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To be more technically correct I should have said
ATC(ROC(array,1)/ATC(number of stocks in watchlist)
or something like that.
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Hello Growly,
>
> I did this sort of thing a few years back and posted on it.
>
> Didn't attract any comments.
>
> I thought it was a good idea.
>
> The headline indexes belong to the institions and serve their
> purposes.
> Knowing how they are constructed we (freelance traders) can use
them
> as we see fit but IMO the equal weighted index is the Traders Index:
>
>
> 1) - if we are system trading it is our real benchmark.... we could
> nominally split our capital and buy an equal $ value of each stock
in
> the 'index' .... nominally we sell at the close of every bar ...
> rebalance our capital and buy back in.
>
> This doesn't require any special trading skill so it is the
dumbluck
> return we can achieve and our equivalent of 'buy & hold'.
>
> Traders Benchmark == format as GrowthFactor and expressed as equity
> (GF1 * GF 2 ->GFn)
>
> There is no need to stipulate starting eq because Initial EQ == 1
> standardises the Traders Indexes.
>
> Using the same number of bars (data sample window) standardises the
> TI in time.
>
> 2) we can construct our indexes for any universe of stocks and are
> not limited to, say the S&P list
>
> 3) we can move between markets and take our benchmarks with us
(some
> markets don't have the range of indexes available in the US)
>
>
> Try averaging your index (divide the Sum(ROC per bar) by the number
> of stocks in the index) ... perhaps this could be seen as a
standard
> that holds even when stocks rotate out of your index watchlist.
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "G_R_O_W_L_Y" <g_r_o_w_l_y@>
> wrote:
> >
> > Hello
> >
> > I have created an Amibroker index creation script that uses
> percentage
> > change in each security added, rather than price movement to
ensure
> > equal weighting for each security.
> >
> > It still is not functioning correctly and if anyone would like
to
> > give it a try and maybe recommend any changes that would be
greatly
> > appreciated.
> >
> >
> > Simply run it in Automatic Analysis on a group of securites and
it
> > will create an index name "~MyIndex"
> >
> >
> > AddToComposite( ((Close - Open) / Open ) * 100, "~MyIndex", "X" );
> > AddToComposite( 1, "~MyIndex", "I");
> > Buy=0;
> > Graph0=(Foreign("~MyIndex", "C" ) / Foreign("~MyIndex", "I" ));
> >
> >
> > Thanks
> >
>
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