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Frankly speaking running correlation matrix inside INDICATOR window
is BAD idea. It makes no sense to put this into indicator code because
it will be re-computed with every refresh (mouse click on chart).
Correlation matrices like that are WAY better to be done inside AA window.
Here is the formula (EXPLORATION):
symlist = CategoryGetSymbols( categoryWatchlist, 0 );
Filter = Status("lastbarinrange");
for( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
Corr = Correlation( C, Foreign( sym, "C" ), 252 );
Clr = 32 + SelectedValue( Corr ) * 32;
AddColumn( Corr, sym, 1.2, ColorHSB( 128+Clr, 255, 255 ) , ColorHSB( Clr, 255, 255 ) );
}
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "jayhart_1972" <jayhart_1972@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, June 05, 2007 10:29 PM
Subject: [amibroker] Re: Corr Matrix via Gfx functions
> 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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>
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Please note that this group is for discussion between users only.
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For other support material please check also:
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