Mark,
Another way of doing this yourself is via the custum Gfx-charts.
Below is my early attempt to achieve this. You will need to adjust
the code to your settings. Also, you will notice that it is a
very "early" attempt, as I could not yet get the actual values of
return, respectively risk (i.e. standev) aligned with my x-axis and y-
axis (somehow the pixel-dimensions-thing does not intuit with my
brain).
One of the potential extensions is to add relative weights for each
asset, and then use it to create efficient frontiers, etc.
Anyway, hope it is of use to you or anybody else.
PS
GfxSetOverlayMode( 2 );
ChWL=Param("ChWL",5,1,15);
WLSymbols = CategoryGetSymbols(categoryWatchlist,ChWL);
RskLB = Param("Risk-LB",AnnPer,MonthPer,3*AnnPer);
HRet = -1000; LRet = 10000; HRsk = -10; LRsk = 0;
for( NumTickers=0; (Sym = StrExtract( WLSymbols, NumTickers )) != "";
NumTickers++ )
{
SetForeign(Sym,True);
Prijs = C;
Ret = MA(ln(Prijs/Ref(Prijs,-AnnPer)),5*AnnPer)*100;
VarSet(Sym+"Ret",Ret);
Rsk = SDsam(ln(Prijs/Ref(Prijs,-1)),RskLB)*sqrt(AnnPer)*100;
VarSet(Sym+"Rsk",Rsk);
RestorePriceArrays();
HRet = IIf (SelectedValue(Ret)>HRet, SelectedValue(Ret),HRet);
LRet = IIf (SelectedValue(Ret)<LRet, SelectedValue(Ret),LRet);
HRsk = IIf (SelectedValue(Rsk)>HRsk, SelectedValue(Rsk),HRsk);
LRsk = IIf (SelectedValue(Rsk)<LRsk, SelectedValue(Rsk),LRsk);
}
//HRet = SelectedValue(HRet);
//LRet = LastValue(LRet);
//HRsk = LastValue(HRsk);
//LRsk = LastValue(LRsk);
RetRange = HRet - LRet;
RskRange = HRsk;
PxW= Status("pxwidth");
PxH = Status("pxheight");
ChartMargin = 10 ;// Equals startpoint drawing chart-window upper-left
HMargin = 10 ;
VMargin = 10 ;
RelSizeCh = (1-ChartMargin/100);// =0.9
CH = PxH*RelSizeCh;
CW = PxW * RelSizeCh;
//PxW-ChartMargin;
NrLvs = 10;
YaxGap = CH/NrLvs;
XaxGap = CW/NrLvs;
MaxY = ChartMargin + 2; // Max y-val = Upper Left within chart
MaxX = CW ; // Max x-val = Lower Right within chart
MinX = ChartMargin+70;
MinY = CH ;
RangeY = MinY - MaxY;
RetStepSize = RetRange / NrLvs;
RskStepSize = RskRange / NrLvs;
GfxSelectPen ( colorBlack );
//GfxRectangle ( PxH, y1, x2, y2 );
GfxRectangle ( MinX, MaxY, MaxX, MinY);
GfxSelectFont( "MS Serif", 8,800);
//PrintTxtInCell( "CorrM @:\n"+NumToStr(ActD,formatDateTime), 0,
0,CW, CH, HA, VA, 1);
GfxSetTextColor (colorBlack);
GfxTextOut ("Return (in %)", MaxY , MaxY );
DrawL = (ChartMargin); // Top of graph
Val = HRet; NearZeroP = Val; NearZeroN = -10000; ZeroL = 0;
for ( z = 0 ; z < NrLvs+1 ; z++ )
{
if (z>0)
{DrawL = DrawL+YaxGap;
Val = Val - RetStepSize;}
if (Val>0)
{
NearZeroP = Min (NearZeroP,Val);
ZeroL++;
}
else NearZeroN = Max(NearZeroN, Val);
if (DrawL<CH) GfxTextOut ( WriteVal (Val, 1.2 ), MaxY, DrawL);
if (z==NrLvs)
{
ZeroDL = (MaxY+10)+(YaxGap*ZeroL)+(NearZeroP/
(NearZeroP+abs(NearZeroN))*YaxGap);
GfxTextOut ( WriteVal (0.0, 1.0 ), MaxY, ZeroDL);
NextZeroDL = ZeroDL;
}
}
RskL = LRsk;
for (r=0; r<NrLvs+1 ; r++)
{
if (r==0) RskL=0;
else RskL = RskL + RskStepSize;
GfxTextOut ( "Risk (in %)", CW, CH+10);
GfxTextOut ( WriteVal (RskL, 1.2 ), MinX+XaxGap*r, MinY+10);
}
for( NumTickers=0; (Sym2 = StrExtract( WLSymbols, NumTickers )) !
= ""; NumTickers++ )
{
YVal = SelectedValue(VarGet(Sym2+"Ret"));
XVal = SelectedValue(VarGet(Sym2+"Rsk"));
YRank = YVal/HRet;
XRank = XVal/HRsk;
//YRank=0.1; XRank=0.1;
GfxTextOut ( Sym2 + " "+WriteVal (YVal, 1.2 )+"/"+WriteVal
(XVal, 1.2 ), XRank*MaxX, MinY -(YRank*RangeY));
}
--- In [email protected], "MarkK" <[EMAIL PROTECTED]> wrote:
>
> Is there a way to run the Risk/Yield Map on a watch list or part of
the
> complete database and not the whole thing?
> And if so how can not find it in the instructions
>
>
> Thank you
>
>
>
> MarkK
>
