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Dave,
It'll take about a minute or so before AB will "unlock". Once it
unlocks, right click on the pane and hit parameters. From there you
can adjust the watchlist you want. Make sure there aren't too many
tickers in the WL....i've found the optimal number of tickers is
between 5-10. Great code, today I checked out the correlations
between Profunds' short real estate fund (SRS) with the 10 year bond
yield, some misc homebuilders stocks, a few REITs, and a couple real
estate indexes to make sure that the SRS was indeed negatively
correlated. It was, but not as much as I thought! about -0.35 on
avg.
Thanks again for sharing PS
--- In amibroker@xxxxxxxxxxxxxxx, "David Fitch" <davidfitch@xxx>
wrote:
>
> AB still locks up when I try this code. I cannot place it in a
pane. AB just stops. I'm wondering if it has anything to do with the
use of "CategoryGetSymbols" function. According to help, it is
looking for watchlists 0 to 63. I have deleted the original 0 - 63
watchlists and replaced them with new ones that are 0-75. Could not
using the original watchlists cause this problem?
> Thanks
> Dave
>
> ----- Original Message -----
> From: vlanschot
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, June 05, 2007 1:31 AM
> Subject: [amibroker] Re: Corr Matrix via Gfx functions
>
>
> Make sure you choose a watchlist (via
> Parameters) that has at least 2 but does not have too many
securities
> in it, say less than 50 if you use 1 pane.
>
> Also, as is generally the case in AB, cross-sectional analysis
(i.e.
> matrix calculations across stocks) is very computer intensive.
>
> PS
> --- In amibroker@xxxxxxxxxxxxxxx, "jayhart_1972" <jayhart_1972@>
> wrote:
> >
> > PS - thanks for sharing, looks interesting. BTW, has anyone got
> this
> > to work? When I applied the indicator I get nothing but a blue
> screen
> >
> > J
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@>
wrote:
> > >
> > > 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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