TJ - I don't want to beat a dead horse here but I can't get your formula to
work, when I run it in AA I do not get any results. Here is your formula again:
symlist = CategoryGetSymbols( categoryWatchlist, 22 );
Filter = Status("lastbarinra nge");
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 ) );
}
_______________________________
Here is a correlation matrix formula I use for AA which works nicely, but it
is very different from the one you posted. I'm curious if the results between
the 2 formulas would be vastly different. Here's mine:
// Exploration to create
//Correlation matrix
// Be sure to set
//"Apply to" to desired wishlist Name
// Also, change the watchlist number under categorywatchlist to the WL you
want.
Buy=Sell=Short=Cover=0;
Filter = C > .01;
AddTextColumn(FullName(),"Ticker",1.0);
list =
GetCategorySymbols(
categoryWatchlist,
22);
for(
NumTickers=0; NumTickers < 99 AND StrExtract(
list, NumTickers ) !=
"";
NumTickers++ );
for(
Col=0;
Col<NumTickers; Col++)
{
Ticker1 =
Name();
Ticker2 =
StrExtract( list, Col);
Var1 =
ROC(Foreign(Ticker1, "C"), 1);
Var2 =
ROC(Foreign(Ticker2,"C"),1);
Test =
Correlation( Var1, Var2,
260 );
Color =
IIf(Test>.45,
colorBrightGreen,
IIf(Test<0,
colorRed,
colorYellow));
Color =
IIf(Ticker1==Ticker2,
1, Color);
AddColumn( Test,
Ticker2, 1.3,
1, Color);
}
vlanschot <[EMAIL PROTECTED]> wrote:
Ouch, if that is not a slap in the face for contributing code (with
explanation of how NOT to use it), I don't know what is.
Guess it was my last one.
PS
--- In [email protected], "Tomasz Janeczko" <[EMAIL PROTECTED]>
wrote:
>
> 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"
<jayhart_1972@>
> 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="";
> > >
> >
>
---------------------------------
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