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Welcome Wojciech,
Can't help you with your e-signal question, but regarding the other
part, I'm sure you realize you have asked a very open-ended question.
This may help you start ...
First you have to define what you mean by "volatility" and "very
liquid". A couple of the standard measures of volatility that you
might consider are standard deviation (STDEV) and average true range
(ATR). Liquidity might be any stock trading over 100000 shares per
day. Or you might use average daily turnover which is an average of
price multiplied by volume), etc.
So you might start with something like this. Run it an Exploration to
give you a list of stocks that satisfy your requirements ...
VolatilityChange = ATR(1) > ATR(5);
//Todays true range greater than the 5 bar average true range
OC_range = O - Ref( C, -1 ) > Ref( HHV( O - Ref( C, -1 ), 5 ), -1 );
// Today's open-close range is larger than the the largest open-close
range for the previous 5 bars
Filter = VolatilityChange AND OC_range AND MA( Volume, 5 ) > 100000;
// Your gap and volatility change conditions are true and the average
volume over the past 5 days is greater than 100000 (for your
liquidity requirement)
AddTextColumn( SectorID( 1 ),"Sector" );
// lists which sector the results are in (must be previously defined,
of course
AddTextColumn( IndustryID( 1 ),"Industry" );
// lists which industry the results are in
Hope that gets you started ...
Cheers,
Tim
-- In amibroker@xxxxxxxxxxxxxxx, "wojciech.kaszycki"
<wojciech.kaszycki@xxx> wrote:
>
> Dear All,
>
> It is my first time on this group. I am very fresh owner of
Amibroker
> 4.80 (bough it a week ago) with hope it will help me with my
> investments. My focus is Warsaw Stock Exchange, mainly stocks but
> tried with futures some time. My profile is a day trader.
>
> First of all, I have some problems with Amibroker itself, but I just
> want to mention that, I know it is not a place to discuss such.
Mainly
> I have problems merging offline data with eSignal RT. It doesn't
work.
> I am sure I will solve that problem soon.
>
> As I mentioned above my profile is a day trader. I am wondering if
> there is some addon to Amibroker that would provide the following
> functionality: It would check any abnormal activities on some "very
> liquid" stocks and report them as possible to move quickly. By
> abnormal situation I understand i.e. bigger volatility than in last
> week, open price higher from last close price (more than all
> differences in last week). Other to be defined.
>
> Is there any piece of AFL code that I may use to start developing
such
> thing? I am not familiar with AFL (yet).
>
> Regards,
> Wojciech
>
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