RE: From Spread's to indexes

["drwar" <drwar@xxxxxxxxxxx>]

The code you show looks like a calculation for a weighted 1 bar ROC. I did
not gather that was what you were looking for in your original post.

Jerry

-----Original Message-----
From: c [mailto:camacazi@xxxxxxxxxxx]
Sent: Sunday, March 28, 2004 10:05 PM
To: Gary Fritz; omega-list@xxxxxxxxxx
Subject: RE: From Spread's to indexes


Thanks Gary

Heres basically what i have done for now.....


 d1percent=((close[1] of data1 - close of data1) / close of data1 )* 40/100;
 d2percent=((close[1] of data2 - close of data2) / close of data2 )* 30/100;
 d3percent=((close[1] of data3 - close of data3) / close of data3 )* 30/100;

and then

myindex=myindex+d1percent+d2percent+d3percent;


Works a treat.... any other ideas for improvement just let me know  :O)

Cheers
Cameron



-----Original Message-----
From: Gary Fritz [mailto:fritz@xxxxxxxx]
Sent: Sunday, March 28, 2004 1:58 PM
To: omega-list@xxxxxxxxxx
Subject: Re: From Spread's to indexes


> i want to create my own index.... and i want to weight the individual
> components eg
> heating oil at ummmmmmmm say 40%
> crude oil  at 30%
 DAX at 30%

Set up HO in Data1, CL in Data2, DAX in Data3.
Now you could simply combine them by plotting (however you like):
 0.40*Close of Data1 + 0.30*Close of Data2 + 0.30*Close of Data3

But that doesn't take their widely varying prices into account,
so e.g. CL (at about $35) will have almost 40x larger impact than
HO (at about $0.90).  So you might want to scale them somehow,
maybe something like:

{ Get recent average value }
HO = Close of Data1;
CL = Close of Data2;
DAX = Close of Data3;
HOavg = average(HO, 100);
CLavg = average(CL, 100);
DAXavg = average(DAX, 100);
Index = 0.40*(HO/HOavg) + 0.30*(CL/CLavg) + 0.40*(DAX/DAXavg);

...or whatever calculation suits your fancy.
Gary


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