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Problem solved! Everything is now working. When using Automatic
Analysis and defining a filter there was a subfilter in GICS that was
further filtering my symbol list to the point that there was no
remaining symbols to scan. Hence Scan did nothing. Once I clicked on
the Clear button, re-entered by watch list and added the market that all
the symbols I wanted to filter then PRESTO.... Scan works, and my
unweighted S&P500 stock chart now has volume.
Alan wrote:
>
>
> Progress update on building the volume indicator for S&P500 Index.
>
> In testing the filter in order to sort the entire database to just the
> stocks in the S&P500 Index I am using Analysis>Quick Review. When I
> add my filter "Symlist" which contains a list of symbols, select a
> date, and then click on Show I get the OHLC and Volume data for each
> listed stock symbol for that date. So now I am back to just trying to
> get SCAN to work in Automatic Analysis.
>
> To recap: Everything works when I SCAN "all symbols" and "current
> symbol" and I get a volume bar chart as expected. In addition I know
> that my filter list is correct because I tested it with Quick Review.
> However, when I try to run SCAN in Automatic Analysis using my filter
> list "Symlist" nothing happens. I am obviously overlooking something
> but I don't know what it is. Can someone help me to get SCAN to work
> with "use filter" in Automatic Analysis?
>
> Mark Hike wrote:
>
>>
>>
>> My comments are directed to the way Alan is trying to calculate the
>> composite volume. For the prices of the indexes, depending on how you
>> use it, it may also have survivorship problem.
>> For example, if you use the index as an input for a trading system to
>> trade its component stocks, you may also want to test those stocks
>> which have been removed from the index. However if you use the index
>> to test corresponding futures/options or ETFs, it would be fine.
>>
>> On Fri, Oct 23, 2009 at 4:12 PM, Keith McCombs <kmccombs@xxxxxxxxxxxx
>> <mailto:kmccombs@xxxxxxxxxxxx>> wrote:
>>
>>
>>
>> Mark --
>> Don't your remarks, "can not use it for backtesting more than a
>> few months back" and "the components of the index keep changing",
>> hold for the prices in the SP500 as well as the composite volume
>> Alan is trying to calculate? In fact, don't they hold for all
>> the standard indexes, DJI, COMP, RUT, etc.? They all have some
>> degree of survivorship bias.
>> -- Keith
>>
>>
>>
>> Mark Hike wrote:
>>>
>>>
>>> Not sure how you would use the volume data, but I would say that
>>> you can not use it for backtesting more than a few months back.
>>> That's because the components of the index keep changing and you
>>> would need to account for the survivorship bias.
>>>
>>> On Fri, Oct 23, 2009 at 3:24 PM, Alan Northam
>>> <alan@xxxxxxxxxxxxxx <mailto:alan@xxxxxxxxxxxxxx>> wrote:
>>>
>>>
>>>
>>> To create a scan that will sum up all the volume data for
>>> all stocks in
>>> the S&P500 Index I have created this afl file:
>>>
>>> Buy = 0;
>>> Sell = 0;
>>> AddToComposite(Volume,"~sp500volume","Volume", flags = 1);
>>>
>>> I have also created a small symbol list (symlist) made up of
>>> 9 stock
>>> symbols and saved it as one of the Watch Lists.
>>>
>>> I have also created the following Indicator:
>>>
>>> _SECTION_BEGIN("sp500volume");
>>> vol = Foreign("~sp500volume", "volume", 1);
>>>
>>> Plot(Vol, "SP500Volume", colorBlack, 2);
>>> _SECTION_END();
>>>
>>> When I do a Scan in Automatic Analysis I click on "use
>>> filter" in the
>>> "Apply to" area and define the filter as my my small symbol
>>> list
>>> (symlist). In the "Range" area I click on "all quotations".
>>> I then
>>> run the Scan and nothing happens. If instead of using my
>>> symlist I
>>> click on "all symbols" in the "Apply to" area the scan runs
>>> for several
>>> minutes and I see the volume bars update on my stock chart
>>> at the end of
>>> the scan. So everything is working except for being able to
>>> run the
>>> scan on a selected list of stocks. Once I get this to run on
>>> a small
>>> list of stocks I will then use a stock list of 500 stocks
>>> that make up
>>> the S&P500 Index. Anyone have any suggestions to get this to
>>> run on a
>>> select list of stocks instead of all the stocks in my database?
>>>
>>> Regards,
>>> Alan
>>>
>>>
>>>
>>> Alan wrote:
>>> >
>>> >
>>> >
>>> >
>>> > Ara:
>>> >
>>> > Thanks for the instruction. I am trying to find the SP500
>>> list. Does
>>> > Quotes-Plus provide the list or did you have to make it?
>>> >
>>> > Alan,
>>> >
>>> > --- In amibroker@xxxxxxxxxxxxxxx
>>> <mailto:amibroker%40yahoogroups.com>
>>> <mailto:amibroker%40yahoogroups.com
>>> <mailto:amibroker%2540yahoogroups.com>>,
>>> > "Ara Kaloustian" <ara1@xxx> <mailto:ara1@...> wrote:
>>> > >
>>> > > Alan,
>>> > >
>>> > > I am doing what you are suggesting to derive volume data
>>> for SP500.
>>> > My code
>>> > > is not very usefull to you as it is part of other
>>> similar code and
>>> > > configurations.
>>> > >
>>> > > Simply use AddToComposite function and scan the SP500
>>> list. Then use
>>> > > Foreign() function to access the data.
>>> > >
>>> > > Ara
>>> > > ----- Original Message -----
>>> > > From: "Alan" <alan@xxx> <mailto:alan@...>
>>> > > To: <amibroker@xxxxxxxxxxxxxxx
>>> <mailto:amibroker%40yahoogroups.com>
>>> <mailto:amibroker%40yahoogroups.com
>>> <mailto:amibroker%2540yahoogroups.com>>>
>>> > > Sent: Friday, October 23, 2009 2:21 AM
>>> > > Subject: [amibroker] Quotes_Plus Volume Work Around?
>>> > >
>>> > >
>>> > > > Quotes-Plus provides volume data with some of its
>>> indexes (for example
>>> > > > the Dow Jones Industrial Average) while at the same
>>> time does not
>>> > > > provide volume data for some of the other indexes (for
>>> example the
>>> > > > S&P500 Index). What I want to know does anyone have a
>>> suggestion for a
>>> > > > work around? One way I thought of was to write an
>>> indicator that
>>> > > > collects the volume data for all 500 stocks in the
>>> index and plotting
>>> > > > the result. Is there a better way? Also has anyone
>>> already done this
>>> > > > and would like to share their code?
>>> > > >
>>> > > > Alan,
>>> > > >
>>> > > >
>>> > > >
>>> > > > ------------------------------------
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>>> >
>>> >
>>>
>>>
>>
>>
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