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Will appreciate very much to see the #include AFL please
thanks in advance
nand
--- In amibroker@xxxxxxxxxxxxxxx, dirk schreiber <tianatrading@xxxx>
wrote:
> 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
>
> Buy=Sell=Short=Cover=0;
>
> StkNum = Status("StockNum");
>
> Filter = Status("LastBarInTest") AND StkNum < 100;
>
> AddTextColumn(Name(),"Ticker",1.0);
>
> SetOption("nodefaultcolumns",1);
>
> n = StkNum;
>
> #include <NtoN100Ticker.afl>
>
> Ticker1 = Ticker;
>
> C1 = ROC(Foreign(Ticker1,"C"),1);
>
> for(m=1;m<=99;m++)
>
> {
>
> n=m;
>
> #include <NtoN100Ticker.afl>
>
> Ticker2 = Ticker;
>
> C2 = ROC(Foreign(Ticker2,"C"),1);
>
> Corr = Correlation(C1, C2, 8 );
>
> Color = IIf(Corr>0.7,8,4); // Add colors to make a heat map
>
> AddColumn(Corr,Ticker,1.3,1,Color);
>
> }
>
>
> ----- Original Message -----
> From: Herman vandenBergen
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, November 26, 2003 11:43 PM
> Subject: RE: [amibroker] to TOMASZ: how to loop through a list
of tickers ?
>
>
> 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.
>
>
>
> // N100 Correlation table
> Buy=Sell=Short=Cover=0;
> StkNum = Status("StockNum");
> Filter = Status("LastBarInTest") AND StkNum < 50;
> AddTextColumn(Name(),"Ticker",1.0);
> n = StkNum;
> #include <NtoN100Ticker.afl>
> Ticker1 = Ticker;
> C1 = Foreign(Ticker1,"C");
> for(m=50;m<=99;m++)
> {
> n=m;
> #include <NtoN100Ticker.afl>
> Ticker2 = Ticker;
> C2 = Foreign(Ticker2,"C");
> Corr = Correlation(C1, C2, 8 );
> Color = IIf(Corr>0,8,4); // Add colors to make a heat map
> AddColumn(Corr,Ticker,1.3,1,Color);
> }
> -----Original Message-----
> From: dirk schreiber [mailto:tianatrading@x...]
> Sent: November 27, 2003 2:03 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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
>
> ----- Original Message -----
> From: dirk schreiber
> To: 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(pair,"C");
>
> y=C;
>
> xpc=ROC(x,1);
>
> ypc=ROC(y,1);
>
> Graph0=Correlation(xpc,ypc,20);
>
> Graph1=Correlation(xpc,ypc,200);
>
> Filter=Graph0>0.7 AND Graph1>0.5;
>
> AddColumn(Graph0,"Cor20",1.2);
>
> AddColumn(Graph1,"Cor200",1.2);
>
> AddColumn(Graph0+Graph1,"total",1.2);
>
> Buy=0;
>
>
>
>
>
> ----- Original Message -----
> From: dirk schreiber
> To: 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,
>
> dirk
>
>
>
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