|
PureBytes Links
Trading Reference Links
|
Hi Fred,
Thanks for your quick response!
My weekly Batman tests are using .ABS files with weekly periodicity.
My Batman daily tests are using .ABS files with daily. I am not
using layouts or templates in Batman.
I just tested these scripts in Batman, and in AA (manually), and get
the same results. Probably not a Batman issue then... looks like
something to do with the way the LinRegSlope works with the weekly
sector composites...
The daily periodicity sector creation, and daily sector ranking
scripts work perfect together. Problem is, my system is focused on
weekly swing trades and the sector ranking script gives me fairly
inaccurate results (based on my own visual observations of sector
performance vs. what this weekly ranking script is giving me).
Not sure if this is due to the sector ranking script, or the fact
that the sector analysis is based on a LinRegSlope comparison of the
created sector composites to the created sector index (created in
the first script).
Any ideas for troubleshooting, anyone? Been working on this all day.
Thanks,
Brian
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxx> wrote:
>
> Do your settings files have weekly periodicity specified in them ?
>
> Do you have corresponding layouts and/or templates with weekly
> periodicity that have been identified to BatMan ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brpnw1" <tradermail@> wrote:
> >
> > Batman and sector analysis gurus,
> >
> > I am using two sector analysis scripts in Batman. I would like
to
> > use the Weekly periodicity for my analysis, although I am have a
> > feeling these two scripts will only work using the daily
> periodicity
> > in Batman. I have saved the appropriate .ABS files for both the
> > daily and weekly periodicities, and have tested these scripts
> > together, but the results just don't seems to come out at all
using
> > a Weekly periodicity.
> >
> > I run the first script as a batch job in Batman. Then Batman
> > automatically runs the second script (see below). The second
script
> > uses the LineRepSlope to determine the relative strength of each
> > market sector. The sector analysis uses sector composites that
are
> > create in the first script, drawing from TC2005 EOD stock data.
> >
> > How do I work with these scripts to get Weekly results that make
> > sense?
> >
> > /* WEEKLY (OR DAILY) SECTOR CREATION - SCAN */
> > /*
> > STEP 1:
> > Select all stocks available, or Group 1 or Watchlist 3. Set n=1.
> > SCAN the watch list to create the composites. Settings should be
> > set to Weekly or Daily, as needed.
> >
> > Sector creation must occur every day, since stocks used to create
> > the sector composites will be updated daily with new price
> > information.
> > */
> >
> > SetBarsRequired(540,540);
> > Buy=0;
> > newhigh=H>Ref(HHV(H,10),-1); //stocks making new high
> > newlow=L<Ref(LLV(L,10),-1); //Stocks making new low
> > up=C>Ref(C,-1);
> > dn=C<Ref(C,-1);
> > upvol=IIf(up,V/C,0);
> > dnvol=IIf(dn,V/C,0);
> > //x=SectorID(0);
> > sym="~"+SectorID(1);
> > isym="~i"+SectorID(1);
> > Ad="~AD"+SectorID(1);
> > AddToComposite(C,sym ,"C"); //adds Close data to sector
> > AddToComposite(V/1000,sym,"V"); // adj vol overflow
> > AddToComposite(1,sym,"O"); //counts stocks
> > AddToComposite(IIf(newhigh,1,0),sym,"H");//counts new highs
> > AddToComposite(IIf(newlow,1,0),sym,"L");//Counts new Lows
> > //creates a master index of stocks under study
> > AddToComposite(C,"~Universe" ,"c");
> > AddToComposite(V/1000,"~Universe" ,"v");
> > AddToComposite(1,"~Universe" ,"O"); //counts stocks
> > AddToComposite(newhigh,"~Universe","H");
> > AddToComposite(Newlow,"~Universe","L");
> > //creates master index of OHLC data
> > AddToComposite(C,"~Index","C");
> > AddToComposite(O,"~Index","O");
> > AddToComposite(H,"~Index","H");
> > AddToComposite(L,"~Index","l");
> > AddToComposite(1,"~index","V");//counts stocks in index
> > //creates index by sector
> > AddToComposite(C,isym,"C");
> > AddToComposite(O,isym,"O");
> > AddToComposite(H,isym,"H");
> > AddToComposite(L,isym,"L");
> > AddToComposite(1,isym,"V");
> > //creates advance /decline by sector composite
> > AddToComposite(up,Ad,"C");
> > AddToComposite(dn,Ad,"O");
> > AddToComposite(upvol,Ad,"H");
> > AddToComposite(dnvol,Ad,"L");
> >
> >
> > /* WEEKLY (OR DAILY) SECTOR RANKING - EXPLORATION */
> > /*
> > STEP 2:
> > Select n=1. Select the SECTOR COMPOSITES watchlist 5 from Step
2.
> > Click Explore.
> >
> > Click on the "NOW" field, to sort the data. Those sectors above
the
> > Index ticker (a blue line in the result window) are
outperforming
> > the group as a whole, those below the Index ticker are lagging.
> > The colors make it easy to see the trend. The numbers in the
> > cross column indicate when the sector crossed the index. By
> > clicking on a previous day columns you can quickly see how the
> > position of a given sector is moving. You can adjust the look
> > back by adjusting the number in the RSC line. Settings should be
> > set to Weekly or Daily, as needed.
> > */
> >
> > Filter=C>0;
> > x=RelStrength("~index");
> > RSC=LinRegSlope(x,7);
> > AddColumn(IIf(rsc>0,BarsSince(rsc<=0),BarsSince
> > (rsc>=0)),"Cross",1.0);
> > AddColumn(RSC,"NOW",1.2,colorDefault,IIf(RSC==0,colorBlue,IIf
> (rsc>Ref
> > (rsc,-1),colorBrightGreen,colorPink)));
> > AddColumn(Ref(RSC,-1),"-1 bar",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-1)>=Ref(rsc,-
> > 2),colorBrightGreen,colorPink)));
> > AddColumn(Ref(RSC,-2),"-2 bars",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-2)>=Ref(rsc,-
> > 3),colorBrightGreen,colorPink)));
> > AddColumn(Ref(rsc,-3),"-3 bars",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-3)>=Ref(rsc,-
> > 4),colorBrightGreen,colorPink)));
> > AddColumn(Ref(rsc,-4),"-4 bars",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-4)>=Ref(rsc,-
> > 5),colorBrightGreen,colorPink)));
> > AddColumn(Ref(rsc,-5),"-5 bars",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-5)>=Ref(rsc,-
> > 6),colorBrightGreen,colorPink)));
> > AddColumn(Ref(rsc,-6),"-6 bars",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-6)>=Ref(rsc,-
> > 7),colorBrightGreen,colorPink)));
> > AddColumn(Ref(rsc,-7),"-7 bars",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-7)>=Ref(rsc,-
> > 8),colorBrightGreen,colorPink)));
> > AddColumn(Ref(rsc,-8),"-8 bars",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-8)>=Ref(rsc,-
> > 9),colorBrightGreen,colorPink)));
> > AddColumn(Ref(rsc,-9),"-9 bars",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-9)>=Ref(rsc,-
> > 10),colorBrightGreen,colorPink)));
> > AddColumn(Ref(rsc,-10),"-10 bars",1.2,colorDefault,IIf
> > (RSC==0,colorBlue,IIf(Ref(rsc,-10)>=Ref(rsc,-
> > 11),colorBrightGreen,colorPink)));
> >
> >
> > Thanks in advance!!
> >
> > Brian
> >
>
|