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Jason,
From the code below, you should always get
that. For example, let’s assume that your scan hits “FTEK”
– a small cap stock. Here’s what I think your code
would do:
small = MArketcap < 1000;
mid = Marketcap >=1000 AND MArketcap
< 5000;
Large = MArketcap >=5000;
// at this point, small = 1, mid = 0 and
large = 0
// So it generates the symbols you see
below.
What you need to do is have some code that
looks like this:
MktCapLarge = "~" +
"LC_" + large + SectorID(1) ;
MktCapSmall = "~" +
"SC_"+ small + SectorID(1) ;
MktCapMid = "~" +
"MC_" + mid+ SectorID(1);
If (Small)
LoadComposite
(MktCapSmall)
If (Mid)
LoadComposite
(MktCapMid)
If (Large)
LoadComposite
(MktCapLarge)
In other words, only execute the
CompositeLoad once for each stock and pass in the appropriate symbol.
Regards,
Dan.
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Jason Hart
Sent: Friday, December 02, 2005
2:59 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Quotes
Plus - Sectors
Good stuiff Dan, thanks for posting. I am
messing around with a few new formulas similar to what you are doing. Quick
question, when creating a composite how can I assign a stock by marketcap to a
particular sector?
For instance, I'm hoping to create a composite
for each sector broken down by size. I have created this
formula but it doesn't seem to work b/c it creates two separate
composites.
MarketCap = round(Close[BarCount -1] * GetExtraData("shares")/1000);
small = MArketcap < 1000;
mid = Marketcap >=1000 AND
MArketcap < 5000;
Large = MArketcap >=5000;
mktcaplarge = "~" + "LC_" + large + SectorID(1) ;
mktcapSC = "~" + "SC_"+ small
+ SectorID(1) ;
mktcapmid = "~" + "MC_" + mid+
SectorID(1);
However, it results in two different tickers. Taking healthcare for
example.....
i GET THESE TWO TICKERS WHEN RUNNING THE scan:
I'm not sure how the 0 & 1 comes into play.
Any help appreciated
Dan Clark
<dan_public@xxxxxxxxxxx> wrote:
Hi. Currently the RS ATC symbols
that I’m using are based a simple RSI(9) of the ATC Index symbols.
This is stuffed into an ATC RS symbol.
However, this ATC RS symbol is computed
for all bars in my database. I.e., if there are 1000 bars for a Sector
ATC Index, there should be 991 RSI bars.
And, when I change the time period to
weekly or monthly, the values roll up to the higher time period.
That said, I haven’t confirmed whether these higher timeframe numbers are
valid for decision making. I think they will be OK, but
that’s not confirmed.
Regarding the ATC RS symbol…
The ATC RS symbol is then used to create a
Sector ATC Rank symbol – a Sector’s RS ranking within all Sectors,
and a Cap-based Sector (large, mid and small) within Sectors of the same size
(large, mid or small). Industry ranking is done the same.
Then, the ATC Rank symbols are used to
compare a Sector to other Sectors and an Industry to other Industries.
This is for top-down analysis. For bottom-up analysis, I use
the ATC Rank symbols are used to quickly display the Sector and Industry rank
for a stock.
For example, the attached image shows the
Sector and Industry Ranking for AKAM (Akamai). As you can see, the
Internet Sector has been very strong for the last three months and started
fading a bit starting in November. The Internet – Services
Industry has been very strong for the same period, only started fading in the
last week.
I chose to use ATC symbols instead of
computing rank on the fly because of speed. Computing rank is a
slow process. Doing it on the fly took 2-3 seconds every time a
chart was scrolled or zoomed. Now using an ATC symbol, it’s
virtually instantaneous.
But all of this is based on RSI(9).
That’s just a placeholder. When I get some other,
higher-priority work complete, I’ll replace the RS calculation with a
composite calculation of RSI, ROC, and position related to MAs. This will
be similar to your work. Since I’ve already created the RS ATC symbol,
it should be simple to replace the ATC’s RS code. All of the
ATC Rank code will remain the same.
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf Of Jason Hart
Sent: Friday, December 02, 2005
6:24 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Quotes
Plus - Sectors
I figured out the error. On the RS templates
you've been posting do you have them set to a certain time period, i.e. the
template only shows 1 month of performance or will the performance figures
change when you change the time period on the chart? Similar to the
relative performance charts built in on AB.
Dan Clark
<dan_public@xxxxxxxxxxx> wrote:
Hi. I’m a little fuzzy about
what part of the code is breaking. Where is it breaking?
What’s the error message?
CompositeLoad is just a function that
makes it easier to encapsulate the code. When I create the composite, I
run it against all symbols. BUT, my scan has criteria built in. I
exclude with a 10Day MA price $2.00 and 10Day MA volume <
50K. I also exclude stocks over $2,000 (Berkshire Hathaway)
Let me know what error your are getting.
//Get group name
GroupName = GroupID(1);
//Institutional
Holding
InstitutionalHold = GetExtraData("InstHolds");
//Market Cap
MarketCapNum = MarketCapGet();
MarketCapCategory = MarketCapCategoryGet(MarketCapNum);
//Init Utility
Variables
SectorSymbol = NumToStr(SectorID(0), 1.0);
SectorName = SectorID(1);
IndustrySymbol = NumToStr(IndustryID(0), 1.0);
IndustryName
= IndustryID(1);
MarketName = MarketID(1);
VolStdAmt = Nz(V/1000);
Volume10DayMA = MA(VolStdAmt, 10);
LastVolume10DayMA = LastValue(MA(VolStdAmt, 10));
Close10DayMA = MA(Nz(C), 10);
LastClose10DayMA = LastValue(MA(Nz(C), 10));
//Filter the
symbols
USStock
= LastClose10DayMA > 2
AND LastVolume10DayMA > 50
AND
LastClose10DayMA <= 2000 //Eliminate Berkshire Hathaway
AND GroupName
== "Common Stocks"
AND
SectorName != "Undefined"
;
USTradable = LastClose10DayMA >=
PriceMin
AND
LastClose10DayMA <= PriceMax
AND
LastVolume10DayMA >= VolumeMin
//LastVolume10DayMA already divided by 1000
AND GroupName
== "Common Stocks"
AND SectorName
!= "Undefined"
AND InstitutionalHold
>= 10
AND InstitutionalHold <= 90
;
ADR
= LastClose10DayMA > 2 // C
>=
PriceMin
AND
LastVolume10DayMA > 50 //AND V
>=
(VolumeMin * 1000)
AND
LastClose10DayMA <= 2000 //high priced stocks
AND GroupName
== "ADR"
AND
SectorName != "Undefined"
;
ADRTradable
= LastClose10DayMA >=
PriceMin
AND
LastClose10DayMA <= PriceMax
AND
LastVolume10DayMA >= VolumeMin
//LastVolume10DayMA already divided by 1000
AND GroupName
== "ADR"
AND
SectorName != "Undefined"
;
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf Of Jason Hart
Sent: Thursday, December 01, 2005
9:01 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Quotes
Plus - Sectors
I tried using the formula at the bottom but got an
error once the code got to "compositeload". I presume I need to
have the tickers already created before running the scan. What
do you run this scan against? Is it all common stocks or do you run it
against a watchlist? Thanks in advance.
By the way, great idea concerning the sector charts
and the sector by marketcap sizes! I have been looking to implement
something like this onto my charting panes. I'd like to have the lone
company chart above, with relative performance charts with sectors as you have
done. I use QP and do have a setup similar to this but I use the QP
industry sectors, i.e. !id (then sector number), but find it limited
because of the weightings they use. I do not like how a penny stock with
a 15M marketcap that happens to move +20% on a 5 cent move can totally skew the
sector data. I've seen cases where a sector is up 10% for the week
but when you look at the underlying companies all of them are flat except a
microcap that happens to move 50% on 30,000 shares traded
Jason
Dan Clark
<dan_public@xxxxxxxxxxx> wrote:
I’d be happy to collaborate on
trading issues.
Below are some utility functions that
I’ve added to my “Include” file. I use functions
and procedures in the Include file extensively. This makes my code
simpler and much more consistent.
Attached are two charts.
MarketSectorIndustryOverlay.gif shows a candle chart of MIDD with a Market,
Sector and Industry overlay. The Market it represented by
“VTI” and is plotted in yellow. I could have chosen to
display several other total market indicators include QQQQs and my own
composite indices. Sometimes I like to choose a standard market indicator
for reference. The orange dotted line is the Small Cap Household
Appliance Industry ATC index (MIDD’s industry). The Aqua dotted
line is the Consumer Cyclical Sector ATC index (MIDD’s Sector).
The top pane of RelativeStrength.gif shows
an ROC chart comparing MIDD, VTI, and MIDD’s Industry and Sector
ATC. As you can see, MIDD has been going sideways for the last
month, while its industry has been improving and MIDD has been outperforming
the market and it’s sector.
The middle pane shows the RANK of
MIDD’s Sector and Industry. Rank is defined by the RSI(9) of its
Industry and Sector.
At the bottom is the RSI(9) chart of MIDD,
it’s Sector and It’s Industry.
FYI… I ALWAYS show the market
overlays in yellow, Sectors in aqua and Industry in orange. After
experimenting with this, I found it massively confusing to have multiple colors
in different charts. I strongly recommend using standard colors for this.
CurDatabase = GetDatabaseName();
if(CurDatabase == "QuotesPlus_Stocks")
MarketCap = round(Close[BarCount -1] * GetExtraData("shares")/1000);
MarketCap = 666; //indicating N/A
function
MarketCapCategoryGet(MarketCap)
CurDatabase = GetDatabaseName();
if(CurDatabase == "QuotesPlus_Stocks")
MarketCapCategory= "Small";
if (MarketCap >= 1000 AND MarketCap < 5000)
MarketCapCategory= "Mid";
MarketCapCategory= "Large";
MarketCapCategory= "N/A"; //indicating N/A
return MarketCapCategory;
function MarketCapCodeGet(MarketCapCategory)
CurDatabase = GetDatabaseName();
if(CurDatabase == "QuotesPlus_Stocks")
if (MarketCapCategory == "Small")
if (MarketCapCategory == "Mid")
MarketCapCode = "N/A"; //indicating N/A
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf Of Ara Kaloustian
Sent: Sunday, November 06, 2005
12:02 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Quotes
Plus - Sectors
You gave me a lot to think
about. I'll need a little time to absorb all you have said.
Yes, I would appreciate snapshots of
charts. That's always helpful to visualize.
It would be useful if we were to use
same structures so we could also collaborate on trading issues.
----- Original Message -----
Sent: Sunday, November 06, 2005 10:56 AM
Subject: RE: [amibroker] Quotes Plus - Sectors
I do this now. Relative
Strength and Relative Performance of Sectors and Industries to Markets, and
Stocks to Sectors, Industries and Markets are key to my trading strategy.
I’ve spent a lot of effort working
on this in the last six months. Two issues are critical (IMO):
·
Algorithms
to use – Indicators, calculations, etc.
·
Symbols
to compare – Supplied Indexes (!SPX, !NYA), ETFs (QQQQ, IYF, BBH, VTI),
Composite indexes and Indicators.
Regarding the algorithms, I’ve tried
several ways of defining relative strength and performance. You can:
1. Compare several tickers using the “Relative
Performance” chart (Charts à Basic Charts à Relative Performance) which measures rate of change from a
particular point. Or,
2. Use “price relative” which is nothing more than
dividing a symbols price by another symbols price (e.g., IYF/!NYA).
Or,
3. Use the “strength” of one ticker versus another.
This could be as simple as RSI a complex algorithm where
“strength” is computed base on RSI + ROC over a number of periods +
number of days over/under key moving averages. (This is Jason
Hart’s work. Look for his posts on AB forum dated 7/1, 7/9 7/13 and
7/18 of 2005.) Or,
4. Use the “strength” in item 3 as a means of computing
the “rank” and compare the ranks. For example, rank of a
sector when compared to other sectors.
While the algorithms are important, more
important is choosing the correct symbols to
compare…
It turns out that a stock’s Sector
and Industry categorization is one of the worst “rat holes” that
I’ve found in analyzing the markets. There is no standard
categorization that I can find. GICS is one
“standard”. TC2000 has their categorization.
Quotes Plus has their categorization. And there is not
standard for ETFs. This is important to understand when choosing an
“index” for comparison.
Another issue is weighting of the
“index”. It turns out that there is no weighting
standard. What’s not well known (at least to me, as of
three months ago) is that most indexes and ETFs are weighted:
·
Most of
the standard indexes (!SPX, !NYA, etc.) are Cap-Weighted. The percent of
the index is based on the market cap of the symbol.
·
Some are
using other weighting systems (I believe the Dow is equal weighted)
·
Some are
weighted using an unknown algorithm. ETFs appear to use this
method. For example, 60% of the BBH is composed of two stocks Amgen and
Genentech. I can’t find anything on why they use this weighting.
What is critical about weighting is that
it affects how the index chosen reacts. For example, if you use BBH as an
“index”, you can see wild swings based almost completely on the
movements of Amgen and Genentech. As another example, market
cap-weighted indexes movements are driven heavily by the movements of the
biggest companies. This does NOT necessarily indicate where the
entire market is going and where money is flowing.
Here’s a link to the S&P site on
indexes:
Click on “Index
Methodology”. The “Mathematics of Index Calculation” is
actually the best and covers the three type of indexes and how to calculate
them. (This is critical to understand when creating your own
indexes.)
Given the confusion surrounding this whole
issue, I chose to:
·
Use
Quotes Plus Industry and Sector categorization
·
Create
my own Industry and sector indexes and indicators based on ATC composite
symbols.
·
Create
simple summation indexes. (Sum each stocks price and volume irrespective
of market cap.)
·
Categorize
indexes at the Country, then market, then sector, then industry, then Market
Cap (Small, Med, Large) level.
Below is the key scan function that I use
to load a composite symbol, reset the “Full Name”, and add it to a
target watch list. Note that it is critical to use short symbol names and
put the descriptive name in the FullName.
Also critical is to define a naming
structure that makes sense to you. This becomes especially important when
branching out from Indexes into other, more complex indicators (money flow,
A/D, new hi/low, etc.). My naming is:
“~” + IndicatorType +
CountryCode + LevelType + MarketCapType + NativeSymbol
For example, for an index of US Small Cap
Energy Sector it would be:
“~” + “Index” +
“_” + “US” + “Sec” + “SC”
+ “_” + “5” = “~Index_USSecSC_5”
The symbol full name would be:
“~Index_USSecSC_Energy”
Finally, attached is a snapshot of a
relative performance (ROC) chart of my Sector composite symbols and the QP3
S&P market symbol (!SPX) for the last 21 trading days.
I hope this helps. Let me know if
you’d like snapshots of other charts.
Retrieving the Sector and Industry names:
SectorSymbol
= NumToStr(SectorID(0), 1.0);
SectorName
= SectorID(1);
IndustrySymbol
= NumToStr(IndustryID(0), 1.0);
IndustryName =
IndustryID(1);
MarketName
= MarketID(1);
Calling the CompositeLoad procedure:
CompositeLoad("~Index_USMkt",
"~Index_USMkt" , WeightedClose, WeightedOpen, WeightedHigh,
WeightedLow, V/1000, iCount, atcCurrentFlags, WLKeyIndexes, WLAllIndexes);
CompositeLoad("~Index_USSec_"
+ SectorSymbol,"~Index_USSec_" + SectorName, WeightedClose,
WeightedOpen, WeightedHigh, WeightedLow, V/1000, iCount, atcCurrentFlags,
WLUSSectorIndex, WLAllIndexes);
CompositeLoad("~Index_USInd_"
+ IndustrySymbol , "~Index_USInd_" + IndustryName, WeightedClose,
WeightedOpen, WeightedHigh, WeightedLow, V/1000, iCount, atcCurrentFlags,
WLUSIndustryIndex, WLAllIndexes);
procedure
CompositeLoad(Sym, SymName, CloseVal, OpenVal, HighVal, LowVal, VolVal,
OpenIntVal, ATCFlags, TargetWLNbr, AllIndexWLNbr)
AddToComposite(CloseVal, Sym, "C", ATCFlags);
AddToComposite(OpenVal,
Sym, "O", ATCFlags);
AddToComposite(HighVal,
Sym, "H", ATCFlags);
AddToComposite(LowVal,
Sym, "L", ATCFlags);
AddToComposite(VolVal,
Sym, "V", ATCFlags);
AddToComposite(OpenIntVal, Sym, "I", ATCFlags);
CategoryAddSymbol(Sym, categoryWatchlist, TargetWLNbr);
if(StrLeft(Sym, 6) == "~Index")
CategoryAddSymbol(Sym, categoryWatchlist, AllIndexWLNbr);
// Add to Market and Sector INdexes
if ( StrLeft(Sym, 15) == "~Index_ADR_Sec_"
OR StrLeft(Sym, 13) == "~Index_ADRMkt"
OR StrLeft(Sym, 16) == "~Index_NasdaqMkt"
OR StrLeft(Sym, 14) == "~Index_NYSEMkt"
OR StrLeft(Sym, 12) == "~Index_USMkt"
OR StrLeft(Sym, 12) == "~Index_USSec"
CategoryAddSymbol(Sym, categoryWatchlist, WLMktAndSectorIndexes);
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