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Hello John,
No, I'm not a secret member of sfbayoptions. The people from the
little community I live in know a lot about peach orchards and truck
farming, but very little about stock options or trading.
The results you got are correct considering how the script is written.
Your problem is that the sample code I provided is 'hard coded' to
process all quotations... and does not honor user specified range
settings.
Also, you tried to reference L[j + 21] which would cause a subscript
out of range error when the loop reached 20 days ago.
The range issue could be addressed with Status(Barsinrange) code (or
something similiar), but is not on my agenda at the moment.
If you or anyone else makes any enhancements to the sample, please
post them for others.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> Hi Phsst,
>
> This caught my eye because, coincidentally, I am now helping a
colleague in
> my local options group test a system based on >5% GapUps closing or
not!!
> (Are you a secret member of sfbayoptions? :) )
>
> So your code example is as appealing to me as the one-pass principle
you are
> illustrating with that code.
>
> I am hoping to use it to get gap-close statistics on the gap-up
candidates
> we get each day. (I want to find out if a particular candidate's UpGaps
> typically close(or not) by the next day, week, and/or month. If we get
> candidates with a high enough number of UpGaps that close, we will
consider
> entering Bear Call Credit spreads on them.)
>
> So I ran an Explore with your code using as a Watch List the 3
optionable
> stocks(ARIA, GTRC, and IDBE) that gapped up Friday 12/5/03. And I used
> '12/5/03' as my Range To and Range From. (Note: IDBE had a Low that
day that
> took out the previous day's High, closing its initial gap)
>
> It may be a number of bars discrepancy, but I don't understand my
results.
>
> When I select IDBE as my current stock, I get:
>
> # Gaps Up > 5% GapsClosed on Same Day Percent Closed
> 5 1 20.00
>
> When I select ARIA, I get:
>
> # Gaps Up > 5% GapsClosed on Same Day Percent Closed
> 48 20 41.67
>
> And for GTRC:
>
> # Gaps Up > 5% GapsClosed on Same Day Percent Closed
> 41 15 36.59
>
> Questions:
> a)Are these results what I should expect?
> b)How can I eliminate the 'subscript out of range' errors I get
when I
> try to use:
>
> GapsClosed21 = GapsClosed21 + IIf( O[j] > H[j-1] * 1.05 AND
L[j+21]
> <= H[j-1], 1, 0);
>
> in order to see if the gaps have closed in the 21 trading days(~1
> month) following the gap?
>
> thanks
>
> -john
>
> ----- Original Message -----
> From: "Phsst" <phsst@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, December 06, 2003 9:18 PM
> Subject: [amibroker] One Pass Statistical Reporting
>
>
> > Awhile back, I suggested that Tomasz add a new 'persistant' variable
> > class that would allow users to accumulate one-pass statistics during
> > an explore.
> >
> > Well, thanks to the many posts and ideas that are freely shared by our
> > friends on this board, I finally got my head 'wrapped around' a simple
> > solution.
> >
> > The problem was that User Defined Variables are reset with each new
> > ticker that AB processes... but now we can *Fool* AB by using looping
> > techniques against watchlists.
> >
> > When we control our *own* looping through watchlists, and tell AB to
> > *Apply* the Explore to the 'current stock'... AB thinks it is only
> > processing one stock, and therefore preserves any user defined
variables.
> >
> > The following example examines all quotes against all tickers in a
> > specified watchlist to count the number of Gaps Up @ Open which exceed
> > 5%, and then reports on how many of those GapsUp are *covered* on the
> > same day. Since AB thinks it is only looking at the *current stock*,
> > it preserves the user specified values that are accumulated during the
> > loop, and therefore allows an accumulated statistical display in the
> > Filter/AddColumn portion of the code.
> >
> > The same techniques in this example can be applied to accumulating
> > indicator values, price and volume array values, etc. All you need to
> > do is increment or decrement *your* specified variables with C[j] or
> > V[j-1] or whatever subscript (+- j) rather than using native O,H,L,C,V
> > references to these array variables.
> >
> > Try it and enjoy.
> >
> > One *caveat*... *Check* and *test* your code against a very small
> > WatchList. If you use a large WatchList when you click on the *Check*
> > button, apparently AB executes the AFL against the entire specified
> > array, which could trick you into thinking that AB is locked up.
> >
> > ------------------------------------------------------
> >
> > // One Pass Stats Explore
> >
> > // Since internal loop controls WatchList iterations:
> > // Apply to Current Stock ONLY
> > // Range n last days = 1
> >
> > //WLNbr = 1; // Small Watchlist for Check button
> > WLNbr = 6; // Real Watchlist
> >
> > list = GetCategorySymbols( categoryWatchlist, WLNbr );
> >
> > GapsUp = 0; // Count of Gap Ups that exceed 5%
> > GapsClosed = 0; // Count of those Gaps which are closed on same day
> >
> > for(i=0; ( ticker = StrExtract( List, i ) ) != ""; i++)
> > {
> > SetForeign(ticker);
> > for( j = 1; j < BarCount; j++)
> > {
> > GapsUp = GapsUp + IIf( O[j] > H[j-1] * 1.05, 1, 0);
> > GapsClosed = GapsClosed + IIf( O[j] > H[j-1] * 1.05 AND L[j] <=
> > H[j-1], 1, 0);
> > }
> > }
> >
> > SetOption("NoDefaultColumns",1);
> > Filter=1;
> > AddColumn(GapsUp, "# Gaps Up > 5%", 1.0);
> > AddColumn(GapsClosed,"GapsClosed on Same Day", 1.0);
> > AddColumn(GapsClosed / GapsUp * 100,"Percent Closed",1.2);
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> >
> >
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