Hi Tim - Are you still looking for some help with this? I have some work done by one of my friends that might meet your requirements. I understand how it works but have not done the justification as to why his routine is better than an average of the prices. I just take him at his word.
It produces a composite that is "rebalanced daily". As you might guess there is no support from the author, as his emissary I can answer low level questions. Best regards JOE ----- Original Message ----- From: "timgadd" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Monday, August 14, 2006 4:02 PM Subject: [amibroker] Unweighted Composites (again!) > After spending MUCH time searching, I have found this topic started > many times in the group archive, but i've never seen a final solution > given in AFL. I would greatly appreciate assistance with the AFL code > or reference to a prior solution. > > The standard AddToComposite function produces a "price weighted" > composite. For analyzing the breadth of a sector, for > instance, "unweighted" composites are more appropriate and revealing. > I have seen the term "equal weighted" used for what i am calling > an "unweighted" composite, so i will explain in boring detail what i > am looking for just to be clear. > > By unweighted composite, i refer to one that is produced by > calculating an arithmetic or geometric average of the day to day % > change for each component, so that each component has equal weight > (no weighting is introduced by the calculation). I am interested in > the arithmetic average - the simplest form, but i don't know how to > initialize the starting value and then cumulate(?) the successive % > change averages for the open, high, low, close (volumes are simply > added). I have seen references regarding problems with averaging > values for high and low for this type of composite, so if necessary, > a composite calculated on the close only will suffice. I am only > interested in the average changes between end-of-day values, but > would like to produce candlesticks of the composites if possible. > > Assuming closing values only, each composite will start with an > initial value (like 100) and then, for each day, the average of all > the %changes (from the previous day) will be added to the preceding > value. Using a simple 3 component composite as an example, assume for > the second value of the composite (remember the first value will be > 100), we have the following %changes. > > Component1 = +1.2% > Component2 = +2.4% > Component3 = -1.7% > > So the first day's average %change = ( 0.012 + 0.024 - 0.017 ) / 3 > > 100 + ((0.012 + 0.024 - 0.017) / 3) + (the next day's average % > change) + ... > > The component values for volume are just added (or averaged) to get > the daily values. > > TIA for any help. > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > > > > > > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
