|
PureBytes Links
Trading Reference Links
|
"averaged to yield % change"
An example would be - you have 4 stocks. You compute the % change
for each for today. Say +1%, +2%, +3%, +4%, the average gain would be:
1+2+3+4 / 4 = 2.5%
If you invested 10,000 in each stock, your portfolio would have
increased by 40,000 * 0.025 = $1000
Now if you stored the daily % change in a foreign stock using the
AddToComposite function, a plot of that
PlotForeign("^foobar", "Port %" , . . . ) would produce a graph of the
% gain/loss in your portfolio.
I will produce a version of my code that is "suitable for framing" and
publish it here in the next day or so. (It currently is too hacker-ish
for publication)
Reef-Break
--- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark" <dan_public@xxxx> wrote:
> Reef,
>
>
>
> That's an interesting approach. When you say, ".then averaged to
yield
> the % change.". Is this an MA of the summed values? Or is this
something
> else?
>
>
>
> FYI, I'm experimenting with an AD index, a simple summation index, a
custom
> Money Flow index (like CMF but using True Range and computed for
markets,
> sectors and industries), and a new highs/lows index. So far, the
summation
> index and DMF has shown the best signals, but I'm still testing.
>
>
>
> I'd like to experiment with your index. I'll be happy to share my
code.
>
>
>
> Regards,
>
>
>
> Dan.
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Ed Hoopes
> Sent: Tuesday, September 06, 2005 12:07 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Creating Indexes with AddToComposite
>
>
>
> There is an additional type of index that I use. When I trade, I buy
> a portfolio of stocks, and invest a equal dollar amount in each stock.
>
> To track this type of portfolio, it is useful to create an index in
> which the daily PERCENT change for each stock is calculated, then
> summed, then averaged to yield the % change for the portfolio.
>
> I realize that if you already own the stocks, you can do the same with
> your portfolio value. But I find this valuable when exploring
> historical data, new groups of stocks or wanting to look at a subset
> of the positions I currently have.
>
> Reef-Break
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark" <dan_public@xxxx> wrote:
> > Tomasz,
> >
> >
> >
> > Thanks for the great feedback. Two questions, though.
> >
> >
> >
> > 1. I agree that the High and Low of the day can occur at any
> time, but
> > for EOD purposes, why would High-Low values be any different than
> Open-Close
> > values?
> >
> >
> >
> > 2. Regarding unweighted indexes vs. weighted indexes (including
> > cap-weighted), do you have any links or references that I can use to
> > research:
> >
> >
> >
> > * What are the benefits of weighted versus unweighted indexes?
> > When/why would you use one versus the other?
> > * How is the "weighting" of weighted indexes typically
calculated?
> > For example, is it done by simply multiplying the price time the
> number of
> > shares outstanding?
> >
> >
> >
> > Thanks and best regards,
> >
> >
> >
> > Dan.
> >
> >
> >
> >
> >
> > _____
> >
> > From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of Tomasz Janeczko
> > Sent: Tuesday, September 06, 2005 3:04 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Creating Indexes with AddToComposite
> >
> >
> >
> > Hello,
> >
> >
> >
> > Simply adding prices generates "unweighted" index. It is valid
> technique.
> > Dow Jones Industrials is most
> >
> > popular example of such index.
> >
> >
> >
> > Usual approach is to do capitalization-weighting. For this you need
> to know
> > the number of shares issued.
> >
> > Such information is available from Quotes Plus. SP 500 is example of
> > capitalization-weighted index.
> >
> >
> >
> > As for composite high and low there is another issue to consider:
> >
> > It is not possible to re-create "real-time" High-Low values of
composite
> > index using EOD data for
> >
> > simple fact that Highs and Lows on index components occur at
> DIFFERENT times
> > during the day.
> >
> > Simple sum gives just the result that is equivalent to the situation
> when
> > High and Low is hit
> >
> > on ALL components at the same time. (very very rare).
> >
> > Unfortunatelly without intraday data you have simply no other option.
> >
> >
> >
> > Composite Open and Close are of course correct because open and
> close prices
> > occur
> >
> > at the same time on all components (market open/close times)
> >
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> >
> > ----- Original Message -----
> >
> > From: Dan Clark <mailto:dan_public@x...>
> >
> > To: amibroker@xxxxxxxxxxxxxxx
> >
> > Sent: Tuesday, September 06, 2005 5:19 AM
> >
> > Subject: [amibroker] Creating Indexes with AddToComposite
> >
> >
> >
> > Hi,
> >
> >
> >
> > I'm creating custom indices using AddToComposite. IMO, this is
> one of the
> > best features of AB and, after a few some initial rough spots (all my
> > fault), I have NO technical problems creating a composite index.
> > However...
> >
> >
> >
> > When creating an index which is simple composite of the US Common
> Stocks, I
> > notice that the daily range is almost exactly the same and price
> movements
> > are relatively muted when compared to the standard S&P 500 index. For
> > reference, below is the composite index data created from stocks
> with Close
> > > $ and volume > 100,000 shares. As you can see, the daily range
> rarely
> > goes below 130 points or over 165 points.
> >
> >
> >
> > What is the best algorithm for creating an index? Is a simple
> summation
> > the best way? Is it valid to simply add together the OHLCV of $3
> stocks and
> > $100 stocks? Would it better to somehow normalize the stock
> prices? If
> > so, how?
> >
> >
> >
> > I'd appreciate any ideas you might have.
> >
> >
> >
> > Thanks and regards,
> >
> >
> >
> > Dan.
> >
> >
> >
>
> > 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
> >
> >
> >
> >
> >
> >
> > SPONSORED LINKS
> >
> >
> > Investment
> >
> <http://groups.yahoo.com/gads?t=ms
>
<http://groups.yahoo.com/gads?t=ms&k=Investment+management+software&w1=Inves
> > &k=Investment+management+software&w1=Inves
> >
>
tment+management+software&w2=Real+estate+investment+software&w3=Investment+p
> >
>
roperty+software&w4=Software+support&w5=Real+estate+investment+analysis+soft
> > ware&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZNcMu4KNQ>
> > management software
> >
> > Real
> >
> <http://groups.yahoo.com/gads?t=ms
>
<http://groups.yahoo.com/gads?t=ms&k=Real+estate+investment+software&w1=Inve
> > &k=Real+estate+investment+software&w1=Inve
> >
>
stment+management+software&w2=Real+estate+investment+software&w3=Investment+
> >
>
property+software&w4=Software+support&w5=Real+estate+investment+analysis+sof
> > tware&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGMtJ9tFSJA>
> estate
> > investment software
> >
> > Investment
> >
> <http://groups.yahoo.com/gads?t=ms
>
<http://groups.yahoo.com/gads?t=ms&k=Investment+property+software&w1=Investm
> > &k=Investment+property+software&w1=Investm
> >
>
ent+management+software&w2=Real+estate+investment+software&w3=Investment+pro
> >
>
perty+software&w4=Software+support&w5=Real+estate+investment+analysis+softwa
> > re&w6=Investment+software&c=6&s=200&.sig=_N6zcwefgp4eg5n6oX5WZw>
> property
> > software
> >
> >
> > Software
> >
> <http://groups.yahoo.com/gads?t=ms
>
<http://groups.yahoo.com/gads?t=ms&k=Software+support&w1=Investment+manageme
> > &k=Software+support&w1=Investment+manageme
> >
>
nt+software&w2=Real+estate+investment+software&w3=Investment+property+softwa
> >
>
re&w4=Software+support&w5=Real+estate+investment+analysis+software&w6=Invest
> > ment+software&c=6&s=200&.sig=MJ2jP31F3n64RDZkDadU8w> support
> >
> > Real
> >
> <http://groups.yahoo.com/gads?t=ms
>
<http://groups.yahoo.com/gads?t=ms&k=Real+estate+investment+analysis+softwar
> > &k=Real+estate+investment+analysis+softwar
> >
>
e&w1=Investment+management+software&w2=Real+estate+investment+software&w3=In
> >
>
vestment+property+software&w4=Software+support&w5=Real+estate+investment+ana
> >
>
lysis+software&w6=Investment+software&c=6&s=200&.sig=GmF8PlAJASx0wrSaX5-Zlw>
> > estate investment analysis software
> >
> > Investment
> >
> <http://groups.yahoo.com/gads?t=ms
>
<http://groups.yahoo.com/gads?t=ms&k=Investment+software&w1=Investment+manag
> > &k=Investment+software&w1=Investment+manag
> >
>
ement+software&w2=Real+estate+investment+software&w3=Investment+property+sof
> >
>
tware&w4=Software+support&w5=Real+estate+investment+analysis+software&w6=Inv
> > estment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg> software
> >
> >
> >
> >
> > _____
> >
> >
> > YAHOO! GROUPS LINKS
> >
> >
> >
> > * Visit your group "amibroker
> > <http://groups.yahoo.com/group/amibroker> " on the web.
> >
> > * To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
> >
> > * Your use of Yahoo! Groups is subject to the Yahoo!
> > <http://docs.yahoo.com/info/terms/> Terms of Service.
> >
> >
> >
> >
> > _____
>
>
>
>
> 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
>
>
>
>
>
>
> _____
>
> YAHOO! GROUPS LINKS
>
>
>
> * Visit your group "amibroker
> <http://groups.yahoo.com/group/amibroker> " on the web.
>
> * To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
> * Your use of Yahoo! Groups is subject to the Yahoo!
> <http://docs.yahoo.com/info/terms/> Terms of Service.
>
>
>
> _____
------------------------ Yahoo! Groups Sponsor --------------------~-->
Put more honey in your pocket. (money matters made easy).
http://us.click.yahoo.com/r7D80C/dlQLAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
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
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|