|
PureBytes Links
Trading Reference Links
|
Scott, I re-read Gary's article and still think it's a great piece.
I just altered the code a bit, more universal and readable. Discard
the first code. Please read on below the code.
/* code start */
// ATC Scan, use filter Market/Group/Watchlist BENCHMARK'S UNIVERSE
components
// otr = off. target's return
// dtr = def. target's return
// obr = off. benchmark's return
// dbr = def. benchmark's return
// os = off. strength
// ds = def. strength
// cumos = cumulative off. strength
// cumds = cumulative def. strength
period = 100; // Set lookback period
benchmark = "QQQ"; // Set benchmark
Buy = Sell = Cover = Short = 0;
x = Foreign(benchmark,"C");
otr = IIf(x >= Ref(x,-1),ROC(C,1),0);
dtr = IIf(x < Ref(x,-1),ROC(C,1),0);
obr = IIf(x >= Ref(x,-1),ROC(x,1),0);
dbr = IIf(x < Ref(x,-1),ROC(x,1),0);
os = otr-obr;
ds = dtr-dbr;
cumos = Sum(os,period);
cumds = Sum(ds,period);
cumos_NE = IIf(cumos >= -cumds,cumos,0);
cumos_SW = IIf(cumos <= -cumds,cumos,0);
cumds_NE = IIf(cumos >= -cumds,cumds,0);
cumds_SW = IIf(cumos <= -cumds,cumds,0);
AddToComposite(cumos_NE,"~janus","O");
AddToComposite(cumos_SW,"~janus","H");
AddToComposite(cumds_NE,"~janus","L");
AddToComposite(cumds_SW,"~janus","C");
//AddToComposite(IIf(cumos >= -cumds,1,0),"~janus","V");
//AddToComposite(IIf(cumos <= -cumds,1,0),"~janus","I");
/* code end */
// Indicator Janus NorthEast
Plot(Foreign("~janus","O"),"Off.Strength_NE",colorGreen);
Plot(Foreign("~janus","L"),"Def.Strength_NE",colorTurquoise);
Plot(0,"",colorBlack);
// Indicator Janus SouthWest
Plot(Foreign("~janus","H"),"Off.Strength_SW",colorRed);
Plot(Foreign("~janus","C"),"Def.Strength_SW",colorLightOrange);
Plot(0,"",colorBlack);
------
I remember having difficulty with Gary's scoring system, in
particular when he writes that he divides a benchmark's return into a
target's return. If the benchmark is up 1% and a target is up 2% that
results in a score of 2, so far so good. But should a target be down -
2% then the score would be -2, while the relative performance of this
target is obviously far worse. By instead subtracting the ROC's I
tried to measure a balanced relative score. Any thoughts?
-treliff
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|