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Grant,
I found your idea interesting so I did a little bit more.
> 1) make separate arrays for ROC(X,1) where X = O,H,L,C,Ave etc (as >required)
>
> factorO = ROC(O,1);//as GrowthFactor e.g. 2% = 1.02, -2% = 0.98
> etc
I missed a couple of steps out ... you probably figured that already but just in case here is an excel file that demos the logic ... I show two methods to produce a simulated leveraged price series from a base price series; log/antilog and relativeGeometricMean.
Scroll down to section 2 Miscellaneous Files >> LeveragedPriceSeries.xls
http://zboard.wordpress.com/downloads/
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> To toggle your thinking:
>
> (I am just imagining a chart to start with ... not sure what your final objective is ... if PLOTOHLC helps you could work it towards a backtesting array version ... versions might be different depending on whether you want it for chart reading, backtesting or both)
>
> 1) make separate arrays for ROC(X,1) where X = O,H,L,C,Ave etc (as required)
>
> factorO = ROC(O,1);//as GrothFactor e.g. 2% = 1.02, -2% = 0.98
> etc
>
> 2) substitute factorO, factorH etc in PLOTOHLC example
> - when you want to go back to 'Price', instead of leveraged Price, use factor == 1, which is ROC neutral.
>
> 3) if you get something going there and you like it maybe ParamToggle will let you switch from Price to Leveraged Price in live chart mode
>
> - ParamToggle is boolean so toggle P or LP yes or no?
> - conditional statement (if toggle is yes use leveraged price array)
>
> There would be other ways so comeback if you want options.
>
> I think ATC can store conditioned arrays so you could also use that and save leveraged Price arrays as pseudo tickers (if you aren't up to speed on ATC reference Hermans PDF tutorial at the UKB).
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "longarm61" <norm1@> wrote:
> >
> > Thanks much, Brian, I will look into that.
> >
> > Grant
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > >
> > > What about 211. (indexed from AFL by name) PLOTOHLC (Exploration / Indicators) - plot custom OHLC chart (AFL 2.2)
> > >
> > > Will that do the job?
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "longarm61" <norm1@> wrote:
> > > >
> > > > Hi, I'm guessing that this is a simple thing, but of course, it's not for me. I'm trying to simulate the performance of leveraged ETFs going back farther than they go back themselves, hence the following:
> > > >
> > > > I would like to plot a line which moves 2x percentage-wise the gain/loss of a particular stock PER DAY (bar). E.g., if I have SPY up, and SPY moves up 1% on Monday, the line moves up 2%. If SPY moves down .5% on Tuesday, the line moves down 1%. And so on. It'd be nice to have an option to switch between PRICE and PERCENTAGE on the current value (from the first bar showing to the last), but if it's a choice between one or the other, I'd prefer price.
> > > >
> > > > Thanks so much for any assistance on this.
> > > >
> > > > Grant
> > > >
> > >
> >
>
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