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Thanks for the pointer - I tried coding up an Exploration as:
upvol = Volume > Percentile( Volume, 1, 80 ) AND Close > Ref(Close,-1);
downvol = Volume > Percentile( Volume, 1, 80 ) AND Close < Ref(Close,-1);
MAAD = upvol - downvol;
Buy = 0;
AddToComposite(upvol,"~MAAD_UpVol20","X");
AddToComposite(downvol,"~MADD_DownVol20","X");
AddToComposite(MAAD,"~MADD_diff","X");
AddToComposite(1,"~MADD_count","X");
But then I realized that I wasn't comparing the volume of one stock to all other stocks - I was just comparing vs. historical volume of an individual stock. So what I really want to do (which would be incredibly slow):
- Loop through the stocks in a watchlist (in this case, the NYSE)
- Compare the volume of a stock to all others in the list.
- If it is in the top, say, 20%, then add it to the composite (either up or down depending on whether it was up or down for the day)
I'd be concerned that the code would be to slow to be a reasonable calculation for my home PC - thoughts appreciated.
--- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxx> wrote:
>
> droskill,
>
> I haven't tried it yet - but I think you could use the percentile function.
> See the examples on http://www.amibroker.com/guide/afl/afl_view.php?id=251
>
> Greetings,
>
> Thomas
>
>
> On 19.06.2009, 00:55:12 droskill wrote:
> > Hello all -
> >
> > In the recent issue of Futures, there was an article about MAAD - most
> > active advance/decline line that I found interesting. What I can't figure
> > out, however, is how to calculate it in AB.
> >
> > It is defined as such in the article:
> >
> > "Thankfully, there is a way to track the smart money in the equity markets.
> > After each trading session and at the end of each week, financial print
> > journals and a variety of online sources publish the results for the most
> > active issues traded by volume on the New York Stock Exchange (NYSE),
> > Nasdaq and American Stock Exchange (Amex). You just need to know what to do
> > with that information."
> >
> > "On a given trading day, the 20 most actively traded issues on the NYSE can
> > constitute 30% to 50% of composite exchange volume. It follows that we
> > should follow the volume leaders when creating a gauge of the internal
> > strength or weakness of the market."
> >
> > So I'm trying to figure out a way you could do this. The challenge is
> > obviously that the most active changes on a daily or weekly basis - so how
> > could one possibly use AddToComposite to do this. Any thoughts on this?
> >
> > Thanks!
> >
> >
> >
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