RE: [amibroker] New Question on Watchlist Averages

Wed, 09 Aug 2006 16:56:46 -0700

Graham:
 
Will this actually work and how does it work?
 
Here is what I do not understand....please see each of my questions and respond to them all, please.
 
I have a series of if statements checking whether the symbol is in the watchlist.
 
if(InWatchlist(1))
    Create the ATCs associated with WL1
 
if(InWatchlist(2))
    Create the ATCs associated with WL2
 
etc for maybe 10 or 15 more watchlists.
 
All of this saved in one AFL file.
 
Load this file into AA window, set All Symbols, and All Quotations, then click SCAN
 
Does the program just SCAN thru 8000 symbols only ONCE or does it scan thru all symbols times the number of IF statements?  <<<< Key Q1
 
If it only scans once, how do the multiple ATC statements work? Does the program keep track of only those symbols in the WLists?  I think about a symbol starting with Z being in the first watchlist.  AB is not going to get to the Zs until some minutes later so how does it add just the Z (which is in WL1) to the ATC associated with WL1?   <<<<< Key Q2.
 
I dont think it can and thus just do not appreciate the suggestion that the ATCs are the best way to calculate all of the ATC avgs for different WLs and still scan all symbols like TJs msg said.
 
I just do not understand.....and so far, try as all you helpful folks have....I have not heard an explanation that makes sense on how to do this.....other than BatMan.  THAT makes sense but I wish I understood how to do it in just code or with scripts or......
 
Ken

From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of Graham
Sent: Wednesday, August 09, 2006 6:43 PM
To: [email protected]
Subject: Re: [amibroker] New Question on Watchlist Averages

Simple approach does work better and easier

if (InWatchList(11))
 {
  AddToComposite(C,"~Z01Aerospace_Defense","c");
  AddToComposite(1,"~Z01Aerospace_Defense ","I");
 }

Now when you do it the count of stocks will be in open interest

Whe you want to find an average of this you then use

setforeign("~Z01Aerospace_Defense ");
xAvg = C/I;
restorepricearrays();

--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm

On 10/08/06, [EMAIL PROTECTED] <[EMAIL PROTECTED] > wrote:
I agree 100% with TJ!   VERY strongly recommended.  I have five scans that create and/or use ATC composites.   Total run time is about 45 minutes per day.   However, when I display the ATC symbols or use them in further analysis, response time is very fast. 
 
Note that this is a standard Data Warehouse methodology.  Pre-aggregation and pre-processing of data can take a long time, but the user sees the processed results very quickly.
 
Regards,
 
Dan.
 
-------------- Original message --------------
From: "Tomasz Janeczko" < [EMAIL PROTECTED]>

Hello,
 
You would need to check for Null values and/or use Nz (null to zero) because of the fact
that if you don't have data for particular security Foreign() will give you null values at the beginning of the array.
 
Personally I would advice using AddToComposite in a regular way (scan over entire database).
This way you would arrive to correct results faster and with less code. This is so because plain scan
with addtocomposite does not involve any loops therefore it is fast even if larger number of symbols is
being analysed. Especially once your needs grow over time and you will want to calculate averages
not only for few watchlists but also for some industry groups, etc.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Ken Close
Sent: Wednesday, August 09, 2006 8:44 PM
Subject: [amibroker] New Question on Watchlist Averages

I have been making some progress using this code, I think from the help files and/or mentioned here on the list:
 
function CreateAverageForWatchList( listnum )
{
   // retrive comma-separated list of symbols in watch list
   list = CategoryGetSymbols( categoryWatchlist, listnum );
 
   Average = 0; // just in case there are no watch list members
 
   for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
   {
      f = Foreign( sym, "C" );
      if( i == 0 ) Average = f;
      else Average = Average + f;
   }
   return Average / i; // divide by number of components
}
I am creating averages of various watchlists and it is working....except for.....
 
The resulting average is no longer than the watchlist member with the least or shortest amount of data.
If I have 20 members, 19 of which have data going back into the early 90s but 1 member has data for the last 6 months, then the average which is created is only 6 months long.
 
Is there any modification to the above code such that an average for each date will be created from which ever members have data for that date.  In my example, I would get an average based on 19 members up until 6 months ago whereupon the average would be based on 20 members.
 
Can this code do that? If not, how could the code be altered to accomplish that.
 
Thanks to all who are trying to help me with this. Some of the other suggested approaches, using jscript (thanks Dan), etc, have been a little daunting and I was able to get the above to work until I discovered the truncated data (shortened average to the shortest list member).
 
Ken





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