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Hello to all,
I would greatly appreciate help with creating an exploration that
loops through a watchlist to build a correlation matrix. If
Correlation(Ticker1, ticker2,256) >=.75 add ticker 1 to watchlist1
addticker2 to watchlist2 and writes each pair out to a csv file with
the following info:
Date, Ticker1, ticker2, Correlation, Correlation periods.
All of my attempts to modify the correlation matrix off the amibroker
website have failed (see code bellow). This is well beyond my
capabilities so thank you in advance for any assistance.
Regards
Jeremy
WLNum = Param("WatchList Number",27,0,500,1);
CorrPd = Param("Correlation Period",1000,1,5000,1);
list = GetCategorySymbols( categoryWatchlist, WLNum);
SetOption("NoDefaultColumns",True);
Filter = Status("LastBarInTest");
SetSortColumns( 1 );
AddTextColumn(Name(),"Correlation",1.0);
Ticker1= Name();
for( Col=0; (Ticker2=StrExtract( List, Col))!= ""; Col++)
{
Var2 = Foreign(Ticker2,"C");
Corr = Correlation( C, Var2, CorrPd);
Color = IIf(Corr>0, colorBrightGreen, IIf(Corr<0,
colorRed,colorWhite));
Color = IIf(Ticker1==Ticker2, 1, Color);
AddColumn( Corr, Ticker2, 1.3, 1, Color);
}
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