[amibroker] Re: Non-correlated markets in AB

["reefbreak_sd" <reefbreak_sd@xxxxxxxxx>]

I don't see any errors here.  I'm running AB Pro Ver 5.2 on WinXP machine.  I'm using my WatchList #10 - a list of about 35 ETFs.  The matrix comes out in the AA window - highlighting horizontal or vertical rows cause no problems.

ReefBreak

--- In amibroker@xxxxxxxxxxxxxxx, Joseph Occhipinti <joseph_occhipinti@xxx> wrote:
>
> thanks, but the highlighted row below comes up as error
> 
> // Exploration to create Correlation matrix original by Herman Van Ven Bergen 
> // In AutoAnalyzer, set Apply to -> Use Filter -> WatchList to same list as Param -> ListNumber (zero based)
> // Then set LookBackPeriods
> // Modified by ReefBreak
> // April, 2008
> 
> Listnumber      = Param("Listnumber" ,1,1,263, 1);
> LookBackPeriods = Param("Lookback Periods",3,1, 252,1);
> 
> Buy=Sell=Short= Cover=0;
> Filter = 1;
> 
> list = GetCategorySymbols( categoryWatchlist, Listnumber);
> 
> for( NumTickers=0; NumTickers < 99 AND StrExtract( list, NumTickers ) != ""; NumTickers++ );
> {
> //AddTextColumn( Name(),"Ticker" ,1.0);
> for( Col=0; Col<NumTickers; Col++)
> {
> Ticker1 = Name();
> Ticker2 = StrExtract( list, Col);
> Var1 = Foreign(Ticker1, "C");
> Var2 = Foreign(Ticker2, "C");
> Test = Correlation( Var1, Var2, LookBackPeriods );
> Color = IIf(Test>0, colorGreen, IIf(Test<0, colorRed, colorWhite)) ;
> Color = IIf(Ticker1= =Ticker2, 1, color);
> AddColumn( Test, Ticker2, 1.3, color);
> }
> } 
> 
> --- In amibroker@xxxxxxxxx ps.com, Rajiv Arya <rajivarya87@ ...> wrote:
> >
> > 
> > correlation function
> > 
> > To: amibroker@xxxxxxxxx ps.com
> > From: joseph_occhipinti@ ...
> > Date: Thu, 7 Jan 2010 18:46:49 -0800
> > Subject: [amibroker] Non-correlated markets in AB
> > 
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> > Hi all
> > 
> > Im in the process of looking into a couple of different trading strategies in commodities. I am keen to trade a basket of commodties simultaneously but i am mindful of not chosing a group that are strongly correlated (say 80%+), be it positively or inversely. 
> > 
> > My question to AB users is as follows - is there a function in AB that allows me to gauge such information? 
> > 
> > Or is it merely a case of eyeballing several charts and overlaying them on each other?
> > ieal scenario would be to trade say 8 - 10 markets, all mostly uncorrelated
> > 
> > could be:
> > 5 commodities;
> > 3 FX;
> > 2 indicies.
> > 
> > Cheers
> > Joe
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> 
> 
>  
> 
> 
>       __________________________________________________________________________________
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>




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