent: November 27, 2003 2:03
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
to TOMASZ: how to loop through a list of tickers ?
i'm a bit surprised to see
that noone is answering my call.
so may i ask you directly,
tomasz, if what i asked is possible and if you could indicate me the right
way to code this ??
thank you,
dirk
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=tianatrading@xxxxxxxxx
href="">dirk schreiber
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 24, 2003
12:14 PM
Subject: Re: [amibroker] how to
loop through a list of tickers ?
noone ???
i'll try again: as an
example, is it possible to calculate all correlations of the stocks
constituting the nasdaq100 in one scan?
my code below will explore
the correlations of IBM with the other 99 constituents of my
nasdaq100 watchlist. is there a way in afl to tell amibroker to first
calculate these correlations for one stock, then go to the next and do
the same there and so forth, so that i could find out the 10 highest
correlations within the nasdaq100 for example ??
i have tried many ideas but
i am stuck (haven't mastered the new loop formulas very well yet)
...
any help would be greatly
appreciated, maybe this procedure would interest other amibroker users
as well.
thanks in
advance,
dirk
pair="IBM";
x=Foreign<FONT
size=1>(pair,"C"<FONT
size=1>);
y=C;
xpc=ROC<FONT
size=1>(x,1);
ypc=ROC<FONT
size=1>(y,1<FONT
size=1>);
Graph0=Correlation<FONT
size=1>(xpc,ypc,20<FONT
size=1>);
Graph1=Correlation<FONT
size=1>(xpc,ypc,200<FONT
size=1>);
Filter=Graph0<FONT
size=1>>0.7
AND Graph1<FONT
size=1>>0.5<FONT
face=Verdana size=1>;<FONT color=#0000ff
size=1>
AddColumn<FONT
size=1>(Graph0<FONT
size=1>,"Cor20"<FONT
color=#000000 size=1>,1.2<FONT
size=1>);<FONT color=#0000ff
size=1>
AddColumn<FONT
size=1>(Graph1<FONT
size=1>,"Cor200"<FONT
color=#000000 size=1>,1.2<FONT
size=1>);<FONT color=#0000ff
size=1>
AddColumn<FONT
size=1>(Graph0<FONT
size=1>+Graph1<FONT
size=1>,"total"<FONT
color=#000000 size=1>,1.2<FONT
size=1>);
Buy=0<FONT
size=1>;<FONT face=Verdana color=#000080
size=2>
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=tianatrading@xxxxxxxxx
href="">dirk schreiber
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, November 20, 2003
6:56 PM
Subject: [amibroker] how to loop
through a list of tickers ?
hello,
this is my first
post.
i have been working my
way into the ideas behind pair trading, reading the interesting posts
by yuki a few months ago and writing some code.
here is where i'm stuck:
when i calculate correlation, price ratio and other things like beta
ratio it is my understanding that when scanning my database i can only
compare one stock at a time with the rest of my universe. -- is it
possible to calculate all correlations between all stocks in one
scan?? i know that with big groups this would mean millions of
calculations, but for a group like the n100 this should be possible?
can this be done by some
sort of loop?
i searched the mailing
list archive and found only one hint by DT, talking about maybe using
something like Status("STOCKNUM") == 0 , but i
could not work that out ...
any help is
appreciated,
thanks in
advance,
<FONT face=Verdana color=#000080
size=2>dirkSend BUG REPORTS to
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Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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