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Droskill,
As I interpreted the MAAD indicator it is based on the high volume stocks -- top 20. In other words a A/D line based on the 20 high volume stocks each day. Yesterday these were the top 25 High volume stocks:
Ticker Close Close-1 Volume
BAC 11.94 13.22 433248704
SPY 89.28 92.04 251876992
FAZ 5.44 4.71 237738400
FAS 8.03 9.53 228983504
C 3 3.17 204409200
QQQQ 35.08 36.16 137701504
XLF 11.34 12.04 133198304
GE 11.52 12.1 102410800
WFC 22.51 24.19 82112400
EEM 30.6 31.75 80986096
MSFT 23.28 24.07 71293296
INTC 15.68 16.01 70840304
JPM 32.87 35 70389200
ETFC 1.19 1.26 61451700
PFE 14.79 15 58470900
F 5.38 5.72 57614800
IWM 49.49 51.31 54877200
UYG 3.58 4 54439000
AIG 1.39 1.53 49126000
CSCO 18.41 18.92 46180600
AA 10.02 11 44634100
SSO 24.66 26.23 44414800
RF 3.84 4.13 43220400
SKF 46.34 41.83 41821700
VALE 16.98 18.54 41812300
Sometime back I developed (with the help of others) an Advance/Decline, NewHi NewLo indicator/composite. Here is the formula:
// Breadth of Stocks
// Develops 4 composites that can be plotted or manipulated as you wish
// How to Run
// 1) Select Group - Stocks or Market -NYSE,Nasdq, AMEX (or all stocks/ETF's)
// 2) Select an issue with a long history in the current ticker window
// 3) Set APPLY TO to use filter Market - Stocks
// 4) Set RANGE to one bar... 1 n last quotations
// 5) Press SCAN
//===================52 Weeks New High -Lows==================================
NHi = (C> HHV(Ref(C,-1),251));
NLo = (C< LLV(Ref(C,-1),251));
AddToComposite(IIf(C > HHV(Ref(C, -1), 251), 1,0), "~StocksNewHi", "X"); //Find New Highs over the past 52 weeks.
AddToComposite(IIf(C < LLV(Ref(C, -1), 251), 1,0), "~StocksNewLo", "X"); //Same for lows next.
NewHigh = Foreign("~StocksNewHi","X");
NewLow = Foreign("~StocksNewLo","X");
DIFF_H_L = NewHigh-NewLow;
Plot(NewHigh,"NewHigh",colorGreen,styleThick|styleHistogram);
Plot(NewLow*-1,"NewLow",colorRed,styleThick|styleHistogram);
Plot(0,"",1);
//===================Advance/Decline Issues
AddToComposite(C>Ref(C,-1),"~StocksAdv","X");
AddToComposite(C<Ref(C,-1),"~StocksDec","X");
AddToComposite(C==Ref(C,-1),"~StocksNC","X");
Adv = Foreign("~StocksAdv","X");
Dec = Foreign("~StocksDec","X");
NC =Foreign ("~StocksNC","X");
DIFF_A_D = Adv-Dec;
ADRatio = IIf(Dec>Adv,(Dec*-1)/Adv,Adv/Dec);
Plot(Adv,"Adv",colorBlack,styleLine);
Plot(Dec,"Dec",colorBrown,styleLine);
//Plot( Adv-Dec, "Adv/Dec Histogram", IIf(Adv-Dec > 0,colorBrightGreen,colorRed ), styleNoTitle | ParamStyle("Histogram style", styleHistogram | styleNoLabel, maskHistogram ));
//Plot(Diff_A_D,"Diff_A_D",colorBlack,styleThick);
Plot(ADRatio,"AdvanceDeclineRatio",colorDarkBlue,styleHistogram);
Plot (Cum(Adv-Dec),"Diff_A_D",colorBlack,styleDots);
GraphXSpace = 2;
Filter = C;
Buy = Sell = 0;
Result = WriteIf(Buy,"Buy","Sell");
//AddTextColumn( WriteIf(Buy, "Buy" , "Sell" ) , "TRADE" , 5 , IIf(Buy,colorYellow, colorWhite), IIf(Buy, colorDarkGreen, colorDarkRed) );
AddTextColumn(Result,"Trade", formatChar,IIf(Buy,colorDarkGreen,colorLightYellow ), IIf(Sell,colorLightYellow,colorLime));
//AddTextColumn(Result,"Trade", formatChar,IIf(Buy,colorDarkGreen,colorRed ), IIf(Sell,colorLightYellow,colorLime));
AddTextColumn(FullName(),"Full name",77,colorPlum, IIf(Close <1.00,colorYellow,colorDefault ) );
AddTextColumn(IndustryID(1) ," Industry Sector ", 25.0, colorWhite, colorBlue);
AddColumn( Close, "Close", 1.2, IIf( ROC(C, 1 ) >= 0, colorDarkGreen,colorRed ),50 );
AddColumn(NHi,"52 Wk High",1.2,colorBrown);
AddColumn(NLo,"52 Wk Low",1.2,colorDarkBlue);
//AddColumn ((NHi-NLo/NHi)*100,"% Dif Hi_Lo", 3.2, colorYellow,colorGreen);
AddColumn( ( (HHV(C,251))-LLV(C,251))/(HHV(C,251))*100,"% Dif Hi_Lo", 3.2, colorYellow,colorGreen);
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
_SECTION_END();
The challenge is to develop formula that will pick the top 20 or 25 high volume stocks each day from ones database and run the oomposite scan on it. Correct me if I'm wrong.
Dick H
--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> 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@> 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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> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
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TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
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