Problem solved! Everything is now working. When using Automatic Analysis and defining a filter there was a subfilter in GICS that was further filtering my symbol list to the point that there was no remaining symbols to scan. Hence Scan did nothing. Once I clicked on the Clear button, re-entered by watch list and added the market that all the symbols I wanted to filter then PRESTO.... Scan works, and my unweighted S&P500 stock chart now has volume.
Alan wrote: > > > 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, >>> > > > >>> > > > >>> > > > >>> > > > ------------------------------------ >>> > > > >>> > > > **** IMPORTANT PLEASE READ **** >>> > > > This group is for the discussion between users only. >>> > > > This is *NOT* technical support channel. >>> > > > >>> > > > TO GET TECHNICAL SUPPORT send an e-mail directly to >>> > > > SUPPORT {at} amibroker.com <http://amibroker.com> >>> > > > >>> > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at >>> > > > http://www.amibroker.com/feedback/ >>> <http://www.amibroker.com/feedback/> >>> > <http://www.amibroker.com/feedback/ >>> <http://www.amibroker.com/feedback/>> >>> > > > (submissions sent via other channels won't be considered) >>> > > > >>> > > > For NEW RELEASE ANNOUNCEMENTS and other news always >>> check DEVLOG: >>> > > > http://www.amibroker.com/devlog/ >>> <http://www.amibroker.com/devlog/> >>> <http://www.amibroker.com/devlog/ >>> <http://www.amibroker.com/devlog/>> >>> > > > >>> > > > Yahoo! Groups Links >>> > > > >>> > > > >>> > > > >>> > > > >>> > > >>> > >>> > >>> >>> >> >> >> >> __________ Information from ESET NOD32 Antivirus, version of virus >> signature database 4537 (20091023) __________ >> >> The message was checked by ESET NOD32 Antivirus. >> >> http://www.eset.com <http://www.eset.com> > > > > > __________ Information from ESET NOD32 Antivirus, version of virus > signature database 4537 (20091023) __________ > > The message was checked by ESET NOD32 Antivirus. > > http://www.eset.com
