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--- In amibroker@xxxxxxxxxxxxxxx, "timgadd" <timgadd@xxx> wrote:
>
> 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 ...
>
Dear Tim,
thank You very much for Your kind answer. That is much more I've been
expecting for the beginning of my game. It looks great and I think I
will use it as a template for my future work. I am planning to create
virtual composite index for each sector and additionally compare the
results to sector results (in order to minimize the noise, which is
possible).
The question is how to define the "real" increase of the stock in
comparision to Stock Composite ( I mean if the increase of the value
of particular stock is because of the sector or just because of the
stock itself ). Does it have any sense? And if i.e. Sector Composite
is increasing let's say about 10%, there is 10 stocks in sector (they
create composite) and 9 of them already increased, does it have any
sens to buy the stock, because it SHOULD increase also?
Regards,
Wojciech
> 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@> 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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