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Hello
Yuki,
<FONT face=Arial
size=2>
You can append the
following two lines to your system's code:
<FONT face=Arial color=#0000ff
size=2>
<FONT
color=#0000ff>AddToComposite(<FONT
color=#ff0000>Buy, <FONT
color=#ff00ff>"~Buys",<FONT
color=#ff00ff>"X"<FONT
color=#000000>); AddToComposite<FONT
color=#000000>(Short<FONT
color=#000000>,"~Shorts"<FONT
color=#000000>,"X"<FONT
color=#000000>);
<FONT face=Arial
size=2>
and, after running a
Scan on your Waychlist, you can display them by copying this in an
indicator:
<FONT face=Arial
size=2>
S = <FONT
color=#0000ff>Param(<FONT
color=#ff00ff>"IndicatorSelect",<FONT
color=#ff00ff>0,<FONT
color=#ff00ff>0,<FONT
color=#ff00ff>1,<FONT
color=#ff00ff>1<FONT
color=#000000>); Buys = Foreign<FONT
color=#000000>("~Buys"<FONT
color=#000000>,"C"<FONT
size=2>); Shorts = <FONT
color=#0000ff>Foreign(<FONT
color=#ff00ff>"~Shorts",<FONT
color=#ff00ff>"C"<FONT
color=#000000>); BP = Buys/(Buys+Shorts)*<FONT
color=#ff00ff>100<FONT
color=#000000>; SP = Shorts/(Buys+Shorts)*<FONT
color=#ff00ff>100<FONT
color=#000000>; if<FONT
color=#000000>(S==0) {
Plot(BP,<FONT
color=#ff00ff>"Buys",<FONT
color=#ff00ff>1,<FONT
color=#ff00ff>1); <FONT
color=#0000ff>Plot(SP,<FONT
color=#ff00ff>"Shorts",<FONT
color=#ff00ff>4,<FONT
color=#ff00ff>1<FONT
color=#000000>); } if<FONT
color=#000000>(S==1) {
Plot(Buys,<FONT
color=#ff00ff>"Buys",<FONT
color=#ff00ff>1,<FONT
color=#ff00ff>1); <FONT
color=#0000ff>Plot(Shorts,<FONT
color=#ff00ff>"Shorts",<FONT
color=#ff00ff>4,<FONT
color=#ff00ff>1);
<FONT face=Arial
size=2>
which will display
the percentage of Buy signals vs the percentage of Sell signals - wrt the total
number of signals present at anytime. Use the Param() to display either signal
counts or percentage of signals.
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>herman
<FONT face=Tahoma
size=2>-----Original Message-----From: Yuki Taga
[mailto:yukitaga@xxxxxxxxxxxxx]Sent: January 21, 2004 8:16
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
testing signal correlationHi guys,I already
have a pretty good idea just from looking over back testresults that
signal success seems highly correlated with the numberof signals I get on
any particular day. That is to say, out of abasket of, say, 20
stocks, if 8 or 10 of them signal the same way, itseems highly likely that
a very high percentage of those signals aregoing to be good, whereas if
only a single stock triggers on aparticular day, the odds of success,
while still good, are not nearlyas good as when many issues signal at the
same time.I'd like to try and quantify that in a back test, but I am
not surehow to write the code. I need to include some argument in
the buyand short statements that requires a certain level of
"participation"before any signals are taken. (This would allow me to
run variousback tests for that level, in an attempt to discover if this is
evena condition I should consider requiring.)Can anyone help with
the argument part of
this?Best,YukiSend BUG REPORTS to
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