Hi,
I’m trying to create a Composite
Index and am having a major problem. I’d appreciate any help you
can give. I hope it’s just a simple user
error.
I’m trying to create a Money
Flow-related composite indicator on Sectors using AddToComposite. It is
similar to the AD line, but also includes a money amount. Other
than being a little “twitchy”, the basic code works GREAT! That is,
until I add a 3 period, simple MA on the base stock data to smooth it out a
bit…
You would expect an MA to smooth
out the data. However, when I added a simple MA on the stock-level data,
the data went crazy. For example, the “Amount”
histogram bars of the Materials Sector DMF (the “~DMF_USSEC_Materials”) varies
between positive 2 million dollars to negative 3 million dollars.
That’s fine. With a 3MA on the base data, we would expect smoothed
data. Instead the 3MA Sector data the (“~DMF3_USSEC_Materials”) varies
between about minus 900 million dollars to minus 20 billion
dollars!
Below is a test Composite Scan
that creates the Composite Sector DMF index. I’ve colored the key code
in red. As you can see, the only difference between the “Good” symbols
and the “Bad” symbols is a 3 period smoothing MA.
Just above the Scan code is Chart
code that displays the values correctly.
Note that I’m using QuotesPlus
data, but this should work with other data vendors as well. Also, note
that the scan stuffs the resulting symbols into WatchList 44. I’ve
assigned this to the “WLTest” variable.
To reproduce the error,
1)
Create a new chart showing price
bars.
2)
Add the Chart code to the
Chart.
3)
Paste the Composite Scan Code into
an AFL window and save it to an AFL file.
4)
Run an exploration using “All
Symbols” and Range = “1” last days.
5)
Navigate to Watch List 44 in the
Workspace and click on the “~DMF_USSEC_Materials”. The symbols
should display a valid chart.
6)
Now click on the 3MA symbol -
“~DMF3_USSEC_Materials”. Data now looks
bad.
I hope this is just a dumb error
on my part. I’ve tried about 20 different solutions and nothing changes
the result. I’d appreciate any
help.
Best
regards,
Dan.
Chart
Code:
if (StrLeft(Name(), 4) ==
"~DMF")
{
DMFAmt
=
C
;
DMFVolume =
V
;
DMFCount
=
OI
;
Plot(DMFAmt, "DMF Amt", IIf(DMFAmt > 0, colorLime, colorRed),
styleHistogram);
Plot(DMFAmt, "DMF Amt", IIf(DMFAmt > 0, colorLime, colorRed), styleLine
);
Plot(DMFCount, "DMF Count", colorCustom1, styleLine |
styleOwnScale);
}
else
{
Plot( C, "Close", IIf( C > O, ParamColor("Up Color", colorGreen ),
ParamColor("Down Color", colorRed ) );
}
Composite Scan
Code:
// Created by Dan
Clark
//Parameters
PriceMin = Param( "Minimum
Price", 3, 1, 100, 1 );
PriceMax = Param( "Maximum
Price", 60, 1, 1000000, 1 );
VolumeMin = Param( "Minimum
Volume/1000", 100, 10, 100, 10 );
//Watchlist
Numbers
WLTest
= 44 ;
//AddToCompositeFlags
atcCurrentFlags
= atcFlagResetValues + atcFlagCompositeGroup +
atcFlagEnableInExplore;
//Get group
name
GroupName =
GroupID(1);
//Init Utility
Variables
SectorSymbol
= NumToStr(SectorID(0), 1.0);
SectorName
=
SectorID(1);
//Filter the
symbols
USStock
=
C
>= PriceMin
AND V
>= (VolumeMin
* 1000)
AND GroupName == "Common
Stocks"
AND SectorName !=
"Undefined"
;
//Set
flags
bUSStock
= USStock[BarCount-1];
Buy
=
0;
Sell
=
0;
Filter
= USStock; //Buy OR Sell;
//Init
DMFAmtTemp
= 0 ;
DMFVolumeTemp = 0
;
DMFCountTemp = 0
;
DMFAmt
= 0 ;
DMFVolume
= 0 ;
DMFCount
= 0 ;
DMF3Amt
= 0 ;
DMF3Volume
= 0 ;
DMF3Count
= 0 ;
TrueHigh
= 0 ;
TrueLow
= 0 ;
PriorClose
= 0 ;
TypicalPrice = 0
;
if
(bUSStock)
{
//DMF
// This weights the count and the Money Flow (not just volume) by the relative
position of the close in the True Range
PriorClose
= Ref(C, -1)
;
TypicalPrice = C;
//(H + L + C) /
3
;
TrueLow
= L; //IIf( PriorClose < L, PriorClose, L )
;
TrueHigh
= H; //IIf( PriorClose > H, PriorClose, H )
;
CloseLocValue
= ( (C - TrueLow)-( TrueHigh - C) ) / (TrueHigh
- TrueLow) ;
//Close Location Value range from +1 to 0 to -1
DMFVolume
= CloseLocValue * (V/1000) ;
//Works fine.
DMFAmt
= DMFVolume * TypicalPrice ;
//Works fine.
DMFCount
= CloseLocValue * 1
; //Works fine.
DMF3Volume
= MA(DMFVolume, 3)
; //Bad Data!
DMF3Amt
= MA(DMFAmt , 3)
; //Bad Data!
DMF3Count
= MA(DMFCount , 3)
; //Bad Data!
}
//Add Symbols to USStock
Watchlist and to composite indexes
if (bUSStock)
//Buy[1])
{
// Init Symbols
DMFUSMktSym
=
"~DMF_USMkt";
DMFUSMktName
=
"~DMF_USMkt";
DMF3USMktSym
=
"~DMF3_USMkt";
DMF3USMktName
=
"~DMF3_USMkt";
/*
** US Master
Indexes
*/
//creates DMF
AddToComposite(DMF3Amt ,
DMF3USMktSym, "C", atcCurrentFlags);
AddToComposite(DMF3Volume, DMF3USMktSym, "V", atcCurrentFlags);
AddToComposite(DMF3Count, DMF3USMktSym, "I", atcCurrentFlags);
AddToComposite(DMFAmt
, DMFUSMktSym, "C",
atcCurrentFlags);
AddToComposite(DMFVolume, DMFUSMktSym, "V", atcCurrentFlags);
AddToComposite(DMFCount, DMFUSMktSym, "I", atcCurrentFlags);
/*
** US Sector Indexes
*/
DMFUSSecSym
= "~DMF_USSec_" +
SectorSymbol; //Advance/Decline line by
sector
DMFUSSecName
= "~DMF_USSec_" +
SectorName;
//Advance/Decline line by sector
DMF3USSecSym
= "~DMF3_USSec_" + SectorSymbol; //Advance/Decline line by
sector
DMF3USSecName
= "~DMF3_USSec_" +
SectorName;
//Advance/Decline line by sector
//creates DMF by Sector Composite
AddToComposite(DMF3Amt ,
DMF3USSecSym, "C", atcCurrentFlags);
AddToComposite(DMF3Volume, DMF3USSecSym, "V", atcCurrentFlags);
AddToComposite(DMF3Count, DMF3USSecSym, "I", atcCurrentFlags);
AddToComposite(DMFAmt
, DMFUSSecSym, "C",
atcCurrentFlags);
AddToComposite(DMFVolume, DMFUSSecSym, "V", atcCurrentFlags);
AddToComposite(DMFCount, DMFUSSecSym, "I", atcCurrentFlags);
/*
** Modify Names
*/
//Modify the indices SymbolName
// Instantiate Broker.Application
AB = CreateStaticObject("Broker.Application");
cs = AB.Stocks(DMFUSMktSym);
cs.FullName = DMFUSMktName;
cs = AB.Stocks(DMFUSSecSym);
cs.FullName = DMFUSSecName;
cs = AB.Stocks(DMF3USMktSym);
cs.FullName = DMF3USMktName;
cs = AB.Stocks(DMF3USSecSym);
cs.FullName = DMF3USSecName;
/*
** Add to Watchlists
*/
//Add US Market Indexes
CategoryAddSymbol( DMFUSMktSym , categoryWatchlist,
WLTest);
//Add Sector Indexes
CategoryAddSymbol( DMFUSSecSym , categoryWatchlist, WLTest);
//Add US Market Indexes
CategoryAddSymbol( DMF3USMktSym, categoryWatchlist, WLTest);
//Add Sector Indexes
CategoryAddSymbol( DMF3USSecSym, categoryWatchlist, WLTest);
}
SetOption("NoDefaultColumns",
True );
AddTextColumn(Name()
, "Symbol");
AddTextColumn(FullName()
, "Company");
AddColumn(C
, "Close");
AddColumn(V/1000
, "Vol/1000", format =
1.0);
AddColumn(bUSStock
,
"bUSStock");
AddColumn( DMFVolume
, "DMFVolume" ,
1.2);
AddColumn( DMFCount
,
"DMFCount" , 1.2);
AddColumn( DMFAmt
, "DMFAmt " ,
1.2);
AddColumn(
DMF3Volume
, "DMF3Volume" , 1.2);
AddColumn( DMF3Count
,
"DMF3Count" , 1.2);
AddColumn( DMF3Amt
, "DMF3Amt " ,
1.2);
AddTextColumn(GroupName
, "GroupName");
AddTextColumn(SectorSymbol
, "SectorSymbol");
AddTextColumn(SectorName
, "SectorName");
AddTextColumn(IndustrySymbol
, "IndustrySymbol");
AddTextColumn(IndustryName
, "IndustryName");