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I had originally
planned to take this off line as it is old hat to many of the regulars but
several have asked me to keep it here so I will. If you have seen this before
just hit delete and sorry for the waste of bandwidth.
<FONT face=Arial
size=2>
I use QP for my EOD,
you may need to make some adjustments for your data source. The code below
creates a series of composites from which several indicators and explorations
can be developed.
<FONT face=Arial
size=2>
I place the code in
AA then select a watch list of stocks to study. Personally I prefer to select a
a Universe based on criteria which includes min ave vol , institutional
interest, minimum price and a few fundamentals. You may decide to use the
S&P, the Nas 100 or a different basket all together.
<FONT face=Arial
size=2>
Set n=1day and
select the watch list. Scan this list to create the
composites.....
<FONT
face=Arial color=#000000 size=2>
Buy<FONT color=#282828
size=2>=0<FONT color=#282828
size=2>;
newhigh=<FONT
face=Arial>H><FONT
size=2>Ref(HHV<FONT
size=2>(H<FONT
size=2>,10),-<FONT
size=2>1); <FONT
face=Arial color=#000000>//stocks making new high<FONT
color=#282828 size=2>
newlow=<FONT
face=Arial>L<<FONT
size=2>Ref(LLV<FONT
size=2>(L<FONT
size=2>,10),-<FONT
size=2>1); <FONT
face=Arial color=#000000>//Stocks making new low<FONT
color=#282828 size=2>
up=<FONT
face=Arial>C><FONT
size=2>Ref(C<FONT
face=Arial>,-1<FONT color=#282828
size=2>);
dn=<FONT
face=Arial>C<<FONT
size=2>Ref(C<FONT
face=Arial>,-1<FONT color=#282828
size=2>);
upvol=<FONT
size=2>IIf(up,<FONT
size=2>V/<FONT
size=2>C,<FONT
size=2>0<FONT face=Arial
color=#000000>);
dnvol=<FONT
size=2>IIf(dn,<FONT
size=2>V/<FONT
size=2>C,<FONT
size=2>0<FONT face=Arial
color=#000000>);
//x=SectorID(0);<FONT
color=#282828 size=2>
sym=<FONT
size=2>"~"+SectorID<FONT
size=2>(1<FONT
face=Arial color=#000000>);
isym=<FONT
size=2>"~i"+SectorID<FONT
size=2>(1<FONT
face=Arial color=#000000>);
Ad=<FONT
size=2>"~AD"+SectorID<FONT
size=2>(1<FONT
face=Arial color=#000000>);
AddToComposite<FONT
face=Arial>(C<FONT
face=Arial>,sym ,"C");
//adds
Close data to sector
AddToComposite<FONT
face=Arial>(V<FONT
face=Arial>/1000<FONT
size=2>,sym,"V"); <FONT
color=#008000 size=2>// adj vol
overflow
AddToComposite<FONT
face=Arial>(1<FONT
size=2>,sym,"O"); <FONT
color=#008000 size=2>//counts
stocks
AddToComposite<FONT
face=Arial>(IIf<FONT
size=2>(newhigh,1,<FONT
size=2>0),sym,"H"<FONT
size=2>);<FONT face=Arial
color=#000000>//counts new highs
AddToComposite<FONT
face=Arial>(IIf<FONT
size=2>(newlow,1,<FONT
size=2>0),sym,"L"<FONT
size=2>);<FONT face=Arial
color=#000000>//Counts new Lows<FONT color=#282828
size=2>
//creates a master index of stocks under
study
AddToComposite<FONT
face=Arial>(C<FONT
face=Arial>,"~Universe"
,"c"<FONT
face=Arial color=#000000>);
AddToComposite<FONT
face=Arial>(V<FONT
face=Arial>/1000<FONT
size=2>,"~Universe" ,<FONT
size=2>"v"<FONT face=Arial
color=#000000>);
AddToComposite<FONT
face=Arial>(1,<FONT
size=2>"~Universe" ,"O"<FONT
size=2>); <FONT face=Arial
color=#000000>//counts stocks
AddToComposite<FONT
face=Arial>(newhigh,"~Universe"<FONT
size=2>,"H"<FONT
face=Arial color=#000000>);
AddToComposite<FONT
face=Arial>(Newlow,"~Universe"<FONT
size=2>,"L"<FONT
face=Arial color=#000000>);
//creates master index of OHLC data
AddToComposite<FONT
face=Arial>(C<FONT
face=Arial>,"~Index"<FONT
size=2>,"C"<FONT
face=Arial color=#000000>);
AddToComposite<FONT
face=Arial>(O<FONT
face=Arial>,"~Index"<FONT
size=2>,"O"<FONT
face=Arial color=#000000>);
AddToComposite<FONT
face=Arial>(H<FONT
face=Arial>,"~Index"<FONT
size=2>,"H"<FONT
face=Arial color=#000000>);
AddToComposite<FONT
face=Arial>(L<FONT
face=Arial>,"~Index"<FONT
size=2>,"l"<FONT
face=Arial color=#000000>);
AddToComposite<FONT
face=Arial>(1,<FONT
size=2>"~index","V"<FONT
size=2>);<FONT face=Arial
color=#000000>//counts stocks in index<FONT color=#282828
size=2>
//creates index by
sector
AddToComposite<FONT
face=Arial>(C<FONT
face=Arial>,isym,"C"<FONT
color=#282828 size=2>);<FONT
color=#0000ff size=2>
AddToComposite<FONT
face=Arial>(O<FONT
face=Arial>,isym,"O"<FONT
color=#282828 size=2>);<FONT
color=#0000ff size=2>
AddToComposite<FONT
face=Arial>(H<FONT
face=Arial>,isym,"H"<FONT
color=#282828 size=2>);<FONT
color=#0000ff size=2>
AddToComposite<FONT
face=Arial>(L<FONT
face=Arial>,isym,"L"<FONT
color=#282828 size=2>);<FONT
color=#0000ff size=2>
AddToComposite<FONT
face=Arial>(1<FONT
size=2>,isym,"V"<FONT color=#282828
size=2>); <FONT color=#008000
size=2>
//creates advance /decline by sector
composite
AddToComposite<FONT
face=Arial>(up,Ad,"C"<FONT
color=#282828 size=2>);<FONT
color=#0000ff size=2>
AddToComposite<FONT
face=Arial>(dn,Ad,"O"<FONT
color=#282828 size=2>);<FONT
color=#0000ff size=2>
AddToComposite<FONT
face=Arial>(upvol,Ad,"H"<FONT
color=#282828 size=2>);<FONT
color=#0000ff size=2>
AddToComposite<FONT
face=Arial>(dnvol,Ad,"L"<FONT
color=#282828>);
Now we
have customized sector indexes for your universe. Place this code in IB to plot
the appropriate sector index along side any stock. Note the count tells you how
many stocks went into the construction of the given
index....<SPAN
class=558072306-24042004>
<SPAN
class=558072306-24042004>//sector index with count
symbol=<FONT
face=Arial>"~i"+SectorID(1<FONT
color=#000000>);
SetForeign<FONT
color=#282828><FONT face=Arial color=#000000
size=2>(symbol);
//the Ti3
average
function<FONT
color=#282828>
T3(price,periods,s)
{
e1=<FONT face=Arial
size=2>EMA<FONT face=Arial color=#000000
size=2>(price,periods);
e2=<FONT face=Arial
size=2>EMA<FONT face=Arial color=#000000
size=2>(e1,Periods);
e3=<FONT face=Arial
size=2>EMA<FONT face=Arial color=#000000
size=2>(e2,Periods);
e4=<FONT face=Arial
size=2>EMA<FONT face=Arial color=#000000
size=2>(e3,Periods);
e5=<FONT face=Arial
size=2>EMA<FONT face=Arial color=#000000
size=2>(e4,Periods);
e6=<FONT face=Arial
size=2>EMA<FONT face=Arial color=#000000
size=2>(e5,Periods);
c1=-s*s*s;
c2=<FONT face=Arial
size=2>3*s*s+3<FONT face=Arial color=#000000
size=2>*s*s*s;
c3=-<FONT face=Arial
size=2>6*s*s-3*s-3<FONT face=Arial color=#000000
size=2>*s*s*s;
c4=<FONT face=Arial
size=2>1+3*s+s*s*s+3<FONT face=Arial color=#000000
size=2>*s*s;
<FONT face=Arial color=#000000
size=2>Ti3=c1*e6+c2*e5+c3*e4+c4*e3;
return<FONT
color=#282828> ti3;
}<FONT
color=#0000ff>
Plot<FONT
face=Arial>(t3(C/V<FONT
face=Arial>,25,.715),"T3(20)",colorYellow<FONT
face=Arial>,1|styleThick<FONT face=Arial
color=#000000>);
Plot<FONT
face=Arial>(t3(C/V<FONT
face=Arial>,10,.74),"T3(10)",colorBlue<FONT
face=Arial>,1|styleThick<FONT face=Arial
color=#000000>);
PlotOHLC<FONT
size=2>(O/V<FONT
face=Arial>,H/V<FONT
face=Arial>,L/V<FONT
face=Arial>,C/V,"
Sector",colorWhite,64<FONT
color=#000000>);
GraphXSpace<FONT
color=#282828>=3<FONT
color=#282828>;
Title<FONT
color=#282828>=SectorID<FONT
color=#282828>(1<FONT
color=#282828>)+" Sector "<FONT
color=#282828>+ V+"
Count"+ "\n "<FONT
color=#282828>+WriteVal<FONT
color=#282828>(ROC<FONT
color=#282828>(C,<FONT
color=#ff00ff>1),<FONT
color=#ff00ff>1.2)+<FONT
color=#ff00ff>"%"<FONT face=Arial
size=2> ;
Here
is an indicator that plots the appropriate induistry group for your stock. QP
posts industry group updates on Saturday so I plot this indicator in Weekly
bars...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial
color=#000000>//industry groups
L1=<FONT
size=2>"!ID00"+IndustryID<FONT
size=2>(0<FONT
face=Arial color=#000000>);
L2=<FONT
size=2>"!ID0"+IndustryID<FONT
size=2>(0<FONT
face=Arial color=#000000>);
L3=<FONT
size=2>"!ID"+IndustryID<FONT
size=2>(0<FONT
face=Arial color=#000000>);
industry=<FONT
face=Arial>WriteIf(<FONT
size=2>IndustryID(0)
<10,l1,<FONT
size=2>WriteIf(IndustryID<FONT
size=2>(0)><FONT
size=2>9 AND<FONT
face=Arial> IndustryID<FONT
size=2>(0)<<FONT
size=2>100<FONT face=Arial
color=#000000>,l2,L3));
SetForeign<FONT color=#282828
size=2>(industry);<FONT
color=#0000ff size=2>
TimeFrameSet<FONT
face=Arial>(inWeekly<FONT
color=#282828 size=2>);<FONT
color=#0000ff size=2>
Plot<FONT
size=2>(C<FONT
size=2>,IndustryID(<FONT
size=2>1),<FONT
size=2>colorWhite,<FONT
size=2>64<FONT face=Arial
color=#000000>);
Plot<FONT
size=2>(MA(<FONT
size=2>C,<FONT
size=2>20),""<FONT
size=2>,colorBlue<FONT
size=2>,1<FONT
face=Arial color=#000000>);
Plot<FONT
size=2>(MA(<FONT
size=2>C,<FONT
size=2>50),""<FONT
size=2>,colorYellow<FONT
face=Arial>,1<FONT color=#282828
size=2>);
Title<FONT color=#282828
size=2>="Industry Group = "<FONT
color=#282828 size=2>+IndustryID<FONT
color=#282828 size=2>(1<FONT
color=#282828 size=2>)+ " ("<FONT
color=#282828 size=2>+industry+")"<FONT
color=#282828 size=2>+"\n Today "<FONT
color=#282828 size=2>+WriteVal<FONT
color=#282828 size=2>(ROC<FONT
color=#282828 size=2>(C<FONT color=#282828
size=2>,1<FONT color=#282828
size=2>),1.2<FONT color=#282828
size=2>)+"%"<FONT color=#282828
size=2>;
GraphXSpace<FONT
color=#282828 size=2>=3<FONT
color=#282828 size=2>;
<FONT face=Arial color=#0000ff
size=2>When I made the composites I collected advance decline data as well. This
indicator utilizes that information...
<FONT face=Arial color=#0000ff
size=2>
<FONT color=#008000
size=2>
//Sector AD Jayson
Casavant
GraphXSpace<FONT
color=#282828 size=2>=15<FONT
color=#282828 size=2>;
pds=<FONT
size=2>Param("Smoothing
Periods",11<FONT
size=2>,1,<FONT
size=2>20,1<FONT
color=#282828 size=2>);
Ad=<FONT
size=2>"~AD"+SectorID<FONT
size=2>(1<FONT
face=Arial color=#000000>);
ADissues=<FONT
face=Arial>Foreign(Ad,<FONT
size=2>"C"<FONT face=Arial
color=#000000>);
Dissues=<FONT
size=2>Foreign(Ad,"O"<FONT
color=#282828 size=2>);
Advol=<FONT
size=2>Foreign(Ad,"h"<FONT
size=2>);<FONT face=Arial
color=#000000>// High vol
Dvol=<FONT
size=2>Foreign(Ad,"l"<FONT
size=2>);<FONT face=Arial
color=#000000>//low vol
addecvol=<FONT
face=Arial>EMA(<FONT
size=2>Sum(advol,pds),pds)-<FONT
size=2>EMA(Sum<FONT
color=#282828 size=2><FONT face=Arial
color=#000000>(dvol,pds),pds);
Plot<FONT
size=2>(addecvol,"AD VOL",<FONT
size=2>IIf(addecvol>0<FONT
size=2>,5,<FONT
size=2>4),2<FONT
color=#282828 size=2>);<FONT
color=#0000ff size=2>
Plot<FONT
size=2>(EMA(adissues,pds)-<FONT
size=2>EMA(dissues,pds),<FONT
size=2>"A/d",1<FONT
size=2>,1|<FONT
size=2>styleOwnScale<FONT
face=Arial color=#000000>);
<FONT face=Arial
color=#000000>//Plot(EMA(dissues,pds),"Decliners",4,1);<FONT
color=#0000ff size=2>
PlotGrid<FONT
size=2>(0,<FONT
size=2>colorWhite<FONT face=Arial
color=#000000>);
Title<FONT color=#282828
size=2>=SectorID<FONT color=#282828
size=2>(1)+
" Sector Advance/Decline"<FONT
color=#282828 size=2>+"\n Advancing Issues
" +<FONT color=#0000ff
size=2>WriteVal(<FONT color=#0000ff
size=2>EMA(Adissues,pds),<FONT
color=#ff00ff size=2>1.0)+<FONT
color=#ff00ff size=2>" Declining Issues "<FONT color=#282828
size=2>+WriteVal<FONT color=#282828
size=2>(EMA<FONT color=#282828
size=2>(dissues,pds),1.0<FONT
color=#282828 size=2>);
<FONT face=Arial color=#0000ff
size=2>Please note that each of the indicators plot the appropriate
secor/industry group charts based on the stock you select. OPen a chart for CSCO
and the Information Sector A/D will plot as will the information sector and the
comp-networks industry group....
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Regards,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Jayson
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