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Hi Joe,
Yes! Still looking for help. One of the responses presented a
solution, but requires doing the CUM outside of AddToComposite and
thus requires plotting another pane for the resulting composite. I'd
rather plot the composite in the normal price pane, just like any
other.
Here's a link that is as good an explanation as i could give for
wanting to use unweighted composites for sector breadth comparisons.
http://www.decisionpoint.com/TAcourse/Unweighted.html
Thanks for the reply and any help.
Tim
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxx> wrote:
>
> Hi Tim - Are you still looking for some help with this? I have
some
> work done by one of my friends that might meet your requirements.
> I understand how it works but have not done the justification as to
> why his routine is better than an average of the prices. I just
take him at
> his
> word.
>
> It produces a composite that is "rebalanced daily". As you might
> guess there is no support from the author, as his emissary I can
> answer low level questions.
>
> Best regards
> JOE
>
>
>
> ----- Original Message -----
> From: "timgadd" <timgadd@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, August 14, 2006 4:02 PM
> Subject: [amibroker] Unweighted Composites (again!)
>
>
> > After spending MUCH time searching, I have found this topic
started
> > many times in the group archive, but i've never seen a final
solution
> > given in AFL. I would greatly appreciate assistance with the AFL
code
> > or reference to a prior solution.
> >
> > The standard AddToComposite function produces a "price weighted"
> > composite. For analyzing the breadth of a sector, for
> > instance, "unweighted" composites are more appropriate and
revealing.
> > I have seen the term "equal weighted" used for what i am calling
> > an "unweighted" composite, so i will explain in boring detail
what i
> > am looking for just to be clear.
> >
> > By unweighted composite, i refer to one that is produced by
> > calculating an arithmetic or geometric average of the day to day %
> > change for each component, so that each component has equal weight
> > (no weighting is introduced by the calculation). I am interested
in
> > the arithmetic average - the simplest form, but i don't know how
to
> > initialize the starting value and then cumulate(?) the successive
%
> > change averages for the open, high, low, close (volumes are simply
> > added). I have seen references regarding problems with averaging
> > values for high and low for this type of composite, so if
necessary,
> > a composite calculated on the close only will suffice. I am only
> > interested in the average changes between end-of-day values, but
> > would like to produce candlesticks of the composites if possible.
> >
> > Assuming closing values only, each composite will start with an
> > initial value (like 100) and then, for each day, the average of
all
> > the %changes (from the previous day) will be added to the
preceding
> > value. Using a simple 3 component composite as an example, assume
for
> > the second value of the composite (remember the first value will
be
> > 100), we have the following %changes.
> >
> > Component1 = +1.2%
> > Component2 = +2.4%
> > Component3 = -1.7%
> >
> > So the first day's average %change = ( 0.012 + 0.024 - 0.017 ) / 3
> >
> > 100 + ((0.012 + 0.024 - 0.017) / 3) + (the next day's average %
> > change) + ...
> >
> > The component values for volume are just added (or averaged) to
get
> > the daily values.
> >
> > TIA for any help.
> >
> >
> >
> >
> >
> >
> > 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
> >
> >
> >
> >
> >
> >
> >
> >
>
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