[amibroker] Re: System tweak

["Ed Hoopes" <reefbreak_sd@xxxxxxxxx>]

A Correlation Matrix is commonly used to find stocks that have similar
price patterns.  Here is one I use:

// Exploration to create Correlation matrix original by Herman Van Ven
Bergen 
// In AutoAnalyzer, set Apply to -> Use Filter -> WatchList to same
list as Param -> ListNumber (zero based)
// Then set LookBackPeriods
// Modified by EH
// April, 2007

Listnumber      = Param("Listnumber",1,1,263,1);
LookBackPeriods = Param("Lookback Periods",3,1,252,1);

Buy=Sell=Short=Cover=0;
Filter = 1;

list = GetCategorySymbols( categoryWatchlist, Listnumber);

for( NumTickers=0; NumTickers < 99 AND StrExtract( list, NumTickers )
!= ""; NumTickers++ );
	{
		//AddTextColumn(Name(),"Ticker",1.0);
		for( Col=0; Col<NumTickers; Col++)
			{
			Ticker1 = Name();
			Ticker2 = StrExtract( list, Col);
			Var1 = Foreign(Ticker1,"C");
			Var2 = Foreign(Ticker2,"C");
			Test = Correlation( Var1, Var2, LookBackPeriods );
			Color = IIf(Test>0, colorGreen, IIf(Test<0, colorRed, colorWhite));
			Color = IIf(Ticker1==Ticker2, 1, color);
			AddColumn( Test, Ticker2, 1.3, color);
			}
	} 	


--- In amibroker@xxxxxxxxxxxxxxx, Doji Star <dojistarbullish@xxx> wrote:
>
> Excellent! Excellent code, sir. Thank you.
> 
> 
> 
> ----- Original Message ----
> From: Graham <kavemanperth@xxx>
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, May 21, 2008 10:48:30 AM
> Subject: Re: [amibroker] Re: System tweak
> 
> 
> It is possible to use zigzag in a backtest. the important thing is
> that the signals can only occur after the price has passed the
> reversal level
> eg here is a way to use it
> 
> p = Peak(C,10);
> pb = PeakBars(C,10) ;
> t = Trough(C,10) ;
> tb = TroughBars(C, 10);
> 
> cp = Cross(p*0.9, LowestSince( pb==0, C ));
> ct = Cross(HighestSince( tb==0, C ), t*1.1);
> 
> Fall = Flip(Cp,Ct);
> Rise = Flip(Ct,Cp);
> 
> Buy = Cross(MACD() ,Signal() ) AND rise;
> Sell = Cross(Signal( ),MACD()) ;
> 
> SetChartOptions( 0, chartShowDates| chartWrapTitle );
> GraphXSpace= 10;
> _N(Title = "{{NAME}} - {{INTERVAL}} {{DATE}} "+_DEFAULT_NAME( )+" :
> {{OHLCX}} {{VALUES}}" );
> 
> BarColor = IIf( rise, colorPaleGreen, IIf( fall, colorOrange,
> ParamColor( "Price Colour", colorWhite )));
> 
> Plot( C, "", BarColor, ParamStyle( "Price Style", styleBar,
maskPrice ) );
> 
> Plot( Zig(C,10), "Zig", colorRed, styleLine );
> Plot( IIf(pb<tb,Peak( C,10)*0.9, Trough(C, 10)*1.1), "Zig",
> IIf(pb<tb,colorOran ge,colorPaleGree n), styleStaircase );
> 
> PlotShapes( shapeSmallUpTriangl e*Ct, colorPaleGreen, 0, L, -12 );
> PlotShapes( shapeSmallDownTrian gle*Cp, colorOrange, 0, H, -12 );
> 
> PlotShapes( shapeUpArrow* Buy, colorGreen, 0, L, -24 );
> PlotShapes( shapeDownArrow* Sell, colorRed, 0, H, -24 );
> 
> -- 
> Cheers
> Graham Kav
> AFL Writing Service
> http://www.aflwriti ng.com
> 
> 2008/5/21 Louis Préfontaine <rockprog80@xxxxxx com>:
> > Hi,
> >
> > My idea is to use the zigzag feature in the past to find the best
stocks
> > which match ETF. I'd like to use the zigzag directly in my formula
without
> > having to re-build a new watch-list often.
> >
> > Louis
> >
> > 2008/5/21 Ed Hoopes <reefbreak_sd@ yahoo.com>:
> >>
> >> ZigZag
> >> This indicator cannot be used for trading. It effectively looks into
> >> the future. Say you set its threshold at 4%. It will show tops and
> >> bottoms that are 4% or greater difference. If you get a high today,
> >> but a higher hi 2 weeks from now, it will move the reversal to
the new
> >> higher high.
> >>
> >> It is most often used to calculate theoretical performance of a
series
> >> of price movements. Then you can run your indicators over the same
> >> period and calculate a "capture ratio". Good for comparing indicators
> >> - not trading.
>



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