Frankly speaking running correlation matrix inside INDICATOR window
is a VERY VERY BAD idea. Gfx functions ARE NOT intended to be used
in areas where better and less time-consuming methods exists for years.
It makes no sense to put this into indicator code because
it will be re-computed with every refresh (mouse click on chart).
A rule for indicator code is that IT MUST be written so it executes BELOW 1
second.
Any formula that takes longer than 1 second to execute should NOT be used
as indicator.
Correlation matrices like that are WAY better to be done inside AA window.
Here is the formula (EXPLORATION):
symlist = CategoryGetSymbols( categoryWatchlist, 0 );
Filter = Status("lastbarinrange");
for( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
Corr = Correlation( C, Foreign( sym, "C" ), 252 );
Clr = 32 + SelectedValue( Corr ) * 32;
AddColumn( Corr, sym, 1.2, ColorHSB( 128+Clr, 255, 255 ) , ColorHSB( Clr,
255, 255 ) );
}
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: David Fitch
To: [email protected]
Sent: Tuesday, June 05, 2007 6:31 PM
Subject: Re: [amibroker] Re: Corr Matrix via Gfx functions
AB still locks up when I try this code. I cannot place it in a pane. AB just
stops. I'm wondering if it has anything to do with the use of
"CategoryGetSymbols" function. According to help, it is looking for watchlists
0 to 63. I have deleted the original 0 - 63 watchlists and replaced them with
new ones that are 0-75. Could not using the original watchlists cause this
problem?
Thanks
Dave
----- Original Message -----
From: vlanschot
To: [email protected]
Sent: Tuesday, June 05, 2007 1:31 AM
Subject: [amibroker] Re: Corr Matrix via Gfx functions
Make sure you choose a watchlist (via
Parameters) that has at least 2 but does not have too many securities
in it, say less than 50 if you use 1 pane.
Also, as is generally the case in AB, cross-sectional analysis (i.e.
matrix calculations across stocks) is very computer intensive.
PS
--- In [email protected], "jayhart_1972" <[EMAIL PROTECTED]>
wrote:
>
> PS - thanks for sharing, looks interesting. BTW, has anyone got
this
> to work? When I applied the indicator I get nothing but a blue
screen
>
> J
>
> --- In [email protected], "vlanschot" <vlanschot@> wrote:
> >
> > Thought I'd share the following code.
> >
> > PS
> >
> > //Simple application of the new Gfx functions, basically
calculating
> > //the correlation matrix of any WL of choice. You can easily
adjust
> > //this code to move to Var-Covar matrix, etc.
> > // PS 28/05/07
> >
> >
> > GfxSetOverlayMode(2); // Show Only Matrix
> >
> > function NrSecs(ListType,ListNr)
> > {
> > global NrPosPrices;
> >
> > if(ListType==1) ExtrList = CategoryGetSymbols
> > (categoryGroup,ListNr);
> > else if(ListType==2)ExtrList = CategoryGetSymbols
> > (categoryWatchlist,ListNr);
> > else if(ListType==3)ExtrList = CategoryGetSymbols
> > (categoryIndustry,ListNr);
> >
> > NrSecurs=0;
> > NrPosPrices=0;
> >
> > for( n=0; (Ticker=StrExtract( ExtrList, n))!= ""; n++)
> > {
> > NrSecurs=NrSecurs+1;
> > SetForeign(Ticker);
> > Prijs=C;
> > RestorePriceArrays();
> > NrPosPrices=NrPosPrices+IIf(Prijs!=Null AND
> > Prijs>0,1,0);
> > }
> > return NrSecurs;
> > }
> >
> > function PrintTxtInCell( Str, row, Col, CellWidth, CellHeight,
> > HorzAdj, VertAdj, Formaat )
> > {
> > GfxDrawText( Str, Col * CellWidth + HorzAdj, row * CellHeight +
> > VertAdj, (Col + 1 ) * CellWidth, (row + 1 ) * CellHeight,
Formaat);
> > }
> >
> > function PrintInCell( val, row, Col, CellWidth, CellHeight,
> HorzAdj,
> > VertAdj )
> > {
> > GfxDrawText( NumToStr(val), Col * CellWidth + HorzAdj, row *
> > CellHeight + VertAdj, (Col + 1 ) * CellWidth, (row + 1 ) *
> > CellHeight, 1|32|4);
> > }
> >
> >
> > //CH = Param("CellH",20,10,100,5);
> > //CW = Param("CellW",100,10,300,5);
> > HA=0;
> > VA=0;
> >
> > String = "" ;
> > for ( x = 0 ; x < 200 ; x++ )
> > {
> > WList = CategoryGetName( categoryWatchlist, x );
> > if (WList != "" )
> > {
> > String = String + WList +"," ;
> > // Creates a list of WatchLists, NOT symbols !!!
> > }
> > }
> > WatchList = ParamList ( "Watch List", String );
> >
> > WLnr=CategoryFind(WatchList,categoryWatchlist);
> > WLSymbols = CategoryGetSymbols(categoryWatchlist,WLnr);
> >
> > NrSymbs = NrSecs(2,WLNr);
> >
> > CW= Status("pxwidth")/(NrSymbs+1);// In order to allow Rowheadings
> > CH = Status("pxheight")/(NrSymbs+1);//Colheadings
> >
> > //GfxSetTextAlign(6 | 24);
> >
> > RetLB = Param("RetLB",1,1,100);
> > CorrLB = Param("CorrLB",30,5,256);
> >
> > Start = BarCount-RetLB;
> >
> > ActBar = Min(BarCount-1,LastValue(SelectedValue(BarIndex())));
> > ActD = LastValue(SelectedValue(DateTime()));
> >
> > GfxSelectFont( "MS Serif", CH/4,800);
> > PrintTxtInCell( "CorrM @:\n"+NumToStr(ActD,formatDateTime), 0,
> 0,CW,
> > CH, HA, VA, 1);
> >
> > for ( x = 0 ; (Ticker = StrExtract ( WLSymbols, x ))!="" ; x++ )
> > {
> > SetForeign(Ticker);
> > RetTick = ROC(C,RetLB);
> > FN = FullName();
> > RestorePriceArrays();
> >
> > GfxSelectFont( "MS Serif", CH/4,800);
> > PrintTxtInCell( Ticker, 0, x+1 ,CW, CH, HA, VA,1|32|4 );
> >
> > GfxSelectPen( colorBlue );
> >
> > for( i = 0; (Ticker2 = StrExtract ( WLSymbols, i))!="" ; i++ )
> > {
> > SetForeign(Ticker2);
> > RetTick2 = ROC(C,RetLB);
> > FN2 = FullName();
> > RestorePriceArrays();
> >
> > if (Ticker2 == Ticker) Corr=1;
> > else Corr = Correlation(RetTick, RetTick2, CorrLB);
> >
> > GfxSelectFont( "MS Serif", CH/4,800);
> > PrintTxtInCell( Ticker2, i+1, 0, CW, CH, HA,
> > VA,1|32|4);
> > GfxSelectFont( "MS Serif", CH/4);
> > Kleur = IIf(Corr[ActBar]>=0, colorGreen,colorRed);
> > GfxSetTextColor(Kleur);
> > PrintInCell( Corr[ ActBar ], i+1, x+1, CW, CH, HA,
> > VA);
> > //PrintInCell( Corr[ ActBar ] , i+1, x+1);
> > GfxSetTextColor(colorBlack);
> >
> > GfxMoveTo( 0, (i+1) * CH);
> > GfxLineTo( (x+2) * CW, (i+1) * CH );// Columns
> > }
> >
> > GfxMoveTo( 0, (x+1)*CH); // Move to end of last column
> > //GfxLineTo( 6 * CW, i * CH );
> > }
> >
> > for( Col = 1; Col < NrSymbs+2; Col++ )
> > {
> > GfxMoveTo( Col * CW, 0);
> > GfxLineTo( Col * CW, (NrSymbs+1) * CH );
> > }
> >
> >
> > Title="";
> >
>
