Jason,
Right now, I’m experimenting with
several types of indicators (including one that uses parts of your relative
strength scan). As I fine tune the system, I’m
sure that I’ll cut back on the types of indicators and the number of
periods used. But…
In general, I’m using several types
of composite “indicators” and am thinking about using another:
- Summation
index of all stocks whose Group is “Common Stocks” and whose
Sector <> “Undefined”
- Custom
Money Flow indicator similar to Chaikin, but computed using price and
volume.
- New
Hi’s/Lows’s in the last 10 days and in the last 6 months.
- Advance/Decline
counts and volume.
- Relative
Strength of the summation index (item 1, above)
- Ranking
of ATC symbols using relative strength (item 5, above) within its
hierarchy level (see below).
- RSI
Counts (currently early experimentation with this one).
With the exception of #7 above, each of
the indicators are broken down by Group (US Stocks vs ADR), then by Sector,
then by Industry. Orthogonally, each of the levels (Group, Sector,
etc.) is further broken down into four components – Large Cap, Mid Cap,
Small Cap, and All Caps. In addition, all stock
symbols are mapped to an industry and Group. Industries are mapped to a Sector.
Finally, I have Market-related indicators (NYSE, NASDAQ, etc).
For analysis, I can chart or scan on any
of the ATC symbols looking for strongest/weakest groups, sectors, industries,
in total or by cap level. Or, I can use the ATC symbols
as overlays on a stock chart. I.e., I can chart a stock symbol and overlay
an indicator of its group, sector and industry (by Market Cap or not) –
either the index, money flow, new hi/lows, AD, relative strength, or RS rank.
As you can see from the attached “ABAXWithNewHiLow.gif”
file, any of the indicators can be chosen as an overlay and parameters drive
how it’s displayed. For example, I can choose the “New HiLow
Period” of either Short (10 days) or Long (125 days). For AD,
I can select either to use the AD Volume or AD Count displayed as either a raw
value or as percent of total value.
The ABAXWithNewHiLow.gif shows the symbol
ABAX. Its industry is “Health-Instruments”. It’s
a “Small Cap” stock. I’ve overlaid the Short-term
New Hi/Low indicator (new highs and lows in the last 10 days) for the US, Small Cap, Health-Instruments
stocks. (As you can see, small cap Health Instruments is
getting more volatile in the last 10 days.)
For example, the attached Top2StrongestWeakestSectorsMidCap.gif
shows a Relative Performance (ROC) chart of Mid Cap Sectors for the last 21
trading days. It is filtered to show only the top and bottom two
sectors. The NYSE Composite Index (“!NYA” Quotes Plus
symbol) is plotted for comparison. AllStrongestWeakestSectorsAllCap.gif
shows the same thing with all Sectors displayed (not just top and bottom 2) and
showing the “All Cap” indexes (not just the Mid Cap indexes).
Crunching these indicators takes three
scans which run in about 35 minutes end-to-end. I’ll be
automating the scan process shortly, but now I run 1, then 2, then 3. Once
created, scanning or charting the indicator symbol is very quick (just like any
other symbols).
I’m a Data Warehouse Architect by
profession. One of the key strategies in Data Warehousing is preprocessing
and pre-“crunching” data for customers. I.e., massage and
aggregate data offline so the customers get high-speed results. That’s
what I’ve done here. Now I focus on analysis and I’m
not slowed down waiting for data to be crunched. In many cases,
what I’m doing would be virtually impossible if the indicators were
calculated real-time.
One of the key issues here is that I’m
experimenting. Some of my ideas are pretty stupid. Some work out
nicely. But I don’t know which is which until I try
them out. Using pre-processed ATC symbols, I can run tests and
experiment very quickly. Without ATC symbols, testing would
be long and arduous at best, and impossible at worst.
I think that ATC is the MOST powerful, but
least appreciated feature in AB. While AB has a very powerful
feature set, the other power features pale in comparison to ATC! (IMO,
of course.)
Regards,
Dan.
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Jason Hart
Sent: Thursday, October 27, 2005
5:33 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] AFL help
I read you have constructed something like 4,000 composites. Can
you share as to what you do with all of these?! I don't have many, maybe
a little over a dozen or so, but I mostly use mine for market sentiment
purposes. I'm curious how other AB users apply this powerful
tool.
Jason
Dan Clark
<dan_public@xxxxxxxxxxx> wrote:
Pankaj,
As Jason and others have said, you need to
use AddToComposite. There are actually two parts. First is the
AddToComposite Exploration to create the ATC symbol. Second is the Chart
plotting AFL to plot the ATC symbol.
As a quick exercise, I created both
(below).
Notes:
- I
used the “H” and “L” values to save the GT and LT
counts.
- I
use an Exploration so that I can audit the values produced. A bit
slower, but more accurate.
- The
procedure allows you to package the code and more easily reuse if you want
to create more symbols. I.e., you could change the name of the
symbol and then add additional symbols by calculating different RSI values
and simply calling CompositeLoad multiple times:
- CompositeLoad("~RSI_9_40Counts"…
- CompositeLoad("~RSI_9_50Counts"…
- CompositeLoad("~RSI_14_40Counts"…
- …
ATC is a very nice AB
feature. Currently, I’m creating about 4,000 ATC symbols.
Regards,
Dan.
Chart Plot:
//Save to file
name like, “PlotRSICounts.afl” and then add as a pane.
if(Name() ==
"~RSICounts")
{
RSIGreaterThanTargetCount = H;
RSILessThanTargetCount = L;
Plot(RSIGreaterThanTargetCount
, "RSI >= 40", colorGreen, styleLine | styleThick);
Plot(RSILessThanTargetCount , "RSI <
40" , colorRed, styleLine | styleThick);
}
ATC Exploration:
//Save this to a
file named like, “RSICountsComposite.afl.
//Open file in AA.
Use a filter to define the source Watchlist, group, etc.
//Click
“Parameters” and set your target RSI Value (like “40”),
the
//number of RSI
Periods (like “9”) and the target Watchlist number (like
“61”)
//where you want
to resulting symbol to be saved.
// Instantiate
Broker.Application
AB =
CreateStaticObject("Broker.Application");
//Procedure to add
to Composite values
procedure
CompositeLoad(Sym, SymName, CloseVal, OpenVal, HighVal, LowVal, VolVal,
OpenIntVal, ATCFlags, TargetWLNbr)
{
//Add
To Composite
AddToComposite(CloseVal, Sym,
"C", ATCFlags);
AddToComposite(OpenVal, Sym, "O", ATCFlags);
AddToComposite(HighVal, Sym, "H", ATCFlags);
AddToComposite(LowVal, Sym, "L", ATCFlags);
AddToComposite(VolVal,
Sym, "V", ATCFlags);
AddToComposite(OpenIntVal, Sym, "I", ATCFlags);
//Modify Names
cs
= AB.Stocks(Sym)
;
cs.FullName = SymName
;
//
Add to Watchlists
if
(TargetWLNbr != 0)
CategoryAddSymbol(Sym, categoryWatchlist, TargetWLNbr);
}
//Parameters
RSIPeriods
=
Param( "Number of RSI Periods", 9, 1, 100, 1 );
RSITargetValue
= Param( "RSI Target Value", 40, 1, 100, 1 );
//Set Watchlist to
save target symbol
TargetWatchListNbr
= Param( "Target Watchlist Number", 61, 1, 63, 1 );
//Get RSI Value
RSIValue
=
RSI(RSIPeriods);
//Set the counts
RSIGreaterThanTargetCount
= IIf(RSIValue >= RSITargetValue, 1, 0);
RSILessThanTargetCount
= IIf(RSIValue < RSITargetValue, 1, 0);
//AddToCompositeFlags
atcCurrentFlags
= atcFlagResetValues + atcFlagCompositeGroup + atcFlagEnableInExplore;
//Load composite
symbols and add to watchlist
//CompositeLoad(Sym
,
SymName
,
CloseVal
, OpenVal, HighVal, LowVal, VolVal, OpenIntVal, ATCFlags, TargetWLNbr)
CompositeLoad("~RSICounts",
"~RSI Counts GT and LT 40", 0, 0, RSIGreaterThanTargetCount,
RSILessThanTargetCount, 0, 0, atcCurrentFlags, TargetWatchListNbr);
//Filter for
exploration - get all symbols
Filter = Buy = 1;
//Exploration
columns
SetOption("NoDefaultColumns"
, True );
AddTextColumn(Name()
, "Symbol");
AddTextColumn(FullName()
, "Company");
AddColumn(RSIValue
, "RSIValue");
AddColumn(RSIGreaterThanTargetCount
, "RSIGreaterThanTargetCount" , format = 1.0);
AddColumn(RSILessThanTargetCount
, "RSILessThanTargetCount" , format = 1.0);
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Pankaj Chawla
Sent: Tuesday, October 25, 2005
4:36 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] AFL help
Given below is what am lookin for
I want to plot the NUMBER of issues(scrips) with rsi
below 40 and also plot the NUMBER of issues with rsi
above 40.
say if out of 100 issues.. there are 30 scrips
matching rsi (10)<40, and 70 matching rsi(10) > 40.
how would i get those figures n how do i plot them as
a indicator. I want to plot two lines one for each
match on a daily basis.
Hope am clear on what i want.
Thanks
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