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<SPAN
class=726172104-28112003>I've lost track of the original context, but could you
do this even more easily by iterating through the tickers in a known
watchlist?
<SPAN
class=726172104-28112003>
<SPAN
class=726172104-28112003>Dave
<SPAN
class=726172104-28112003>
<BLOCKQUOTE
>
<FONT face=Arial color=#0000ff
size=2>this is actually the "data" type statement I have been looking for....
wanted to store individual thresholds in some easy way - this is easier than a
file system :-)
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman
<FONT face=Tahoma
size=2>-----Original Message-----From: Tomasz Janeczko
[mailto:amibroker@xxxxxx]Sent: November 28, 2003 7:37
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: to HERMAN: N100 Correlation table
Hello,
It would be shorter to write this that way:
TickerList =
"AAPL,ADBE,ADCT,ALTR,AMAT,AMG,AMZ,APCC,APOL,BBBY,BEAS,BIIB,BMET,BRCD,BRCM,CDWC,CEPH,"+"CHIR,CHKP,CHRW,CIE,CMCSA,CMVT,COST,CPWR,CSCO,CTAS,CTXS,DELL,DISH,DLTR,EBAY,ERICY,ERTS,"+"ESRX,EXPD,FAST,FHCC,FISV,FLEX,GEZ,GILD,GTX,HGSI,HSIC,IACI,ICOS,ITC,ITU,IVG,JDSU,JPR,KLAC,"+"LAMR,LLTC,LCR,MCHP,MEDI,MERQ,MLM,MST,MOLX,MSFT,MXIM,TAP,VDA,VLS,XTL,ORCL,PAYX,PCAR,PDCO,"+"PETM,PIXR,PSFT,PTE,QCOM,QLGC,RFMD,ROST,RYAAY,SAM,SBUX,SEBL,SIAL,SDK,SPS,SPLS,SPOT,SSCC,"+"SUW,SYMC,TEVA,TLAB,VRS,VRTS,WFMI,XLX,XRAY,YHOO";
Ticker = StrExtract( TickerList, n );
Hope this helps.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dirk
schreiber
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, November 27, 2003
9:58 PM
Subject: Re: [amibroker] Re: to
HERMAN: N100 Correlation table
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 <A
href="">amibroker@xxxxxxxxxxxxxxx,
dirk schreiber <<A
href="">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>
> > > Send BUG REPORTS
to bugs@xxxx>
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