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This code runs a WatchList against itself. I use it to identify
securities that have a high positive or negative correlation - that is
above about 0.90.
So it takes ticker #1 and runs a correlation against all the others -
then it takes #2 and runs a correlation. . . .
High positive correlation means that my rotational trading ranker will
tend to select securities that move in lock step therefore losing
diversification - not good.
High negative correlation allows me to remove all of the funds that
move inversely to one another, since the rotational trading feature
takes the absolute value of the ranking. So you would be
simultaneously long and short - again not good.
The best group of ETF's are ones that have correlations around zero -
say +0.5 to -0.5 meaning that they move independently of one another -
that is a good thing.
It would be easy to run a Watchlist against one security - say SPY by
setting Ticker2 = Foreign("SPY", Close) or whatever.
Ed
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine" <rockprog80@xxx>
wrote:
>
> 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@xxx>:
>
> > 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@xxx <rockprog80%40gmail.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@xxx <reefbreak_sd%40yahoo.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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