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<FONT face=Arial color=#0000ff
size=2>Dave, i do not know how but would love to know (hint). I have
been using this simple technique for a long time. I am sure there may be better
ways.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>I do think however that there were some comments about reading the WLs
was slow...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>h
<FONT face=Tahoma
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx]Sent: November 28, 2003 12:23
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: to HERMAN: N100 Correlation table
<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:
<A title=tianatrading@xxxxxxxxx
href="">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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