To be more technically correct I should have said ATC(ROC(array,1)/ATC(number of stocks in watchlist)
or something like that. --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > Hello Growly, > > I did this sort of thing a few years back and posted on it. > > Didn't attract any comments. > > I thought it was a good idea. > > The headline indexes belong to the institions and serve their > purposes. > Knowing how they are constructed we (freelance traders) can use them > as we see fit but IMO the equal weighted index is the Traders Index: > > > 1) - if we are system trading it is our real benchmark.... we could > nominally split our capital and buy an equal $ value of each stock in > the 'index' .... nominally we sell at the close of every bar ... > rebalance our capital and buy back in. > > This doesn't require any special trading skill so it is the dumbluck > return we can achieve and our equivalent of 'buy & hold'. > > Traders Benchmark == format as GrowthFactor and expressed as equity > (GF1 * GF 2 ->GFn) > > There is no need to stipulate starting eq because Initial EQ == 1 > standardises the Traders Indexes. > > Using the same number of bars (data sample window) standardises the > TI in time. > > 2) we can construct our indexes for any universe of stocks and are > not limited to, say the S&P list > > 3) we can move between markets and take our benchmarks with us (some > markets don't have the range of indexes available in the US) > > > Try averaging your index (divide the Sum(ROC per bar) by the number > of stocks in the index) ... perhaps this could be seen as a standard > that holds even when stocks rotate out of your index watchlist. > > > > --- In [email protected], "G_R_O_W_L_Y" <g_r_o_w_l_y@> > wrote: > > > > Hello > > > > I have created an Amibroker index creation script that uses > percentage > > change in each security added, rather than price movement to ensure > > equal weighting for each security. > > > > It still is not functioning correctly and if anyone would like to > > give it a try and maybe recommend any changes that would be greatly > > appreciated. > > > > > > Simply run it in Automatic Analysis on a group of securites and it > > will create an index name "~MyIndex" > > > > > > AddToComposite( ((Close - Open) / Open ) * 100, "~MyIndex", "X" ); > > AddToComposite( 1, "~MyIndex", "I"); > > Buy=0; > > Graph0=(Foreign("~MyIndex", "C" ) / Foreign("~MyIndex", "I" )); > > > > > > Thanks > > >
