Re: [amibroker] Equal Weight / Under-weighted Index

[Keith McCombs <kmccombs@xxxxxxxxxxxx>]

Patrick --
Calculate percentage price increase/decrease for each stock in your index, sum and divide by total number of stocks.  That's the average percentage increase/decrease for the time period.  Then accumulate, sum, from whenever you want your index to begin.  Your result will have some 'survivorship' bias, unless you have a database that hasn't been 'cleaned'.  But, IMHO, that's much better than any of the standard indexes.
-- Keith

Patrick wrote:

Hello,

I have used the AddToComposite for various items.

I want to create my own equal weight index. The only issue I see is
that if I select a watch list of x number of stocks and of course not
all stocks IPO on the same date the index will jump in value when new
stocks are Added to the composite as the index builds.

I know that for the SP500 and other indexes there is a factor that is
applied to keep the index from jumping around when stocks are
replaced in the index.

Is there a way to code some type of factor to keep the index smoothed
over a period of time and not jumping in price when (for example) 100
stocks IPO in Jan of 2000, then the AddToComposite finds another 40
in March of 2000 then the index will spike up adding in these
additional 40 stocks.

Thanks,
Patrick

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