Re: [amibroker] Re: System tweak, AmiBroker Email List Archive

2008/5/23 Louis Préfontaine <rockprog80@xxxxxxxxx>:

Thanks for the code Graham!

This is a good start for me, but now I am stucked at trying to do what I want to do with the data. My goal is to automatically select the best correlated stocks in the last 252 days without having to run the exploration again and create new watchlists. I'd like to do as if I ran a backtest but without actually doing it. Instead, my idea was to assign a % value of each stock between the peaks and troughs. E.g. If I can establish with zigzag the peaks and trough of the ETF, then I can subtract those dates to the ticker I am analyzing and adding it up I can establish the ones that are correlated and the ones that are not without running a backtest and playing with watchlists. But the question is: how to do this? Do I go with the dates of the peaks-troughs or if not, how? Thanks!

Thanks for the code Ed... But how to you choose the ETF or the reference ticker in all this? I am not sure to actually understand the code right.

Thank you all,

Louis

2008/5/21 Graham <kavemanperth@xxxxxxxxx>:

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,colorOrange,colorPaleGreen), styleStaircase );

PlotShapes( shapeSmallUpTriangle*Ct, colorPaleGreen, 0, L, -12 );
PlotShapes( shapeSmallDownTriangle*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.aflwriting.com

2008/5/21 Louis Préfontaine <rockprog80@xxxxxxxxx>:

> 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@xxxxxxxxx>:
>>
>> 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.