Re: [amibroker] Metastock Code Translation Help

["Anthony Faragasso" <ajf1111@xxxxxxxx>]

Hello,

 

I would check your High volatility formula, out of 7000 + symbols only 1 hit.....also, maybe put some volume criteria in the scan to remove illiquid symbols.

HighVol=Close>20 AND (HHV((StDev(log(C/Ref(C,-1)),23) * sqrt(365)),5)) <

(HHV((StDev(log(C/Ref(C,-1)),23) * sqrt(365)),253)) AND

Ref((HHV((StDev(log(C/Ref(C,-1)),23) * sqrt(365)),5))

,-1)==Ref((HHV((StDev(log(C/Ref(C,-1)),23) * sqrt(365)),253)) ,-1) AND

(StDev(log(C/Ref(C,-1)),23) * sqrt(365))< Ref((StDev(log(C/Ref(C,-1)),23) *

sqrt(365)),-1);

LowVol= Close>20 AND (StDev(log(C/Ref(C,-1)),6) * sqrt(365))

<0.5*(StDev(log(C/Ref(C,-1)),100) * sqrt(365)) AND

(StDev(log(C/Ref(C,-1)),10) * sqrt(365))<0.5*(StDev(log(C/Ref(C,-1)),100) *

sqrt(365));

 

Filter=HighVol OR LowVol ;

AddColumn(Highvol*1,"High");

AddColumn(Lowvol*-1,"low");

----- Original Message -----

From: ct1942

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, April 16, 2005 12:29 PM

Subject: [amibroker] Metastock Code Translation Help

I've been using Fishback's ODDS exploration in metastock. Could anyone
translate the code below to Amibroker.

The exploration searches all securities for extremely high or
extremely low volatility.  Extremely high volatility securities will
show a "1" in the "Hi/low ?" column of the report, whereas extremely
low volatility securities will show a "-1". 

Formula:

If(CLOSE>20 AND (HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),5)) <
(HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),253)) AND
Ref((HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),5))
,-1)=Ref((HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),253)) ,-1) AND
(Std(Log(C/Ref(C,-1)),23) * Sqr(365))< Ref((Std(Log(C/Ref(C,-1)),23) *
Sqr(365)),-1),1{high volatility},If(
CLOSE>20 AND (Std(Log(C/Ref(C,-1)),6) * Sqr(365))
<0.5*(Std(Log(C/Ref(C,-1)),100) * Sqr(365)) AND
(Std(Log(C/Ref(C,-1)),10) * Sqr(365))<0.5*(Std(Log(C/Ref(C,-1)),100) *
Sqr(365)),-1{low volatility},0))

Filter:

(CLOSE>20 AND (HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),5)) <
(HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),253)) AND
Ref((HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),5))
,-1)=Ref((HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),253)) ,-1) AND
(Std(Log(C/Ref(C,-1)),23) * Sqr(365))< Ref((Std(Log(C/Ref(C,-1)),23) *
Sqr(365)),-1)) OR
CLOSE>20 AND (Std(Log(C/Ref(C,-1)),6) * Sqr(365))
<0.5*(Std(Log(C/Ref(C,-1)),100) * Sqr(365)) AND
(Std(Log(C/Ref(C,-1)),10) * Sqr(365))<0.5*(Std(Log(C/Ref(C,-1)),100) *
Sqr(365))

TIA,

ct1942





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