[amibroker] Re: help with simple corelation marix

["jeremy7827110028" <jberkovits1@xxxxxxxxxx>]

Thank you Greg.  i will give this a spin.

Regards,

JB



--- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:
> Jeremy, 
> 
> Here is a Correlation Matrix Code Contributed by Herman Van Den 
Bergen and modified by me to make changing List to be tested and 
lookback period adjustable thru the Parameters button in the 
Automatic Analyser.
> 
> Instructions are at top of code.
> 
> Copy and paste the following code into the Formula Editor.
> 
> Good Luck,
> 
> Greg
> 
> // Exploration to create Correlation matrix original by Herman Van 
Ven Bergen , Modified by GB
> 
> // Be sure to set "Apply to" to desired wishlist name ( "use 
filter" "Define..." )
> 
> // Also, change the watchlist number to the correct number (zero 
based)as defined in "Apply To"
> 
> // By adjusting Parameters in AA as well as LookBack period//
> 
> Buy=Sell=Short=Cover=0; 
> 
> Filter = Status("LastBarInTest"); 
> 
> Listnumber = Param("Listnumber",1,1,263,1);
> 
> LookBackPeriods = Param("Lookback Periods",3,1,252,1);
> 
> list = GetCategorySymbols( categoryWatchlist, Listnumber); 
> 
> for( NumTickers=0; NumTickers < 99 AND StrExtract( list, 
NumTickers ) != ""; NumTickers++ ); 
> 
> AddTextColumn(Name(),"Ticker",1.0); 
> 
> for( Col=0; Col<NumTickers; Col++) 
> 
> { 
> 
> Ticker1 = Name(); 
> 
> Ticker2 = StrExtract( list, Col); 
> 
> Var1 = Foreign(Ticker1,"C"); 
> 
> Var2 = Foreign(Ticker2,"C"); 
> 
> Test = Correlation( Var1, Var2, LookBackPeriods ); 
> 
> Color = IIf(Test>0, colorGreen, IIf(Test<0, colorRed, colorWhite)); 
> 
> Color = IIf(Ticker1==Ticker2, 1, color); 
> 
> AddColumn( Test, Ticker2, 1.3, 1, color); 
> 
> } 
> 
> 
> 
>   ----- Original Message ----- 
>   From: jeremy7827110028 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Wednesday, June 29, 2005 12:56 PM
>   Subject: [amibroker] help with simple corelation marix
> 
> 
>   I have a watch list with   5 stocks.  I am trying to code a 
correlation 
>   matrix that reports the correlation for each pair for the last 
10, 30, 
>   90, and 252 bars.  I am new to AmiBroker and have no clue on how 
to 
>   approach this one.  Any help would be greatly appreciated.
> 
>   Regards,
> 
>   Jeremy
> 
> 
> 
> 
> 
>   Please note that this group is for discussion between users only.
> 
>   To get support from AmiBroker please send an e-mail directly to 
>   SUPPORT {at} amibroker.com
> 
>   For other support material please check also:
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> 
> 
> 
> 
> 
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