You're welcome and glad that you found it useful. I use rotational systems quite a bit in my investing and in some work that I do for a couple of money managers. FWIW, I've found reasonably strong monthly bias and also Friday bias that improves many systems, and that I monitor in an ongoing basis. I've also gotten a few requests through AmiBrokerU about rotational techniques. So, I'll try to post some more about it.
-- BruceR --- In [email protected], "droskill" <drosk...@...> wrote: > > Bruce - just wanted to thank you for the PeriodSig function - fantastic and > something I've needed for some time. > > --- In [email protected], "Bruce" <brucer@> wrote: > > > > I'm buried in some end of the year paperwork right now, but let me offer a > > couple of quick comments. > > > > 1. The dropdown list of names is in the expanded version that I plan to put > > in the subscriber area along with some other functions related to portfolio > > mixes, such as percentage allocations, re-balance intervals, etc. My > > long-term intent is really to offer "starter" examples in the FREE CODE > > area that users can expand on. We want to concentrate on breadth of topics > > there. > > > > 2. One simple tip that might help deal with WL numbers in many places is to > > name your watchlist to their number plus that name. That will make the > > numbers easier to find in a long list of names in the watchlist tree. For > > example, my watchlist 13 is named "13 - Select". > > > > 3. Lastly, the ATC should be going into Group 253 since atcFlagDefaults was > > used in the ATC call in the example that I posted. I may have misread your > > note, but it seemed to say that you believe are seeing it in the watchlist. > > As far as what the ATC is named, you can use the name instead of the > > number by changing the AddtoComposite statement to the following - > > > > AddToComposite( Lavg, "~ListAvg_" + CategoryGetName( categoryWatchlist, > > wlnum ), > > "X", atcFlagDefaults + atcFlagEnableInIndicator ); > > > > > > -- BruceR > > > > > > --- In [email protected], furinkazaan <furinkazaan@> wrote: > > > > > > Bruce, I notice that the parameters use a WLNUMfor a watch list number. > > > Since I intend to run this on many sectoral watchlists, I wonder if we can > > > show the 'Watchlist Name' instead of/ in addition to WL NUM? Can the > > > Parameters dialog be coded to offer a drop-down list of all watchlists to > > > the current market? Can the LAVG be defined to show "~ListAVg" + Watchlist > > > Name? > > > > > > while its fantastic that each atc is written ijnto the watchlist folder > > > for > > > which it is computed, if I got them all into 1 group to check, say > > > relative > > > performance, then I'd have trouble identifying eact atc by just the WL > > > Num. > > > > > > can you help? Best wishes for a great year ahead! > > > > > > > > > 2009/12/11 furinkazaan <furinkazaan@> > > > > > > > Thanks very much Bruce. I intend to set this up over the weekend. I'll > > > > report progress. > > > > > > > > 2009/12/9 Rick Osborn <ricko@> > > > > > > > > > > > >> > > > >> > > > >> > > > >> changed the AA range and ran a dummy scan. That did the trick > > > >> Thanks > > > >> > > > >> > > > >> ------------------------------ > > > >> *From:* Bruce <brucer@> > > > >> *To:* [email protected] > > > >> *Sent:* Tue, December 8, 2009 8:16:46 PM > > > >> > > > >> *Subject:* [amibroker] Re: AmibrokerU Update > > > >> > > > >> > > > >> > > > >> Rick - > > > >> > > > >> > > > >> Not much info, so I can't be sure. A SWAG would be to check the From/To > > > >> range in the AA window. As I noted in the original article, I used the > > > >> existing AA user interface as an easy way to control the range. If > > > >> that is > > > >> it, you can change the AA range and run a dummy scan to "set it". Or, > > > >> you > > > >> might want to look at the ListAvg AFL code for a comment that notes > > > >> that a > > > >> variable called "bir" can be set to 1 to use all bars by default. > > > >> > > > >> -- Bruce > > > >> > > > >> --- In amibro...@yahoogrou ps.com <amibroker%40yahoogroups.com>, Rick > > > >> Osborn <ricko@> wrote: > > > >> > > > > >> > Bruce > > > >> > All the values in all the watchlists are 1000. > > > >> > What am I doing wrong? > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > > > > >> > ____________ _________ _________ __ > > > >> > From: Bruce <brucer@> > > > >> > To: amibro...@yahoogrou ps.com <amibroker%40yahoogroups.com> > > > >> > > > >> > Sent: Tue, December 8, 2009 2:28:20 PM > > > >> > Subject: [amibroker] Re: AmibrokerU Update > > > >> > > > > >> > > > > >> > Sure, I'll give a (hopefully) useful example. And, I'll try to do > > > >> > more > > > >> > of this, where possible, in the future. In order to facilitate this, > > > >> > though, it is best to use a Chart Template, Complete file and record > > > >> > a > > > >> > generic procedure for how to use it. Rather than introduce that now, > > > >> > I'll walk you through a manual install. > > > >> > > > > >> > So, download the ListAvg.afl file to your include directory. If you > > > >> > have done a stock install, it will be at C:\Program > > > >> > Files\Amibroker\ Formulas\ Include. You can verify this by selecting > > > >> > the > > > >> > Tools / Preferences menu and then the AFL tab. The standard include > > > >> > path will be the first Pick button. > > > >> > > > > >> > Now, take the following code and either save it in your Custom > > > >> > formulas > > > >> > directory, or enter it into the code editor. The editor can be > > > >> > launched > > > >> > from the Analysis / Formula Editor menu. > > > >> > > > > >> > Once it is copied into the editor, you can use the Tools / Insert > > > >> > Chart > > > >> > menu to get a chart. > > > >> > > > > >> > This indicator uses parameters to select a watchlist to perform the > > > >> > ListAvg on. Right click on the chart and select parameters.. You will > > > >> > need to enter a watchlist number. When ready, click the Calculate > > > >> > parameter button to perform the calculation. Since this can be > > > >> > lengthy, > > > >> > it is only done on user action. But, it is written to an > > > >> > AddtoComposite > > > >> > ticker ("~ListAvg" + number) for each watchlist, and simply read > > > >> > thereafter. > > > >> > > > > >> > #include <ListAvg.afl> > > > >> > wlnum = Param( "Watchlist", 13, 1, 100, 1 ); > > > >> > trig = ParamTrigger( "Calculate", "CLICK" ); > > > >> > Lavg = Nz( Foreign( "~ListAvg" + wlnum , "C" ) ); > > > >> > if ( trig ) > > > >> > { > > > >> > Lavg = ListAvg( CategoryGetSymbols( categoryWatchlist, wlnum > > > >> > ) ); > > > >> > AddToComposite( Lavg, "~ListAvg" + wlnum, "X", > > > >> > atcFlagDefaults + atcFlagEnableInIndi cator ); > > > >> > } > > > >> > Plot( Lavg, "Watchlist " + wlnum + " ListAvg", colorDefault ); > > > >> > > > > >> > Lastly, since you mentioned sector averages - I'll mention one > > > >> > example > > > >> > use from my experience. Technology averages do not typically indicate > > > >> > the health of innovative small-cap tech stocks. The averages are > > > >> > driven > > > >> > by Intel, Microsoft, etc. An average of targeted, innovative > > > >> > small-cap > > > >> > tech companies in a watchlist can be more useful for stock investing. > > > >> > > > > >> > Hope that helps. > > > >> > -- Bruce > > > >> > > > > >> > --- In amibro...@yahoogrou ps.com, furinkazaan <furinkazaan@ ...> > > > >> wrote: > > > >> > > > > > >> > > Bruce, thanks for the afl. It comes at the most oppurtune time when > > > >> > I'm > > > >> > > considering creation of many sectoral indices. However, rookie > > > >> > > that I > > > >> > am, I > > > >> > > am not able to figure out how to use the AFL. I would appreciate a > > > >> > > step-by-step detail on how to use it, including where to copy the > > > >> > > afl, > > > >> > where > > > >> > > to store the csv list of tickers etc., and how to run it.. Can the > > > >> > > afl > > > >> > be > > > >> > > pointed to a watchlist instead of a csv file of tickers? > > > >> > > > > > >> > > Thanks again. > > > >> > > > > > >> > > > > > >> > > 2009/11/18 Bruce brucer@ > > > >> > > > > > >> > > > > > > >> > > > > > > >> > > > Quick update - I've added a Free Code module and Free Code > > > >> > > > article > > > >> > to > > > >> > > > AmibrokerU called ListAvg. For those who need for an equal > > > >> > > > weighted > > > >> > > > average of a list of tickers, the Code module provides a function > > > >> > that > > > >> > > > implements the result in a single call. If you are interested in > > > >> > > > the > > > >> > > > background on the need for this function, and the problem with > > > >> > > > other > > > >> > > > types of index and list averages, the article should be of > > > >> > > > interest. > > > >> > > > Here are the links (sorry they are long, I'll fix that soon) - > > > >> > > > > > > >> > > > > > > >> > http://www.amibroke ru.com/FreeLibra ry/FreeCode/ tabid/99/ > > > >> articleType/ Arti\ > > > >> > \ > > > >> > > > > > > >> > cleView/articleId/ 109/ListAvg- ndash-A-Function -to-Calculate- > > > >> an-Equal- Wei\ > > > >> > \ > > > >> > > > > > > >> > ghted-Average- of-a-List- of-Tickers. aspx<http://www.amibroke > > > >> ru.com/FreeLi\ > > > >> > brary/FreeCode/ tabid/99/ articleType/ ArticleView/ articleId/ > > > >> 109/ListAvg- nd\ > > > >> > ash-A-Function- to-Calculate- an-Equal- Weighted- Average-of- > > > >> > a-List-of- > > > >> Ticke\ > > > >> > rs..aspx> > > > >> > > > > > > >> > > > > > > >> > http://www.amibroke ru.com/FreeLibra ry/FreeArticles/ tabid/63/ > > > >> articleType/ \ > > > >> > \ > > > >> > > > > > > >> > ArticleView/ articleId/ 110/ListAvg- ndash-Uses- and-Example.. aspx< > > > >> http://www\ > > > >> <http://www>> .amibrokeru. com/FreeLibrary/ FreeArticles/ tabid/63/ > > > >> articleType/ ArticleVie\ > > > >> > w/articleId/ 110/ListAvg- ndash-Uses- and-Example. aspx> > > > >> > > > > > > >> > > > As we prepare to open up subscriptions to AmibrokerU soon, I've > > > >> > received > > > >> > > > some questions about what types of free and subscription content > > > >> > that we > > > >> > > > plan to add. In general, we will offer "lite" of "subset" > > > >> > > > versions > > > >> > of > > > >> > > > premium code and articles available in the subscription sections. > > > >> > > > ListAvg is an example of that. It implements an equal weighted > > > >> > average > > > >> > > > of a CSV list, and is effectively re-balanced daily. Plans call > > > >> > > > for > > > >> > a > > > >> > > > full-featured routine in the subscription section called > > > >> > > > WtMixRebal > > > >> > that > > > >> > > > implements weighed averages that can be re-balanced at different > > > >> > periods > > > >> > > > or based upon a signal. This module is useful for index averages > > > >> > > > as > > > >> > > > well as portfolio modeling of a weighted list of tickers with > > > >> > shorting > > > >> > > > and margin with a fast, single function call. > > > >> > > > > > > >> > > > In addition to educational articles, I'm going to try to cover > > > >> > broader > > > >> > > > topics of applications, with examples, that I've found useful. In > > > >> > that > > > >> > > > spirit, the next topic will be about connecting to Excel and > > > >> > > > manipulating spreadsheets, charts, and data. That may seem a > > > >> > > > little > > > >> > > > odd, but there are many uses for such an interface - both for > > > >> > > > input > > > >> > to > > > >> > > > and output from Amibroker. For example - summary bar charts, > > > >> > > > command > > > >> > > > button trading control, etc. More later .... > > > >> > > > > > > >> > > > -- BruceR > > > >> > > > > > > >> > > > > > > >> > > > > > > >> > > > > > >> > > > > >> > > > >> > > > >> > > > > > > > > > > > > > >
