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[amibroker] Re: to HERMAN: N100 Correlation table



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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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