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Thanks for the code, Ed.
John Bollinger calculates correlations separately for each of 3 ETF
portfolios that are part his system: Country, Sector, and Style.
I'm wondering if, in building a list of non-correlated ETFs, it is
necessary to separate the ETFs into these groups. What is the
advatange... or not?
Michael
--- In amibroker@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@xxx> wrote:
>
> 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@> wrote:
> >
> > Excellent! Excellent code, sir. Thank you.
> >
> >
> >
> > ----- Original Message ----
> > From: Graham <kavemanperth@>
> > 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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