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Joe,
You were dead-on!!!!!! Using "Nz()" solved it! (Now why the MA
version choked and the non-MA version did not choke is another
issue. I'm still clueless on that one.)
I very much appreciate your feedback and TJ's feedback. Your
solution nailed it and TJ's suggestions should help keep me out of
trouble in the future.
Best Regards,
Dan.
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxxx> wrote:
> Hello Dan - Is it possible that you're dividing by zero in the
statement for CloseLocValue, say for some of the tickers?
> Possibly using the Nz function ? like NZ(( (C - TrueLow)-(
TrueHigh - C) ) / (TrueHigh - TrueLow))
>
> CloseLocValue = ( (C - TrueLow)-( TrueHigh - C) ) /
(TrueHigh - TrueLow)
>
> Or as one of my friends does in a moving average routine - he
checks to see if the ticker is empty and puts in a NULL.
>
>
> ticker = Foreign(member, "Close");
> gainfactor = IIf(IsEmpty(Ref(ticker, -1)), Null, ROC(ticker,
1) / 100);
>
> and later as he's accumulating both the count and the gainfactor
he checks again and makes sure it's a zero that's added
> in both the count of tickers and in the accumulated value used in
the average calculation.
>
> gaintotal = gaintotal + IIf(IsEmpty(gainfactor), 0, gainfactor);
> count = count + IIf(IsEmpty(gainfactor), 0, 1);
>
> Just some suggestions where I've run aground before in
accumulating composites.
>
> JOE
>
> ----- Original Message -----
> From: Dan Clark
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, August 31, 2005 11:14 PM
> Subject: [amibroker] Problem using MA whe computing Composite
Indicator
>
>
> 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");
>
>
>
> 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:
> http://www.amibroker.com/support.html
>
>
>
>
>
> -------------------------------------------------------------------
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