|
PureBytes Links
Trading Reference Links
|
Hello foginthehills,
--- In amibroker@xxxxxxxxxxxxxxx, "foginthehills" <andrewdelin@xxx>
wrote:
> A few questions:
>
> 1) How can I do this in AFL? Backtesting or scanning doesn't seem
to
> be the mode to perform comparative tasks across all stocks in a
> watch list?
Indexes and sector classification are huge subjects, each worthy of a
book, not the least because they are a real rats nest of various
methods and approaches.
The answers around meassage # 108612 in topic *help with weighted
index* by carlacash might help get you started.
I also posted a rough and ready GUI method of doing buy&hold indexes
via the backtester. Refer CompareIndexToPortfolio in files area.
It provides a quick comparision between the buy&hold versus weighted
at a conceptual level.
IMO all indexes, theoretically speaking, are ranged somewhere between
buy&hold on one hand and equal weighted on the other with weightings
of various kinds making up the middle ground.
To my mind understanding the difference and knowing how to calculate
each type is the starting point.
Those answers are only scratching the surface though.
A lot of discussion in this area took place under ATC.
Once construction of the various index types has been mastered there
is a chapter in Howard's book that opens the door to some creative
ways of applying sector analysis.
> 2) Any suggestions or problems with this crude index approach? I
> just want a simple sector index and my data provider doesn't supply
> this from S&P. The indexes aren't available on Yahoo either.
The index to use is a personal preference choice.
Custom indexes are one area where AB users can gain an advantage.
I think most long term users have worked with them as some point.
Some specialise in the area and go right into it.
There are downloadable docs that describe the various methods and
nomenclatures used by the *corporate index makers* at places like the
S&P, Russell and Dow web sites.
Money flow weightings would probably be close to cap weighted indexes
as the *big* cap companies will come out near the top for price and
volume anyway.
You might have some problems with big numbers exceeding capacity if
you are going to sum (vol*price).
Since the weightings would be used for relative comparision there is
no need to keep to absolute values.
Divide vol by a common factor to get smaller numbers or just use MA
of MoneyFlow rather than the sum.
You are probably better off smoothing MF anyway.
Brian.
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|