Re: [amibroker] AFL, pairs trading

[Craig Broadbear <craig@xxxxxxxxxxxx>]

I use the following exploration to create a correlation table:
> CorrPd = 30;
> list = GetCategorySymbols( categoryGroup , 0);
>
> SetOption("NoDefaultColumns",True);
> Filter = Status("LastBarInTest");
> SetSortColumns( 1 );
> AddTextColumn(Name(),"Correlation",1.0);
> Ticker1= Name();
>
> for( Col=0; (Ticker2=StrExtract( List, Col))!= ""; Col++)
> {
>         Var2 = Foreign(Ticker2,"C");
>         Corr = Correlation( C, Var2, CorrPd);
>         Color = IIf(Corr>0, colorBrightGreen, IIf(Corr<0, colorRed,colorWhite));
>         Color = IIf(Ticker1==Ticker2, 1, Color);
>         AddColumn( Corr, Ticker2, 1.3, 1, Color);
> }

Craig

On Mon, Sep 7, 2009 at 6:11 AM, h3po <h3pooo@xxxxxxxxx> wrote:

 

Say, I have a Group1 in Amibroker populated with 180 stocktickers. For every combination of the stocks in this Group I want to create and calculate a Correlation array. What will be the shortest AFLsyntax to accomplish this? Any hints appreciated.
Thanks

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