Progress update on building the volume indicator for S&P500 Index.
In testing the filter in order to sort the entire database to just the
stocks in the S&P500 Index I am using Analysis>Quick Review. When I add
my filter "Symlist" which contains a list of symbols, select a date, and
then click on Show I get the OHLC and Volume data for each listed stock
symbol for that date. So now I am back to just trying to get SCAN to
work in Automatic Analysis.
To recap: Everything works when I SCAN "all symbols" and "current
symbol" and I get a volume bar chart as expected. In addition I know
that my filter list is correct because I tested it with Quick Review.
However, when I try to run SCAN in Automatic Analysis using my filter
list "Symlist" nothing happens. I am obviously overlooking something
but I don't know what it is. Can someone help me to get SCAN to work
with "use filter" in Automatic Analysis?
Mark Hike wrote:
My comments are directed to the way Alan is trying to calculate the
composite volume. For the prices of the indexes, depending on how you
use it, it may also have survivorship problem.
For example, if you use the index as an input for a trading system to
trade its component stocks, you may also want to test those stocks
which have been removed from the index. However if you use the index
to test corresponding futures/options or ETFs, it would be fine.
On Fri, Oct 23, 2009 at 4:12 PM, Keith McCombs <[email protected]
<mailto:[email protected]>> wrote:
Mark --
Don't your remarks, "can not use it for backtesting more than a
few months back" and "the components of the index keep changing",
hold for the prices in the SP500 as well as the composite volume
Alan is trying to calculate? In fact, don't they hold for all the
standard indexes, DJI, COMP, RUT, etc.? They all have some degree
of survivorship bias.
-- Keith
Mark Hike wrote:
Not sure how you would use the volume data, but I would say that
you can not use it for backtesting more than a few months back.
That's because the components of the index keep changing and you
would need to account for the survivorship bias.
On Fri, Oct 23, 2009 at 3:24 PM, Alan Northam
<[email protected] <mailto:[email protected]>> wrote:
To create a scan that will sum up all the volume data for all
stocks in
the S&P500 Index I have created this afl file:
Buy = 0;
Sell = 0;
AddToComposite(Volume,"~sp500volume","Volume", flags = 1);
I have also created a small symbol list (symlist) made up of
9 stock
symbols and saved it as one of the Watch Lists.
I have also created the following Indicator:
_SECTION_BEGIN("sp500volume");
vol = Foreign("~sp500volume", "volume", 1);
Plot(Vol, "SP500Volume", colorBlack, 2);
_SECTION_END();
When I do a Scan in Automatic Analysis I click on "use
filter" in the
"Apply to" area and define the filter as my my small symbol list
(symlist). In the "Range" area I click on "all quotations". I
then
run the Scan and nothing happens. If instead of using my
symlist I
click on "all symbols" in the "Apply to" area the scan runs
for several
minutes and I see the volume bars update on my stock chart at
the end of
the scan. So everything is working except for being able to
run the
scan on a selected list of stocks. Once I get this to run on
a small
list of stocks I will then use a stock list of 500 stocks
that make up
the S&P500 Index. Anyone have any suggestions to get this to
run on a
select list of stocks instead of all the stocks in my database?
Regards,
Alan
Alan wrote:
>
>
>
>
> Ara:
>
> Thanks for the instruction. I am trying to find the SP500
list. Does
> Quotes-Plus provide the list or did you have to make it?
>
> Alan,
>
> --- In [email protected]
<mailto:amibroker%40yahoogroups.com>
<mailto:amibroker%40yahoogroups.com
<mailto:amibroker%2540yahoogroups.com>>,
> "Ara Kaloustian" <a...@...> <mailto:a...@...> wrote:
> >
> > Alan,
> >
> > I am doing what you are suggesting to derive volume data
for SP500.
> My code
> > is not very usefull to you as it is part of other similar
code and
> > configurations.
> >
> > Simply use AddToComposite function and scan the SP500
list. Then use
> > Foreign() function to access the data.
> >
> > Ara
> > ----- Original Message -----
> > From: "Alan" <a...@...> <mailto:a...@...>
> > To: <[email protected]
<mailto:amibroker%40yahoogroups.com>
<mailto:amibroker%40yahoogroups.com
<mailto:amibroker%2540yahoogroups.com>>>
> > Sent: Friday, October 23, 2009 2:21 AM
> > Subject: [amibroker] Quotes_Plus Volume Work Around?
> >
> >
> > > Quotes-Plus provides volume data with some of its
indexes (for example
> > > the Dow Jones Industrial Average) while at the same
time does not
> > > provide volume data for some of the other indexes (for
example the
> > > S&P500 Index). What I want to know does anyone have a
suggestion for a
> > > work around? One way I thought of was to write an
indicator that
> > > collects the volume data for all 500 stocks in the
index and plotting
> > > the result. Is there a better way? Also has anyone
already done this
> > > and would like to share their code?
> > >
> > > Alan,
> > >
> > >
> > >
> > > ------------------------------------
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