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great hermann!!
stephane
> Very nice DT, thanks! I'll be using that frequently. Below is what
the
> Correlation matrix, with help from the list, developed into.
> // Exploration to create Correlation matrix
> Buy=Sell=Short=Cover=0;
> Filter = Status("LastBarInTest");
> list = GetCategorySymbols( categoryWatchlist, 2 );
> for( NumTickers=0; (StrExtract( list, NumTickers )) != "";
NumTickers++ );
> AddTextColumn(Name(),"Ticker",1.0);
> for( Col=0; Col<NumTickers; Col++)
> {
> Ticker1 = Name();
> Ticker2 = StrExtract( list, Col);
> Var1 = Foreign(Ticker1,"C");
> Var2 = Foreign(Ticker2,"C");
> Test = Correlation( Var1, Var2, 8 );
> Color = IIf(Test>0, colorBrightGreen, IIf(Test<0, colorRed,
> colorWhite));
> Color = IIf(Ticker1==Ticker2, 1, Color);
> AddColumn( Test, Ticker2, 1.3, 1, Color);
> }
>
>
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: November 28, 2003 1:46 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: to HERMAN: N100 Correlation table
>
>
> Herman,
> There is no need to write the 100 tickers. If they belong to WL10,
> then
> list = GetCategorySymbols( categoryWatchlist, 10 );
> tickerlist="";
> for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
> {
> tickerlist=tickerlist+sym+",";
> }
> Title=tickerlist;
> The advantage is that you don't have to correct the code after any
> N100 change, it is done automatically as soon as you correct WL10.
> Note also that StrExtract() needs a "comma-separated list of
items",
> that's why the above +",".
> The result will have a "," at the end, but this is not a problem.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > 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?
> >
> > Dave
> >
> > 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 :-)
> >
> > herman
> > -----Original Message-----
> > From: Tomasz Janeczko [mailto:amibroker@x...]
> > Sent: November 28, 2003 7:37 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: 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,CD
> > WC,CEPH,"+
> >
>
> "CHIR,CHKP,CHRW,CIE,CMCSA,CMVT,COST,CPWR,CSCO,CTAS,CTXS,DELL,DISH,DL
> TR,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,PA
> > YX,PCAR,PDCO,"+
> >
>
> "PETM,PIXR,PSFT,PTE,QCOM,QLGC,RFMD,ROST,RYAAY,SAM,SBUX,SEBL,SIAL,SDK
> ,SPS,SPL
> > S,SPOT,SSCC,"+
> > "SUW,SYMC,TEVA,TLAB,VRS,VRTS,WFMI,XLX,XRAY,YHOO";
> >
> > Ticker = StrExtract( TickerList, n );
> >
> > Hope this helps.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: dirk schreiber
> > To: 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 file
> > Ticker =
> > 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
> > ----- Original Message -----
> > From: nkis22
> > To: 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 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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