[amibroker] Corr Matrix via Gfx functions

["vlanschot" <vlanschot@xxxxxxxxx>]

Thought I'd share the following code. 

PS

//Simple application of the new Gfx functions, basically calculating
//the correlation matrix of any WL of choice. You can easily adjust
//this code to move to Var-Covar matrix, etc.
// PS 28/05/07


GfxSetOverlayMode(2); // Show Only Matrix

function NrSecs(ListType,ListNr)
{
	global NrPosPrices;
	
	if(ListType==1)	ExtrList = CategoryGetSymbols
(categoryGroup,ListNr);
	else if(ListType==2)ExtrList = CategoryGetSymbols
(categoryWatchlist,ListNr);
	else if(ListType==3)ExtrList = CategoryGetSymbols
(categoryIndustry,ListNr);
	
	NrSecurs=0;
	NrPosPrices=0;
	
	for( n=0; (Ticker=StrExtract( ExtrList, n))!= ""; n++)
	{
		NrSecurs=NrSecurs+1;
		SetForeign(Ticker);
		Prijs=C;
		RestorePriceArrays();
		NrPosPrices=NrPosPrices+IIf(Prijs!=Null AND 
Prijs>0,1,0);
	}
	return NrSecurs;
}

function PrintTxtInCell( Str, row, Col, CellWidth, CellHeight, 
HorzAdj, VertAdj, Formaat ) 
{ 
GfxDrawText( Str, Col * CellWidth + HorzAdj, row * CellHeight + 
VertAdj, (Col + 1 ) * CellWidth, (row + 1 ) * CellHeight, Formaat); 
} 

function PrintInCell( val, row, Col, CellWidth, CellHeight, HorzAdj, 
VertAdj ) 
{ 
GfxDrawText( NumToStr(val), Col * CellWidth + HorzAdj, row * 
CellHeight + VertAdj, (Col + 1 ) * CellWidth, (row + 1 ) * 
CellHeight, 1|32|4); 
} 


//CH = Param("CellH",20,10,100,5); 
//CW = Param("CellW",100,10,300,5);
HA=0;
VA=0;

String = "" ;
for ( x = 0 ; x < 200 ; x++ ) 
{ 
        WList = CategoryGetName( categoryWatchlist, x );
         if (WList != "" )
        {
                 String = String + WList +","   ;
                 // Creates a list of WatchLists, NOT symbols !!!
        }
}
WatchList = ParamList ( "Watch List", String ); 

WLnr=CategoryFind(WatchList,categoryWatchlist);
WLSymbols = CategoryGetSymbols(categoryWatchlist,WLnr);

NrSymbs = NrSecs(2,WLNr);

CW= Status("pxwidth")/(NrSymbs+1);// In order to allow Rowheadings
CH = Status("pxheight")/(NrSymbs+1);//Colheadings

//GfxSetTextAlign(6 | 24);

RetLB = Param("RetLB",1,1,100);
CorrLB = Param("CorrLB",30,5,256);

Start = BarCount-RetLB;

ActBar = Min(BarCount-1,LastValue(SelectedValue(BarIndex())));
ActD = LastValue(SelectedValue(DateTime()));

GfxSelectFont( "MS Serif", CH/4,800);
PrintTxtInCell( "CorrM @:\n"+NumToStr(ActD,formatDateTime), 0, 0,CW, 
CH, HA, VA, 1);

for ( x = 0 ; (Ticker = StrExtract ( WLSymbols, x ))!="" ; x++ ) 
{
	SetForeign(Ticker);
	RetTick = ROC(C,RetLB);
	FN = FullName();
	RestorePriceArrays();
	
	GfxSelectFont( "MS Serif", CH/4,800);
	PrintTxtInCell( Ticker, 0, x+1 ,CW, CH, HA, VA,1|32|4 );

	GfxSelectPen( colorBlue ); 
	
	for( i = 0; (Ticker2 = StrExtract ( WLSymbols, i))!="" ; i++ )
	{
		SetForeign(Ticker2);
		RetTick2 = ROC(C,RetLB);
		FN2 = FullName();
		RestorePriceArrays();
		
		if (Ticker2 == Ticker) Corr=1;
		else Corr = Correlation(RetTick, RetTick2, CorrLB);
		
		GfxSelectFont( "MS Serif", CH/4,800);
		PrintTxtInCell( Ticker2, i+1, 0, CW, CH, HA, 
VA,1|32|4); 
		GfxSelectFont( "MS Serif", CH/4);
		Kleur = IIf(Corr[ActBar]>=0, colorGreen,colorRed);
		GfxSetTextColor(Kleur);
		PrintInCell( Corr[ ActBar ], i+1, x+1, CW, CH, HA, 
VA); 
		//PrintInCell( Corr[ ActBar ] , i+1, x+1);
		GfxSetTextColor(colorBlack);

		GfxMoveTo( 0, (i+1) * CH); 
		GfxLineTo( (x+2) * CW, (i+1) * CH );// Columns
	} 
	
GfxMoveTo( 0, (x+1)*CH); // Move to end of last column
//GfxLineTo( 6 * CW, i * CH ); 
}
		
		for( Col = 1; Col < NrSymbs+2; Col++ ) 
		{ 
		GfxMoveTo( Col * CW, 0); 
		GfxLineTo( Col * CW, (NrSymbs+1) * CH ); 
		} 
	

Title=""; 





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