How to create my own index

I think you're missing out by not looking harder at Amibroker - what you've described is approximately 4-5 lines of code in AB.

For instance, here's the code to calculate 50 day lows on the SPX as an index:

AboveAvg = Close > LLV(Close,50);
Buy = 0;
AddToComposite(AboveAvg, "~MyNew50DayLowsSPX", "C");
 
Quote from droskill:

I think you're missing out by not looking harder at Amibroker - what you've described is approximately 4-5 lines of code in AB.

For instance, here's the code to calculate 50 day lows on the SPX as an index:

AboveAvg = Close > LLV(Close,50);
Buy = 0;
AddToComposite(AboveAvg, "~MyNew50DayLowsSPX", "C");
More...

Perhaps you are correct. Would you mind telling me how I could implement this "simple" system? It is very simple to do manually but to automate it, it seems to be quite complicated and require custom programming. Maybe Amibroker is better adapted for this?

1. scan a watchlist for the x stocks that best fit a custom criteria
2. figure out how much of each to buy based on standard position sizing rules
3. figure out the stop loss to put
4. place the order
5. when a position is exited, go back to #1 keeping in mind a max of X positions can be open.

It seems that most software is set up to run a scan on one instrument or watchlist and execute it. The problem appears to be the first step which is to have a max X positions and to rank the stocks in the watchlist so that the best ones are traded.

If this is easily done with Amibroker I would like to re-install it and spend more time with it.

Thanks for your help.
 
Quote from cunparis:

Perhaps you are correct. Would you mind telling me how I could implement this "simple" system? It is very simple to do manually but to automate it, it seems to be quite complicated and require custom programming. Maybe Amibroker is better adapted for this?

1. scan a watchlist for the x stocks that best fit a custom criteria

You could implement this as a pre-scan or during the system. I'll do it during the scan. Let's make it that the stocks have to be above their 200ma

BuySignal1 = C > MA(C,200);

2. figure out how much of each to buy based on standard position sizing rules

You could size off of ATR if you like, or you simply say "max five positions" - that would look something like:

PosQty = 5;
SetOption("MaxOpenPositions", PosQty );
PositionSize = -100/PosQty;

3. figure out the stop loss to put

I'll just apply a simple stop as an example:

ApplyStop(stopTypeLoss,stopModePercent,10,exitatstop=1);

4. place the order

Buy = BuySignal1 AND (other criteria);

5. when a position is exited, go back to #1 keeping in mind a max of X positions can be open.

Happens automatically.

Hope this helps....
It seems that most software is set up to run a scan on one instrument or watchlist and execute it. The problem appears to be the first step which is to have a max X positions and to rank the stocks in the watchlist so that the best ones are traded.

If this is easily done with Amibroker I would like to re-install it and spend more time with it.

Thanks for your help.
More...
 
One more comment - you may want to look at Stockfetcher - nice and simple. The challenge is that you can't create custom indices as far as I know - might be possible....I'm new to it.
 
Quote from droskill:

One more comment - you may want to look at Stockfetcher - nice and simple. The challenge is that you can't create custom indices as far as I know - might be possible....I'm new to it.
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Stockfetcher is one of the scans I use to create my watchlists. Unfortunately it's end of day only (entry & exit are open or close) and for the stoploss it's very limited. For example you can't set the stop loss to the 5 day low at the time of entry.

In your Amibroker example, I do not see how you rank the stocks in the scan. Let's say for example you wanted the 5 lowest stoch values. Is it possible to rank them like that?

Thanks a lot for taking the time to explain how it works with Amibroker. I don't doubt that it's a great program because the users are very enthusiastic about it. Seemingly more so than other programs. Like there is a real community behind it.
 
When you're selecting from a large group, you have a feature called "Position Score" - you can rank based on any criteria.

So, for instance, you could do:

PositionScore = ROC(C,50);

This would take the top five based on Rate of Change over a 50-day period.

Or you could do:

PositionScore = 100-RSI(15);

or

PositionScore = stochd(14,3,3);

So take the positions with the lowest RSI score or highest StochD score.

These are just simple examples - you can basically rank by any criteria.

Happy to help you out - the AB community is fantastic - so I highly recommend it just for that reason.

Let me know if you have any other questions/comments.

I also use Tradersstudio as well - more complicated - I use AB for prototyping systems.
 
@cunparis
This thread started already in 8/2008 and there were some good recommendations.

So I guess you brought up already the index and you are using it for a time.

Would you like to share some of the experiences with it?
 
Quote from uexkuell:

@cunparis
This thread started already in 8/2008 and there were some good recommendations.

So I guess you brought up already the index and you are using it for a time.

Would you like to share some of the experiences with it?
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I tested Neoticker and doing this was very easy but I couldn't get used to their user interface. I eventually settled on Ninjatrader & more recently Tradestation. I never did make my custom index in either of those. I started focusing on the indexes and commodities.

Sorry I couldn't be of more help.
 
Quote from cunparis:

I tested Neoticker and doing this was very easy but I couldn't get used to their user interface.
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Actually, this is not what you said at that time. You said:

Quote from cunparis:

Every time I get interested in NeoTicker I search the net and find lots of people complaining about it and so I skip it.

It is rather expensive.

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Unless you think we cannot click on page 1 of this thread.

If you cannot pay a CAD488 for a piece of excellent software it's your problem but it isn't ethical to try to justify that by throwing mud on the product.

Why don't you go ahead and list the complaints you found about Neoticker?

You said you "find lots of people complaining". Go ahead and list those numerous complaints.
 
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