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hi nand,
the #include file was posted by
herman before, it goes like this:
// Include fileTicker
= WriteIf(n==0 , "AAPL", WriteIf(n==1 , "ADBE",
WriteIf(n==2 , "ADCT", WriteIf(n==3 , "ALTR", WriteIf(n==4 , "AMAT",
WriteIf(n==5 , "AMGN", WriteIf(n==6 , "AMZN", WriteIf(n==7 , "APCC",
WriteIf(n==8 , "APOL", WriteIf(n==9 , "BBBY", WriteIf(n==10 ,
"BEAS", WriteIf(n==11 , "BIIB", WriteIf(n==12 , "BMET",
WriteIf(n==13 , "BRCD", WriteIf(n==14 , "BRCM", WriteIf(n==15 ,
"CDWC", WriteIf(n==16 , "CEPH", WriteIf(n==17 , "CHIR",
WriteIf(n==18 , "CHKP", WriteIf(n==19 , "CHRW", WriteIf(n==20 ,
"CIEN", WriteIf(n==21 , "CMCSA", WriteIf(n==22 , "CMVT",
WriteIf(n==23 , "COST", WriteIf(n==24 , "CPWR", WriteIf(n==25 ,
"CSCO", WriteIf(n==26 , "CTAS", WriteIf(n==27 , "CTXS",
WriteIf(n==28 , "DELL", WriteIf(n==29 , "DISH", WriteIf(n==30 ,
"DLTR", WriteIf(n==31 , "EBAY", WriteIf(n==32 , "ERICY",
WriteIf(n==33 , "ERTS", WriteIf(n==34 , "ESRX", WriteIf(n==35 ,
"EXPD", WriteIf(n==36 , "FAST", WriteIf(n==37 , "FHCC",
WriteIf(n==38 , "FISV", WriteIf(n==39 , "FLEX", WriteIf(n==40 ,
"GENZ", WriteIf(n==41 , "GILD", WriteIf(n==42 , "GNTX",
WriteIf(n==43 , "HGSI", WriteIf(n==44 , "HSIC", WriteIf(n==45 ,
"IACI", WriteIf(n==46 , "ICOS", WriteIf(n==47 , "INTC",
WriteIf(n==48 , "INTU", WriteIf(n==49 , "IVGN", WriteIf(n==50 ,
"JDSU", WriteIf(n==51 , "JNPR", WriteIf(n==52 , "KLAC",
WriteIf(n==53 , "LAMR", WriteIf(n==54 , "LLTC", WriteIf(n==55 ,
"LNCR", WriteIf(n==56 , "MCHP", WriteIf(n==57 , "MEDI",
WriteIf(n==58 , "MERQ", WriteIf(n==59 , "MLNM", WriteIf(n==60 ,
"MNST", WriteIf(n==61 , "MOLX", WriteIf(n==62 , "MSFT",
WriteIf(n==63 , "MXIM", WriteIf(n==64 , "NTAP", WriteIf(n==65 ,
"NVDA", WriteIf(n==66 , "NVLS", WriteIf(n==67 , "NXTL",
WriteIf(n==68 , "ORCL", WriteIf(n==69 , "PAYX", WriteIf(n==70 ,
"PCAR", WriteIf(n==71 , "PDCO", WriteIf(n==72 , "PETM",
WriteIf(n==73 , "PIXR", WriteIf(n==74 , "PSFT", WriteIf(n==75 ,
"PTEN", WriteIf(n==76 , "QCOM", WriteIf(n==77 , "QLGC",
WriteIf(n==78 , "RFMD", WriteIf(n==79 , "ROST", WriteIf(n==80 ,
"RYAAY", WriteIf(n==81 , "SANM", WriteIf(n==82 , "SBUX",
WriteIf(n==83 , "SEBL", WriteIf(n==84 , "SIAL", WriteIf(n==85 ,
"SNDK", WriteIf(n==86 , "SNPS", WriteIf(n==87 , "SPLS",
WriteIf(n==88 , "SPOT", WriteIf(n==89 , "SSCC", WriteIf(n==90 ,
"SUNW", WriteIf(n==91 , "SYMC", WriteIf(n==92 , "TEVA",
WriteIf(n==93 , "TLAB", WriteIf(n==94 , "VRSN", WriteIf(n==95 ,
"VRTS", WriteIf(n==96 , "WFMI", WriteIf(n==97 , "XLNX",
WriteIf(n==98 , "XRAY", WriteIf(n==99 , "YHOO" , ""
))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))));
dirk
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
nkis22
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, November 27, 2003 5:16
PM
Subject: [amibroker] Re: to HERMAN: N100
Correlation table
Will appreciate very much to see the #include AFL
pleasethanks in advancenand--- In
amibroker@xxxxxxxxxxxxxxx, dirk
schreiber <tianatrading@x...>
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@xxxx]> 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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