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Anthony,
Thanks for the formula help.....I ran the exploration in metastock on
only 1600 stocks and, I also came up with only 1 stock, TR.
I will take your advice and add the liquidity filter.
Thanks again,
Cordell
--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx>
wrote:
> 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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