Composite Function - Trading Software

Composite Function

allan nathan
2015-08-18 17:11:40

Hi,
I am working with the composite function and have read thru the examples you have provided.I am still unsure how to reference another list of stocks to create an
Advance Decline index. I have a watchlist named SP 500,and I would like to reference it while running a simulation on another list of stocks..I created a basic AD line and 2
moving averages.I use a crossover of the adv -Dec as a market timer. I then use the setsimlongrank to purchase the strongest stocks.

My specific question is how do I compute the Adv Dec from my watchlist Sp 500 if I am backtesting another list?

dif=comp(close>ref(close,1),"sum"); // adv
baddif=comp(close<=ref(close,1),"sum"); //dec
adl=dif-baddif; // adv-dec
shortdif=sma(adl,13); // 13d ma
longdif=sma(adl,200); // 200d ma
a1 = perf(close,66); // Performance of stock for the last month
strength=a1;

buy=cross(shortdif,longdif);
SetSimLongRank(strength); // Rank stocks by their performance

sell=cross(longdif,shortdif);

Thanks,

Allan

QuantShare
2015-08-19 03:49:57

Best Answer

Here is how:

dif=comp(close>ref(close,1),"sum", 1, 1, "Symbols List");

The symbols list must be the name of a list of symbols (Symbol -> Symbols View)

allan nathan
2015-08-19 09:14:58

hi,
It seems that you do not simply type in the watch list and need to create a list.
I went to Symbols>Create a list of symbols>add symbols by filter >create.That
did not work..

it seems to create the list I had to go to Symbols>symbol view>create a new symbols filter..

I believe that is correct?

allan

QuantShare
2015-08-20 03:51:35

Hi,

That is what I have specified in my previous message (Symbol -> Symbols View)
You should create a list there.

allan nathan
2015-08-20 12:03:41

yes,but i wasnt aware that there was an option to right click and create a list:)

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