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Well,
each night I create 13 composites from a filtered watchlist which produce a
universe index then 1 each for the 12 sectors. I link these sector indexes
to my charts as a foreign call which allows me to see for instance the
information index when I pull up CSCO.
I also
run a relative strength exploration against each sector index and the universe
index. This allows me to have a feel for individual sector strength/weakness.
Regards,
Jayson
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<FONT face=Tahoma
size=2> -Original
Message-----From: Herman vandenBergen
[mailto:psytek@xxxxxxxx]Sent: Tuesday, December 09, 2003 9:13
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Introducing OHLC-Composites
<FONT face=Arial color=#0000ff
size=2>Jayson: Thank you!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Also: darn it!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>I have been working with other calculated values for the composites and I
didn't actually check the simple price composites i used for my
example. My calculated values resulted in loss of the OHLC
relationship and I assumed that my experience was common to common price
arrays also. It turns out it is not.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>So, that clarifies the internal bar relationship problem I had :-) this
is great.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Now the question is what are people doing with the OHLC-Composites?
Anybody care to share?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Tahoma
size=2>-----Original Message-----From: Jayson
[mailto:jcasavant@xxxxxxxxxxx]Sent: December 10, 2003 8:10
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Introducing OHLC-Composites
<FONT face=Arial color=#0000ff
size=2>Herman,
I
use OHLC composites all the time. As an example I run the following code
against a watch list to update my sector indexes
<FONT face=Arial color=#0000ff
size=2>
//creates index by sector
isym=<FONT
color=#0000ff>"~i"+<FONT
size=2>SectorID(<FONT
size=2>1<FONT face=Arial
color=#0000ff>);
AddToComposite<FONT
color=#282828 size=2>(C<FONT
face=Arial>,isym,<FONT color=#ff00ff
size=2>"C"<FONT
face=Arial>);
AddToComposite<FONT
color=#282828 size=2>(O<FONT
face=Arial>,isym,<FONT color=#ff00ff
size=2>"O"<FONT
face=Arial>);
AddToComposite<FONT
color=#282828 size=2>(H<FONT
face=Arial>,isym,<FONT color=#ff00ff
size=2>"H"<FONT
face=Arial>);
AddToComposite<FONT
color=#282828 size=2>(L<FONT
face=Arial>,isym,<FONT color=#ff00ff
size=2>"L"<FONT
face=Arial>);
AddToComposite<FONT
color=#282828 size=2>(1<FONT
color=#282828 size=2>,isym,<FONT color=#ff00ff
size=2>"V"<FONT
face=Arial>); <FONT
face=Arial>//counts the sextor components
<SPAN
class=485135623-09122003>
<FONT face=Arial
size=2>Why do you feel the High and low data is inaccuate? To average I plot
PlotOHLC<FONT
face=Arial>(<FONT
color=#000000>O<FONT
color=#282828>/V<FONT
face=Arial>,<FONT
color=#000000>H<FONT
color=#282828>/V<FONT
face=Arial>,<FONT
color=#000000>L<FONT
color=#282828>/V<FONT
face=Arial>,<FONT
color=#000000>C<FONT
color=#282828>/V<FONT
face=Arial>,"
Sector",<FONT
color=#000000>colorWhite<FONT
color=#282828>,64<FONT
color=#282828>);
<FONT face=Arial
color=#0000ff size=2>Perhaps I do not understand your
question....
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman vandenBergen
[mailto:psytek@xxxxxxxx]Sent: Tuesday, December 09, 2003 6:27
PMTo: AmiBrokerSubject: [amibroker] Introducing
OHLC-Composites
Most composites
display just one variable or, if they use more, they are usually
independent variables. This means that generally speaking composites
do not carry enough information to apply standard OHLC technical
analysis, like RSI, CMO, SAR, etc. to them.
<SPAN
class=120583612-09122003>
If we could make
our Composites embody all four price arrays (OHLC), in an accurate
representation of the market they represent, then they would be much more
useful. If you have played with this type of formulas you will know that you
cannot simply create four separate OHLC composites and use these
prices in a standard OHLC bar; the resulting price bar is usually distorted to
the point it becomes useless.
<SPAN
class=120583612-09122003>
Below you'll find
one way to create OHLC-Composites. While the Open and Close probably
accurately represent the market, the High and the Low appear to have lost
their significant information (they don't change much). What is needed is a
better way to calculate the OHLC-Composite's High and Low price.
<SPAN
class=120583612-09122003>
Any constructive
help from our resident Composite-Wizards to help make the
OHLC-Composite more meaningful will be much appreciated!
<SPAN
class=120583612-09122003>
<SPAN
class=120583612-09122003>herman
<SPAN
class=120583612-09122003>
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hspace=0 src="jpg00383.jpg" align=baseline
border=0>
<SPAN
class=120583612-09122003>
<SPAN
class=120583612-09122003>
<FONT face=Arial color=#000000
size=2>// Experimenting with OHLC-Composites - Herman -
09DEC2003
// Step 1: Run Scan #1 All-Quotation Scan on
your Watchlist<FONT
color=#000000> // Step 2: Run Scan #2 on a
Single stock<FONT
color=#000000> // Step 3: Run OldBacktester
on a Single stock, Click Equity or<FONT
face=Arial> // select
CandleComp in your Workspace and display in Candle
format<FONT
color=#000000> Buy<FONT
color=#000000>=Sell<FONT
color=#000000>=Short<FONT
color=#000000>=Cover<FONT
color=#000000>=0<FONT
size=2>; <FONT
color=#000000>// Scan #1 on your watchlist<FONT
size=2> Bo = <FONT
color=#ff0000>O<FONT
color=#000000>; // Open price
is used as reference<FONT
face=Arial> Bh = <FONT
color=#ff0000>H/<FONT
color=#ff0000>O<FONT
color=#000000>; // HLC are
averaged as their ratio to the Open price<FONT
size=2> Bl = <FONT
color=#ff0000>L/<FONT
color=#ff0000>O<FONT
color=#000000>; Bc = C<FONT
color=#000000>/O<FONT
size=2>; <FONT
color=#0000ff>AddToComposite(Bo,<FONT
color=#ff00ff>"~Bo",<FONT
color=#ff00ff>"X"<FONT
color=#000000>); AddToComposite<FONT
color=#000000>(Bh,"~Bh"<FONT
color=#000000>,"X"<FONT
size=2>); <FONT
color=#0000ff>AddToComposite(Bl,<FONT
color=#ff00ff>"~Bl",<FONT
color=#ff00ff>"X"<FONT
color=#000000>); AddToComposite<FONT
color=#000000>(Bc,"~Bc"<FONT
color=#000000>,"X"<FONT
size=2>); <FONT
color=#0000ff>AddToComposite(<FONT
color=#ff00ff>1,<FONT
color=#ff00ff>"~Bcount",<FONT
color=#ff00ff>"X"<FONT
color=#000000>); // Scan #2 on one
single stock!<FONT
color=#000000> n = Foreign<FONT
color=#000000>("~Bcount"<FONT
color=#000000>,"X"<FONT
size=2>); Ot = <FONT
color=#0000ff>Foreign(<FONT
color=#ff00ff>"~Bo",<FONT
color=#ff00ff>"X"<FONT
color=#000000>)/n; Ht = Ot*Foreign<FONT
color=#000000>("~Bh"<FONT
color=#000000>,"X")/n;
// Reconstruct HLC wrt average
Open<FONT
color=#000000> Lt = Ot*Foreign<FONT
color=#000000>("~Bl"<FONT
color=#000000>,"X"<FONT
size=2>)/n; Ct = Ot*<FONT
color=#0000ff>Foreign(<FONT
color=#ff00ff>"~Bc",<FONT
color=#ff00ff>"X"<FONT
color=#000000>)/n; AddToComposite<FONT
color=#000000>(Ot,"~CandleComp"<FONT
color=#000000>,"O"<FONT
size=2>); <FONT
color=#0000ff>AddToComposite(Ht,<FONT
color=#ff00ff>"~CandleComp",<FONT
color=#ff00ff>"H"<FONT
color=#000000>); AddToComposite<FONT
color=#000000>(Lt,"~CandleComp"<FONT
color=#000000>,"L"<FONT
size=2>); <FONT
color=#0000ff>AddToComposite(Ct,<FONT
color=#ff00ff>"~CandleComp",<FONT
color=#ff00ff>"C"<FONT
color=#000000>); // Indicator, from
OldBacktester or Indicator window<FONT
face=Arial> n = <FONT
color=#0000ff>Foreign(<FONT
color=#ff00ff>"~Bcount",<FONT
color=#ff00ff>"X"<FONT
color=#000000>); Ot = Foreign<FONT
color=#000000>("~Bo"<FONT
color=#000000>,"X"<FONT
size=2>)/n; Ht = Ot*<FONT
color=#0000ff>Foreign(<FONT
color=#ff00ff>"~Bh",<FONT
color=#ff00ff>"X")/n; <FONT
color=#000000>// Reconstruct HLC wrt average
Open<FONT
color=#000000> Lt = Ot*Foreign<FONT
color=#000000>("~Bl"<FONT
color=#000000>,"X"<FONT
size=2>)/n; Ct = Ot*<FONT
color=#0000ff>Foreign(<FONT
color=#ff00ff>"~Bc",<FONT
color=#ff00ff>"X"<FONT
color=#000000>)/n; PlotOHLC<FONT
color=#000000>(Ot,Ht,Lt,Ct,"OHLC-Composite Candle
Chart",1<FONT
color=#000000>,<FONT
color=#ff0000>styleCandle<FONT
face=Arial>); <FONT
color=#ff0000>Title = <FONT
color=#0000ff>EncodeColor(<FONT
color=#ff0000>colorWhite)+<FONT
color=#ff00ff>"N100 OHLC-Composite Candle Chart"<FONT
size=2>; <FONT
color=#ff0000>GraphXSpace = <FONT
color=#ff00ff>5
<SPAN
class=120583612-09122003>
<SPAN
class=120583612-09122003> Send BUG
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