Bruce, Not sure if you got my e-mails of last week...?
Question... what's the latest on AmiBroker University...? Yours Rob --- In [email protected], "Bruce" <bru...@...> wrote: > > Droskill - > > I was lumping together a couple of monthly biases. I'm a little pressed > for time, but let me see if I can offer some info. For market indexes > - > > * There is the well-documented end of month effect that you referred > to > > * There is a positive bias to certain months in year 1, 3, and 4 of > the presidential cycle > For rotational systems - > > * Many monthly systems with intermediate holding periods will perform > better if the rotation is done after the first trading day of a month - > this can be a little counterintuitive > > * Some trading systems show improvement when waiting till the next > Friday > I, and others, could theorize about why, but it is difficult, if not > impossible, to prove cause and effect. So, my testing has mainly > focused on proving these biases to be robust. > > Lastly, if you want to consider sectors and monthly bias, and also see a > little bit of a conundrum about whether something is "too optimized" or > not, you might take a look at the system behind the following links - > > http://www.cxoadvisory.com/blog/reviews/blog1-07-10/ > http://www.optionetics.com/market/articles/18343 > > -- BruceR > > > --- In [email protected], "droskill" <droskill@> wrote: > > > > When you say "strong monthly bias" are you referring to the > End-of-month/beginning-of-month bias? I'm also curious what you mean by > Friday bias if you feel like sharing. > > > > Thanks again! > > > > --- In [email protected], "Bruce" brucer@ wrote: > > > > > > 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" <droskill@> 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 > > > > > > >> > > > > > > > > > >> > > > > > > > > > >> > > > > > > > > > >> > > > > > > > > >> > > > > > > > >> > > > > > > >> > > > > > > >> > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
