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I am
afraid the looping is currently beyond me but the concepts seems
simple....
<SPAN
class=172290817-25042003>
<SPAN
class=172290817-25042003>1)create a composite...
<FONT
color=#000000>
Buy=0<FONT
color=#0000ff>;<FONT
color=#0000ff>
isym="~i"+SectorID(1<FONT
color=#0000ff>);<FONT
size=2>
AddToComposite(<FONT
color=#0000ff>ROC(<FONT
color=#000000>C<FONT
color=#282828>,1<FONT
color=#282828>),isym,"c"<FONT
color=#282828>);<FONT
color=#0000ff>
AddToComposite(<FONT
color=#282828>(O<FONT
size=2>-<FONT
color=#000000>C<FONT
color=#282828>)/C<FONT
face=Arial>,isym,<FONT
color=#ff00ff>"O");<FONT
color=#0000ff>
AddToComposite(<FONT
color=#282828>(H<FONT
size=2>-<FONT
color=#000000>C<FONT
color=#282828>)/C<FONT
face=Arial>,<FONT
color=#282828>isym,"<FONT
color=#ff00ff>H"<FONT
color=#282828>);<FONT
size=2>
AddToComposite(<FONT
color=#282828>(L<FONT
size=2>-<FONT
color=#000000>C<FONT
color=#282828>)/C<FONT
face=Arial>,<FONT
color=#282828>isym,"<FONT
color=#ff00ff>L"<FONT
color=#282828>);<FONT
size=2>
AddToComposite(<FONT
color=#ff00ff>1,<FONT
color=#282828>isym,<FONT
color=#ff00ff>"v");
Now
the indicator needs to begin at an arbitrary number (50) and increment by the
composite values on a going forward basis. Does this sound correct? So something
like.....
<SPAN
class=172290817-25042003>
<SPAN
class=172290817-25042003>if(cum(1)==1,50
<SPAN
class=172290817-25042003>
<SPAN
class=172290817-25042003>else
<SPAN
class=172290817-25042003>
do
while cum(1)>1
<SPAN
class=172290817-25042003>
<SPAN
class=172290817-25042003>c+ref(c,-1)
<SPAN
class=172290817-25042003>
Am I
on the right track? Herman shared a nice example of looping today but I think
for most of us what we really need are some very simple
examples.
<SPAN
class=172290817-25042003>
any
input will be appreciated.....
<SPAN
class=172290817-25042003>jayson
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: downhillspeedster
[mailto:downhillspeedster@xxxxxxxxx]Sent: Friday, April 25, 2003
12:57 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Creating IM200 indices - JAYSONNote I said
UNWEIGHTED index...From `Stock Market Logic', Ch 75:"After
calculating the average percent change of each stock on a given day, the
index itself is derived as follows: Start with an arbitrarily established
index value; say, 50.00. If the average stock appreciates 1%, the new index
value is 1.01 times 50, or 50.50. By similar logic, if the average
stock declines 1%, the new index value is equal to 0.99 times 50.00, or
49.50. This is an eminently fair and reasonable method of calculating stock
market indexes. Each stock receives equal treatment, regardless of price or
capitalization." Daily percent change MUST be calculated as (C –
Ref(C,1))/Ref(C,-1). DO NOT USE (C – Ref(C,1))/C.Fosback notes that any
index calculated by dividing by today's close suffers from a downward
bias.Hope this helps. Get the book. Its a
classic.downhillspeedster--- In
amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:>
downhillspeedster,> > Interesting. I am unfamiliar with Fosbacks
book. Could you perhaps summarize> why this is the Only correct
way?> > > Jayson> -----Original Message----->
From: downhillspeedster [mailto:downhillspeedster@xxxx]> Sent: Thursday,
April 24, 2003 11:19 AM> To: amibroker@xxxxxxxxxxxxxxx> Subject:
[amibroker] Re: Creating IM200 indices - JAYSON> > > Here
are two afl code fragments to create an index based on average> day over
day % change of each component in the index and display the> same index
in Indicator Builder. It is the only correct way to build> an unweighted
index (see Fosback's classic 'Stock Market Logic' for> more
info).> > Enjoy!> > downhillspeedster>
> AddtoComposite Code Fragement to Create an Index> > //
Here we do an arithmetic market average> CompFlag = 3;>
Temp28 = "~" + MarketSymbol + "_Indx" ;> CloseDelta =
(C-Ref(C,-1))/Ref(C,-1);> OpenDelta = (O-C)/C;>
LowDelta = (L-C)/C;> HighDelta =
(H-C)/C;> > AddToComposite(CloseDelta, Temp28 , "C" , flags =
LastValue> (CompFlag));> AddToComposite(OpenDelta, Temp28 , "O" ,
flags = LastValue> (CompFlag));> AddToComposite(LowDelta, Temp28 ,
"L" , flags = LastValue(CompFlag));> AddToComposite(HighDelta, Temp28
, "H" , flags = LastValue> (CompFlag));> // add one to Open
Interest field (we use this field as a totals> counter)>
AddToComposite( 1, Temp28 , "I" , flags = LastValue(CompFlag));> >
// ****> > Indicator Builder code fragment for
reconstructing the index:> > > InitialIndexValue = 1000; //
USER DEFINED INDEX INITIAL VALUE> // set the value of the index for the
bar prior to the first bar> > _N(Temp = "~" + MarketSymbol +
"_Indx" );> > NoDataBit = IIf (IsEmpty(Foreign(Temp,"I")) OR
IsEmpty(Foreign> (TempV,"C"))
OR>
(Foreign(Temp,"I")) == 0 OR (Foreign> (TempV,"C")) == 0 , 1, 0
);> > IndxClose = IIf(NoDataBit, -1E10, (Foreign(Temp, "C")/
Foreign> (Temp,"I")) );> IndxLow = IIf(NoDataBit,
-1E10, (Foreign(Temp, "L")/ Foreign> (Temp,"I")) );> IndxHigh
= IIf(NoDataBit, -1E10, (Foreign(Temp, "H")/ Foreign>
(Temp,"I")) );> IndxOpen = IIf(NoDataBit, -1E10, (Foreign(Temp,
"O")/ Foreign> (Temp,"I")) );> >
EnableScript("VBscript");> > <%> ' //VBscript code
begins here> >
'
/********************************************************>
************************************/> > '// set the value of the
index for the first bar> > InitialIndexValue =
AFL("InitialIndexValue")> > '// the below error check fixes the
scan if the current stock's first> bar is > the date range
selected> '// by the user as the first bar. Without this error check, you
get> the run time error:> '// 'subscript out of range:
k';> '// The real solution is to change the current stock to a stock
with> valid data for the date range selected> > vbStartBar
= AFL("mystartbar")> > If vbStartBar = 0
Then> vbStartBar = 1> End If> >
vbClose = AFL("IndxClose")> vbOpen = AFL("IndxOpen")> vbLow =
AFL("IndxLow")> vbHigh = AFL("IndxHigh")> vbVol =
AFL("IndxVol")> > ResultsClose = AFL("IndxClose")>
ResultsOpen = AFL("IndxOpen")> ResultsLow = AFL("IndxLow")>
ResultsHigh = AFL("IndxHigh")> ResultsVol = AFL("IndxVol")>
> Redim ResultsClose(Ubound(VbClose))> Redim
ResultsOpen(Ubound(VbClose))> Redim ResultsLow(Ubound(VbClose))>
Redim ResultsHigh(Ubound(VbClose))> > For m = Lbound(VbClose) to
(vbStartBar-2) Step 1> > ResultsClose(m) =
InitialIndexValue> ResultsOpen(m) =
InitialIndexValue> ResultsLow(m) =
InitialIndexValue> ResultsHigh(m) =
InitialIndexValue> > Next> > k =
vbStartBar-1> ResultsClose(k) = (vbClose(k)+1)
*InitialIndexValue> ResultsOpen(k) =
(vbOpen(k)+1)*InitialIndexValue> ResultsLow(k) =
(vbLow(k)+1)*InitialIndexValue> ResultsHigh(k) =
(vbHigh(k)+1)*InitialIndexValue> > For i = vbStartBar to
Ubound(VbClose) Step 1> > ResultsClose(i) =
(vbClose(i)+1)*ResultsClose(i-1)> ResultsOpen(i) =
(vbOpen(i)+1)*ResultsClose(i)> ResultsLow(i)
= (vbLow(i)+1)*ResultsClose(i)>
ResultsHigh(i) = (vbHigh(i)+1)*ResultsClose(i)> >
Next> > AFL.Var("AvgClose") = ResultsClose>
AFL.Var("AvgOpen") = ResultsOpen> AFL.Var("AvgLow") = ResultsLow>
AFL.Var("AvgHigh") = ResultsHigh> > '//>
**********************************************************************>
**********************/> > %>> > PlotOHLC(
AvgOpen, AvgHigh, AvgLow, AvgClose, " ", color=BarColors,> ) ;> > --- In amibroker@xxxxxxxxxxxxxxx, "Jayson"
<jcasavant@xxxx> wrote:> >> > Markus,>
>> > see answers below...> >> > Hello
Jayson,> >> > don´t ya worry!> >> >
You´ve already helped me a great deal in understanding the "basix">
of> > Addtocomposite.> >> > 1./ somehow my indices
have been stored in -->markets-->market253> AND group> >
253. While I understand the latter, I don´t understand the former.> Is
this a> > MUST?> >> > I think markets 253 is
equivalent to All your stocks and tickers. I> am not> >
sure what you are doing but I tend to break that group into watch> lists
for> > testing and explorations. For instance you could create a
watch> list of Nas> > 100 stocks. This watchlist would contain
stocks that reside in the> new list> > AND market
253........> >> > 2./ I used the "x" option for the field
code, figuring that would> enable me> > to make a bar chart
from it (since OHLC are updated). But this is> NOT the> > case.
I get only. No way to produce a bar chart as in HGS/QP2 from> it??
I> > thought of generating 4 ATC´s (one for Open, one for High etc.)
but> how to> > bring those together in one index bar for
each trading day> >> > >> > Yes you may
plot candles but think about what you were trying to> do....>
>> > AddToComposite(C,sym,"X"); would not this populate
closing value> through out all the fields? try......> >>
>> > AddToComposite(C,sym,"C");> >
AddToComposite(O,sym,"O");> > AddToComposite(H,sym,"H");> >
AddToComposite(L,sym,"L");> > AddToComposite(1,sym,"V");>
>> > Plotting your ticker now will show the appropriate OHLC
data.> Unfortunately if you have any holes in your data they may
cause> misleading candles. By dividing the values by the number
of> calculations in each composite you can smooth these errors. To
plot> this create a custom indicator> >> >>
> C= c /V;> > O= o /V;> > H= h /V;> > L= L
/V;> >> > Plot(C,"Sector
Index",colorWhite,styleCandle);> >> > or better yet..If you
want to plot your index in the same chart as> a component stock
try........> >> > sym="~"+SectorID(1);> >
C=Foreign(sym,"C")/V;> > O=Foreign(sym,"o")/V;> >
H=Foreign(sym,"h")/V;> > L=Foreign(sym,"l")/V;> >>
> Plot(C,"Sector Index",colorWhite,styleCandle); For
separate> window or add |styleownscale for the same window>
>> > AB will determine what sector (or industry in your case) the
stock> belongs to then automatically plot the index for that stock. I
use> this approach daily to compare the stocks RSI and the sectors or
the> stocks momentum and the sectors or to measure the stocks
correlation> to the sectors etc> >> >>
>> >> >> > 3./ It makes me wonder that the
newly created indices (in our case> the IM200´s) have to be updated EVERY
day MANULY(running the scan).> Is there no workaround for this (i.e.
store the calculated day> somewhere and onl update the LAST session as
with regular stock> data??).> >> > The calculations
needed require a look at your whole universe. Just> save your scan
and run it... think of it as part 2 of your daily> update. It take but a
moment. IMO this feature alone is worth the> price of admission to AB. I
used to do all this work as a QP scan> then export to excel, sort,
calculate and import to metastock. If I> missed a day I had to rewrite
the scan to get yesterdays data etc,> etc. With AB the composite is
re-created each day so if I miss a day,> no problem. If QP makes an
adjustment, no problem.> >> > I have one scan that creates
all my sector composites, all my> industry composites, and several market
breadth composites. It takes> my old P600 system about 2 minutes to do
the work then AB even sends> them to the appropriate watch list for
further analysis. Super> feature........> >> >
Regards,> >> > jayson> >> > Highly
appreciate your help!!!!> >> > Thanx> >>
> Markus> > ----- Original Message ----->
> From: Jayson> > To:
amibroker@xxxxxxxxxxxxxxx> > Sent: Thursday, April 24,
2003 6:38 AM> > Subject: RE: [amibroker] Creating IM200
indices - JAYSON> >> >> >
JMarkus,> >> > I have been gone most of the
afternoon. Sorry to leave you> hanging. Answers below......>
>> > Jayson> > -----Original
Message-----> > From: funnybiz@xxxx
[mailto:funnybiz@xxxx]> > Sent: Wednesday, April 23, 2003
5:26 PM> > To: amibroker@xxxxxxxxxxxxxxx>
> Subject: Re: [amibroker] Creating IM200 indices -
JAYSON> >> >> > Anthony,>
>> > thanks for s> > tepping in here.>
>> > If I may:> >> >
1./ does Jayson´s SYM variable refer to the array part of the> >
addtocomposite> > function. If so, why is it not put in
parenthesis (though this> results in> > an>
> error).> >> > The line>
>> > sym="~"+sectorid(1)> >>
> looks at each stock you scan and places "~" + the sector ID
for> that stock> > in its place. If, for instance the stock
resides in the Utilities> Sector> > then AB notes this and
returns sym= "~Utilities". Addtocomposite> grabs this> >
shorthand and Therefore the next line> >
AddToComposite(C,sym ,"C"); becomes addtocomposite>
(c,"~utilities","C");> >> > This is repeated for
each stock scanned. addtocomposite then> simply looks> > to the
stocks sectorid and places the data in the appropriate ticker>
>> >> >> >> > 2./
sym="~"+SectorID(1);// this does sectors for industry groups> use>
> industryid(0)> > I don´t understand
Jayson´s remark here: WHICH stocks does that> include? I>
> want to include all stocks belonging to the same of the
200> industry> > groups.> >> >
Sectorid(1) returns the 12 sectors (Capital goods, utilities,>
financials> > etc) If you want industry groups then replace that line
with> >> > sym="~"+industryID(1);>
>> > Ab will look at all the stocks in your scan. All
the stocks with> with the> > same industryID will be counted in
the appropriate composite Ticker.> >> > 3./
if I wanted to create an index for all the 200 used industry>
groups> > (Quotes Plus Two), would I have to write this
code 200 times??> >> > No... See above... AB
does all the grunt work for you...> >> > 4./
would I have to run the scan EVEREY day to bring my> Addtocomposites
up> > to date?> >> > Yes.
the scan will create/update all 200 industry groups and> store them
in> > group 253 (the default location for your Composites. You may
also> create> > watch lists of these tickers to separate them.
For instance I have a> > watchlist with just the 12 sectors, a
second for the industry group> tickers> > etc....>
>> > 5./ I added "flag=16" which gave me an error. How
do I have to> specify if> > I> > want to
use addtocomposite in exploration mode?> >> >
flag=16 is a description.... just add comma 16> >
AddToComposite(C,sym ,"C" ,16 );> >> >> >>
> Many thanks for your help!> >>
> Markus> >> > ----- Original
Message -----> > From: "Anthony Faragasso"
<ajf1111@xxxx>> > To:
<amibroker@xxxxxxxxxxxxxxx>> > Sent: Wednesday,
April 23, 2003 8:37 PM> > Subject: Re: [amibroker]
Creating IM200 indices - JAYSON> >> >>
> > Also...do not forget to add this dummy line...which is
needed> for> > scanning.> >
>> > > Buy=0;> > >>
> >> > >> >
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