I am running the following code (which I did not write) to create a
correlation matrix with an exploration. It works great.
What I want AB to do next though is to sift out all the symbols that
that meet a certian correlation criteria and put them in a new
watchlist.
ie. Sift or pool all symbols that have a correlation < 1.00 and
> .75. and "catagoryaddsymbol function" them into a new watchlist.
Can anybody add a few lines of code to pull the correlated symbols
and put them in a new watchlist?
I will post the results in the AFL library giving you full credit. I
think a lot of users would benifit from this.
Thanks for your consideration!!!
Here's the Matrix code...
/*This is the formula to create a correlation matrix in AB.
It is set up to run the correlation of the symbols in Watchlist 2
with the "define" filter catagory in the auto-analyser. In this
default case
this code will correlate the symbols in watchlist 2 with the symbols
in watchlist 2.
- Tools -> Send to Analysis
- press FILTER button and select Watchlist 2 in INCLUDE tab
- press EXPLORE button in AA window.*/
symlist = CategoryGetSymbols( categoryWatchlist, 2 );
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 ) );
}
