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Brian, thanks very much for this - I checked out the material in the
files section and it's given me some food for thought. I still need
to work out how to process many tickers into an index, automatically -
- I might look at VBScript to drive AB to achieve this, or
automatically generating indicator definitions as .afl text files
before starting AB.
One question: given most sectors have a few major (*Big*) players and
then many smaller stocks, does the largest player in a sector work as
a proxy for the sector index? E.g. if Bio+Pharm is rising as a
sector, can we just use GLAXO as a substitute for creating an index?
(Or GLAXO plus the next 2 largest?)
thanks again..
-------------------------
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z321" <brian_z321@xxx> wrote:
>
> Hello foginthehills,
>
> --- In amibroker@xxxxxxxxxxxxxxx, "foginthehills" <andrewdelin@>
> 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.
>
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