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Hi Yuki,
First, I have no idea what the Blank was all about .... it is not in the
outgoing message in my folder. Windows strikes again!!!.
About volatility, I have frrquently walked away from computer from
boredom... don't know which is easier ... change my temperment or find a
predictor ...
Hope herman's attempt bring something useful.
Ara
----- Original Message -----
From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
To: "Ara Kaloustian" <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, January 07, 2007 2:59 PM
Subject: Re: [amibroker] Real-Time Heat-Map (was:Displaying HOT-> COLD RGB
colors)
> Hi Ara,
>
> What's with all this Blank(Name) business, anyway? ^_^
>
> To venture an answer to your question, I don't think one can predict
> a breakout. But one can know that breakouts overwhelmingly spring
> from periods of consolidating volatility. When? We don't know. But
> breakouts very rarely come out of periods of relative high
> volatility.
>
> So we watch when things get quiet, and we wait. It can really put
> you to sleep sometimes, because it's a waiting game, that suddenly
> and with little warning becomes an action game. People tend to
> prefer action to waiting. Waiting is somewhat boring.
>
> To compound the difficulties, not all breakouts go on to do great
> things. Some fail. This can cause hesitation just at the time
> action is finally required. The way to overcome the hesitation is to
> have the entire plan ready before the alarm bell (finally) rings. Not
> half the plan ("I need to buy something."), but how much I'm going to
> buy, what is my ultimate objective (not just "to make some money"),
> and specific actions I'm going to take contingent on what price and
> volume do. Since they can do several things, I need several plans. We
> need a plan for being wrong, a plan for being modestly right, and a
> plan for being spectacularly right. Impromptu doesn't keep the sushi
> from sliding off the rice. ^_^
>
> Yuki
>
> Monday, January 8, 2007, 4:40:49 AM, you wrote:
>
> AK> BlankHerman,
>
> AK> for market volatiity, I use Bollinger bands. Easy to determine
> AK> volatility by looking at delta between top and botom withrespect
> AK> to last price.... or any other statistical means ... but how
> AK> would one relate market pressure to predict breakout ???
>
> AK> Ara
> AK> ----- Original Message -----
> AK> From: Herman
> AK> To: amibroker@xxxxxxxxxxxxxxx
> AK> Sent: Sunday, January 07, 2007 10:30 AM
> AK> Subject: RE: [amibroker] Real-Time Heat-Map (was:Displaying HOT->
> COLD RGB colors)
>
>
> AK> Ara, last year I tried to get High-Frequency trading to work
> AK> but after spending quite a bit of time on it, I found that the
> AK> data delays/flaws and the divergence of Backtesting result wrt
> AK> Real-Trading results were insurmountable. Automated
> AK> trade-executions were not the problem, that worked fine. It was a
> AK> disappointment... anyway, I decided to set the limit for
> AK> development at the 1-Minute timeframe; this is approximately
> AK> where developmental results (for me) diverge from reality. I
> AK> still will be using AT but not in the 5-sec TimeFrame.
>
> AK> Right now i am exploring different options, not sure where
> AK> I'll be heading. I tried to make a map that would display
> AK> short-termtrends (like a continuous real-time scan). Such a map
> AK> would give me a visual presentation of overall market activity.
> AK> Backtesting doesn't give me a feel for how often and for which
> AK> stocks tradable events happen in Real Time. A map can show short
> AK> term conditions/signal/trade activity for 100 stocks at a glance!
> AK> Like stars sparkling in the sky :-) It gives me a much better
> AK> appreciation for market activity. The maps are also usefull for
> AK> other purposes, like to display order/system status and/or
> AK> portfolio/account status. I prefer everything in one window.
>
> AK> On the other list Yuki suggested looking at narrowing
> AK> volatility and I though that was a good idea. It would be neat to
> AK> have maps that change color as market pressure for a breakout
> AK> builds up... but I haven't had a chance to look at this yet. To
> AK> many ideas but not enough time...
>
> AK> best regards,
> AK> herman
>
>
>
>
> AK> -----Original Message-----
> AK> From: amibroker@xxxxxxxxxxxxxxx
> AK> [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of Ara Kaloustian
> AK> Sent: January 7, 2007 11:41 AM
> AK> To: amibroker@xxxxxxxxxxxxxxx
> AK> Subject: Re: [amibroker] Real-Time Heat-Map (was:Displaying HOT->
> COLD RGB colors)
>
>
> AK> Herman,
>
> AK> Heat map makes visual very easy ....
>
> AK> Are you getting away from full auto trade? Is the heat map
> AK> approach preferred to auto trade?
>
> AK> Ara
> AK> ----- Original Message -----
> AK> From: Herman
> AK> To: AmiBroker YahooGroups
> AK> Sent: Sunday, January 07, 2007 5:23 AM
> AK> Subject: [amibroker] Real-Time Heat-Map (was:Displaying HOT->
> COLD RGB colors)
>
>
> AK> Actually this is just my first try and the code is still
> AK> evolving. We used to do this type of tabling with AA Explorations
> AK> however for Real-Time applications I prefer the display on the
> AK> chart. I would like to use it for portfolio trading to show me
> AK> where the action is (in Real-Time) wrt my criteria. To reduce
> AK> processing overhead I would map only tickers that meet my criteria.
>
> AK> I thought perhaps some others might see new applications
> AK> for this type of display, write a standard function to display
> AK> different types of maps that can be selected from the param window.
>
> AK> I still have some trouble automatically scaling the Hue,
> AK> this requires normalizing and scaling the range, also I would
> AK> like to have a sort function so that hot-cold are located at
> diagonally opposite corners.
>
> AK> best regards,
>
> AK> herman
>
> AK> --- In amibroker@xxxxxxxxxxxxxxx, "cstrader" <cstrader232@xxx>
> wrote:
> AK> >
> AK> > Herman: You and Amibroker make a great combination!
> AK> Very cool (and hot, I suppose) work.
> AK> >
> AK> > Do you use the heat map as an index of the market
> AK> internals for trading indices, or do you use it for trading individual
> stocks?
> AK> >
> AK> > chuck
> AK> >
> AK> >
> AK> > ----- Original Message -----
> AK> > From: Herman
> AK> > To: AmiBroker YahooGroups
> AK> > Sent: Saturday, January 06, 2007 10:50 AM
> AK> > Subject: [amibroker] Real-Time Heat-Map
> AK> (was:Displaying HOT-> COLD RGB colors)
> AK> >
> AK> >
> AK> > Thanks for the help, TJ and others!
> AK> >
> AK> > I needed a Heat-Map that refreshes during real-time
> AK> trading. Below is what I have thus far. It uses dummy data: you
> AK> must define VarToMap. To save time I set it to refresh each 5 seconds.
> AK> > The Ticker order is important for me, hence I plotted both
> upper and lower sections.
> AK> >
> AK> > Any tips on how to make this work under Quick-AFL or
> AK> make it faster in other ways would be appreciated.
> AK> >
> AK> > best regards,
> AK> > herman
> AK> >
> AK> >
> AK> >
> AK> > // Heat-Map by Herman - 06DEC2007 - TEST/DEMO ONLY!
> AK> >
> AK> > // Set Param -> Axis & Grid: NO Middle Lines
> AK> >
> AK> > // Convert Variable-To-Map to 0-99 range
> AK> >
> AK> > // Zoom Chart to get nice display
> AK> >
> AK> >
> AK> >
> AK> > SetBarsRequired(1000000,1000000);
> AK> >
> AK> > GraphXSpace = 0;
> AK> >
> AK> > GraphZOrder = False;
> AK> >
> AK> > SetChartOptions( 3, chartShowDates);
> AK> >
> AK> > RequestTimedRefresh( MApRefreshInterval = 5 );
> AK> >
> AK> > RefreshMap = Status("redrawaction");
> AK> >
> AK> > WLNum = Param("WatchList Number",0,0,64,1);
> AK> >
> AK> > TickersToMap = Param("Num. Tickers to Map",10,1,64,1);
> AK> >
> AK> > MaxTickers = Param("Max. Tickers",50,2,100,1);
> AK> >
> AK> > MaxHue = Param("Max. Hue",255,0,255,1);
> AK> >
> AK> > MinHue = Param("Min. Hue",97,0,255,1);
> AK> >
> AK> >
> AK> >
> AK> > if( RefreshMap )
> AK> >
> AK> > {
> AK> >
> AK> > TickersToMap = Min(TickersToMap, MaxTickers);
> AK> >
> AK> > List = CategoryGetSymbols( categoryWatchlist,
> WLNum );
> AK> >
> AK> > MaxList = "";
> AK> >
> AK> > for( T=0; (Ticker=StrExtract( List, T))!= "" AND T <
> TickersToMap; T++)
> AK> >
> AK> > {
> AK> >
> AK> > MaxList = MaxList + Ticker +",";
> AK> >
> AK> > StaticVarSetText("Ticker"+T, Ticker);
> AK> >
> AK> > }
> AK> >
> AK> > StaticVarSetText("MaxList",MaxList);
> AK> >
> AK> > BI = BarIndex();
> AK> >
> AK> > MaxYCoordinate = TickersToMap;
> AK> >
> AK> > MinYCoordinate = 1;
> AK> >
> AK> > MinXBarindex = BarCount-TickersToMap;
> AK> >
> AK> > MaxXBarindex = BarCount-1;
> AK> >
> AK> > CellCount = 0;
> AK> >
> AK> > XCoordinate = YCoordinate = 0;
> AK> >
> AK> > MaxList = StaticVarGetText("MaxList");
> AK> >
> AK> > for( Y=MinYCoordinate; Y <= TickersToMap; Y++ )
> AK> >
> AK> > {
> AK> >
> AK> > for( X=MinXBarindex; X <= MaxXBarindex; X++ )
> AK> >
> AK> > {
> AK> >
> AK> > XTicker = StaticVarGetText("Ticker"+XCoordinate);
> AK> >
> AK> > YTicker = StaticVarGetText("Ticker"+YCoordinate);
> AK> >
> AK> > VarToMap = CellCount; // must be in range 0-99
> AK> >
> AK> > StaticVarSet(XTicker+"-"+YTicker, VarToMap);
> AK> >
> AK> > XCoordinate++;
> AK> >
> AK> > CellCount++;
> AK> >
> AK> > }
> AK> >
> AK> > XCoordinate=0;
> AK> >
> AK> > YCoordinate++;
> AK> >
> AK> > }
> AK> >
> AK> > }
> AK> >
> AK> >
> AK> >
> AK> > Plot(-1,"",1,styleNoLine|styleNoLabel);
> AK> >
> AK> > Plot(TickersToMap,"",1,styleNoLine|styleNoLabel);
> AK> >
> AK> > BI = BarIndex();
> AK> >
> AK> > MaxYCoordinate = TickersToMap;
> AK> >
> AK> > MinYCoordinate = 1;
> AK> >
> AK> > MinXBarindex = BarCount-TickersToMap;
> AK> >
> AK> > MaxXBarindex = BarCount-1;
> AK> >
> AK> > YStep = int(MaxYCoordinate/TickersToMap);
> AK> >
> AK> > XCoordinate = YCoordinate = 0;
> AK> >
> AK> > for( Y=MinYCoordinate; Y<=MaxYCoordinate; Y++ )
> AK> >
> AK> > {
> AK> >
> AK> > for( X = MinXBarindex; X <= MaxXBarindex; X++ )
> AK> >
> AK> > {
> AK> >
> AK> > XTicker = StaticVarGetText("Ticker"+XCoordinate);
> AK> >
> AK> > YTicker = StaticVarGetText("Ticker"+YCoordinate);
> AK> >
> AK> > VarToMap = StaticVarGet(XTicker+"-"+YTicker);
> AK> >
> AK> > HueStep = (MaxHue - MinHue)/100;
> AK> >
> AK> > Co =
> AK> ColorHSB(Min(255,int((100-VarToMap)*HueStep)),255,255);
> AK> >
> AK> > PlotText(NumToStr(VarToMap,1.0),X,Y-0.5,1);
> AK> >
> AK> > if( XTicker == YTicker ) Co = colorBlack;
> AK> >
> AK> >
> AK>
> Plot(IIf(X==BI,Y,Null),"",Co,styleArea|styleOwnScale|styleNoLabel,-1,MaxYCoordinate*1.03);
> AK> >
> AK> > XCoordinate++;
> AK> >
> AK> > }
> AK> >
> AK> > XCoordinate = 0;
> AK> >
> AK> > YCoordinate++;
> AK> >
> AK> > }
> AK> >
> AK> >
> AK> >
> AK> > for(T=0; T<=TickersToMap; T++)
> AK> >
> AK> > {
> AK> >
> AK> > Ticker = StaticVarGetText("Ticker"+T);
> AK> >
> AK> > PlotText(Ticker,BarCount,T+0.5,1);
> AK> >
> AK> > PlotText("\n"+Ticker,BarCount-TickersToMap+T,-0.5,1);
> AK> >
> AK> > }
> AK> >
> AK> >
> AK> >
> AK> > MaxList = StaticVarGetText("MaxList");
> AK> >
> AK> > Title = "Heat Map for Watchlist
> AK> #"+NumToStr(WLNum,1.0,False)+": "+MaxList;
> AK> >
>
>
> AK>
>
>
> Best,
>
> Yuki
>
>
>
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
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