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still trying to find a better way
to code my pair trading approach:
would it be possible to do an
explore with various loops against one ticker and then visualize this in aa with
various rows? the following code calculates both short- and mid-term correlation
of one stock against a watchlist. the way it is written, it gives the result in
one row, first short-term then mid-term. -- is there a way to code so that those
two rows would show one beneath the other ??
any help appreciated, thanks so
far,
dirk
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dirk
schreiber
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, December 10, 2003 11:12
AM
Subject: Re: [amibroker] CORRELATION
MATRIX: filter within loop ?
thank you herman for the
code.
i have the feeling that we are
getting closer, although i realize why you say that this solution only works
for a single stock. it is obvious since we cannot have different columns for
every row. but at least your variation of the code can show how many
correlations with other stocks above/beneath a certain level every stock
has.
i will try to see if i can
enhance your code of the single stock correlation exploration.
thanks,
dirk
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman
vandenBergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, December 09, 2003 1:01
PM
Subject: RE: [amibroker] CORRELATION
MATRIX: filter within loop ?
<FONT face=Arial color=#0000ff
size=2>Forgot Yahoo doesn't attach
files anymore, here is the code:
<FONT face=Arial color=#0000ff
size=2><SPAN
class=570355911-09122003>
<SPAN
class=570355911-09122003>//
THIS WILL ONLY WORK CORRECTLY EXPLORING THE CURRENT STOCK AGAINST
THE
// WATCHLIST SELECTED IN THE
GetCategorySymbols() !!!!!<FONT
face=Arial> //
Exploration to create Correlation matrix<FONT
size=2> <FONT
color=#ff0000>Buy=<FONT
color=#ff0000>Sell=<FONT
color=#ff0000>Short=<FONT
color=#ff0000>Cover=<FONT
color=#ff00ff>0<FONT
color=#000000>; LastBarInTest = <FONT
color=#0000ff>LastValue(<FONT
color=#0000ff>ValueWhen(<FONT
color=#0000ff>Status(<FONT
color=#ff00ff>"LastBarInTest"),<FONT
color=#0000ff>BarIndex<FONT
face=Arial>())); <FONT
color=#ff0000>Filter =
Status(<FONT
color=#ff00ff>"LastBarInTest"<FONT
face=Arial>); list = <FONT
color=#0000ff>GetCategorySymbols( <FONT
color=#ff0000>categoryWatchlist,
0<FONT
face=Arial> ); <FONT
color=#ff0000>for(
NumTickers=0;
NumTickers < 100
AND
StrExtract( list,
NumTickers ) != ""<FONT
size=2>; NumTickers++ );
IIf<FONT
color=#000000>(C<FONT
color=#000000>>50<FONT
color=#000000>,AddTextColumn<FONT
color=#000000>(Name<FONT
color=#000000>(),"Ticker"<FONT
color=#000000>,1.0<FONT
color=#000000>),0<FONT
size=2>); <FONT
color=#ff0000>for(
Col=0<FONT
face=Arial>; Col<NumTickers; Col++) {
Ticker1 = Name<FONT
size=2>(); Ticker2 =
StrExtract<FONT
face=Arial>( list, Col); Var1 = <FONT
color=#0000ff>Foreign(Ticker1,<FONT
color=#ff00ff>"C"<FONT
color=#000000>); Var2 = <FONT
color=#0000ff>Foreign(Ticker2,<FONT
color=#ff00ff>"C"<FONT
color=#000000>); Corr = <FONT
color=#0000ff>Correlation( Var1, Var2,
8<FONT
face=Arial> ); Color = <FONT
color=#0000ff>IIf(Corr==<FONT
color=#ff00ff>1,<FONT
color=#ff0000>colorBlack<FONT
color=#000000>,IIf<FONT
color=#000000>(Corr<-0.8<FONT
color=#000000>,<FONT
color=#ff0000>colorRed<FONT
color=#000000>,IIf<FONT
color=#000000>(Corr<-0.5<FONT
color=#000000>,<FONT
color=#ff0000>colorOrange<FONT
color=#000000>,IIf<FONT
color=#000000>(Corr<-0.2<FONT
color=#000000>,<FONT
color=#ff0000>colorLightOrange<FONT
color=#000000>,IIf<FONT
color=#000000>(Corr<0.2<FONT
color=#000000>,<FONT
color=#ff0000>colorCustom9<FONT
color=#000000>,IIf<FONT
color=#000000>(Corr<0.5<FONT
color=#000000>,<FONT
color=#ff0000>colorAqua<FONT
color=#000000>,IIf<FONT
color=#000000>(Corr<0.8<FONT
color=#000000>,<FONT
color=#ff0000>colorBrightGreen<FONT
color=#000000>,<FONT
color=#ff0000>colorGreen<FONT
size=2>))))))); <FONT
color=#ff0000>if(
Corr[LastBarInTest] > 0.75<FONT
color=#000000> ) AddColumn<FONT
color=#000000>( Corr, Ticker2, 1.3<FONT
color=#000000>, 1<FONT
color=#000000>, Color); }
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>I think you have a problem doing this when
correlating one watchlist against another watchlist because the table
would have to be completed to know which column would have to be displayed.
However you can do this using the OSAKA table DLL but that is beyond my
programming capability :-)
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>When testing only the current stock against a watchlist you
can use the code attached. Note two lines were
added/modified:
<FONT face=Arial color=#0000ff
size=2>
LastBarInTest =
LastValue(<FONT
color=#0000ff>ValueWhen(<FONT
color=#0000ff>Status(<FONT
color=#ff00ff>"LastBarInTest"),<FONT
color=#0000ff>BarIndex()));
<FONT face=Arial
size=2>....
<FONT
color=#ff0000>if( Corr[LastBarInTest] >
0.75 ) <FONT
color=#0000ff>AddColumn( Corr, Ticker2,
1.3, <FONT
color=#ff00ff>1, Color);
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>herman.
<FONT face=Arial
size=2>-----Original Message-----From: dirk schreiber
[mailto:tianatrading@xxxxxxxxx]Sent: December 9, 2003 7:01
PMTo: amibrokerSubject: [amibroker] CORRELATION
MATRIX: filter within loop ?
does anybody know how to filter
within loops?
i'm still playing around with
the very nice CORRELATION MATRIX that came out of a group effort last
month.
while visually it's nice to
look at, i am having trouble trying to expand upon its functionality.
i would like to be able to set
a filter within the loop so that the matrix only shows those pairs with a
correlation of higher than 0.75 for example. i have tried using
"addcolumn(iif ...." and "iif( ... addcolumn" but that did not work. i
understand that the for-loop overrides any filter within the loop?
a question closely related is,
i think, if it is possible to modify the code so that the correlation of
any ticker would not be calculated against itself, because filtering
within the matrix (if possible) for high correlation would not
work, as every row has one incident of a perfect correlation of 1
(its own correlation).
below is a
modified version of the code.
hope i made myself
clear,
any help
appreciated,
dirk
// Exploration to create Correlation matrix
Buy<FONT face=Arial
size=2>=Sell=Short=Cover=<FONT
color=#ff00ff>0;
Filter =
Status(<FONT
color=#ff00ff>"LastBarInTest");
list = <FONT
color=#0000ff>GetCategorySymbols( categoryWatchlist, <FONT
color=#ff00ff>3 );
for(
NumTickers=0; NumTickers < 100
AND StrExtract( list, NumTickers ) !=
""; NumTickers++ ); <FONT
color=#0000ff>
IIf<FONT face=Arial
size=2>(C>50,<FONT
color=#0000ff>AddTextColumn(Name(),<FONT
color=#ff00ff>"Ticker",1.0),<FONT
color=#ff00ff>0);
for(
Col=0; Col<NumTickers; Col++)
{
Ticker1 = Name();
Ticker2 = <FONT
color=#0000ff>StrExtract( list, Col);
Var1 = <FONT
color=#0000ff>Foreign(Ticker1,"C");
Var2 = <FONT
color=#0000ff>Foreign(Ticker2,"C");
Corr = Correlation(
Var1, Var2, 8 );
Color = <FONT
color=#0000ff>IIf(Corr==<FONT
color=#ff00ff>1,colorBlack,<FONT
color=#0000ff>IIf(Corr<-<FONT
color=#ff00ff>0.8,colorRed,<FONT
color=#0000ff>IIf(Corr<-<FONT
color=#ff00ff>0.5,colorOrange,<FONT
color=#0000ff>IIf(Corr<-<FONT
color=#ff00ff>0.2,colorLightOrange,<FONT
color=#0000ff>IIf(Corr<<FONT
color=#ff00ff>0.2,colorCustom9,<FONT
color=#0000ff>IIf(Corr<<FONT
color=#ff00ff>0.5,colorAqua,<FONT
color=#0000ff>IIf(Corr<<FONT
color=#ff00ff>0.8,colorBrightGreen,colorGreen)))))));
AddColumn(
Corr, Ticker2, 1.3, <FONT
color=#ff00ff>1, Color);
} <FONT face=Arial
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