Use Foreign to get at the price data of the other symbol, then just Plot. opposite = Foreign("AA", "close"); relation = Correlation(Close, opposite, 10);
Plot(Close, "Price", colorGreen); Plot(opposite, "Opposite", colorBlue, styleLeftAxisScale); Plot(relation, "Correlation", IIF(relation > 0, colorGreen, colorRed), styleOwnScale); Mike --- In amibroker@yahoogroups.com, "graphman27" <st...@...> wrote: > > I think you are probably right, which is quite disappointing. When > Morningstar says a mutual fund and an ETF have a .97 correlation over 3 > years, they use month-end data for 36 data points. Using daily, I've seen > them dip below .90 often. That could be it, however, as I mentioned in > another reply, if I take the trades generated by one of my strategies for a > mutual fund and manually go through and replace the buy prices with the > prices from a similar ETF, the performance is pretty close. That's the one > part I don;t understand. I'm tempted to run the strategies with the mutual > fund EOD data and actually buy and sell the ETF instead. > > What is the fastest way to plot 2 symbols and their correlation to each other > in Amibroker? > > --- In amibroker@yahoogroups.com, "wavemechanic" <fimdot@> wrote: > > > > I suspect that the correlation is not as good as you suspect, reflecting > > the difference in portfolios. Plot the relative performance of the two or > > the correlation between them and see if they are strongly correlated. > > > > Bill > > ----- Original Message ----- > > From: graphman27 > > To: amibroker@yahoogroups.com > > Sent: February 23, 2010 2:49 AM > > Subject: [amibroker] Mutual funds are outperforming ETFs big time, but > > they shouldn't...why? > > > > > > I'm a new user of Amibroker and am spending weeks converting my old > > Window on Wall Street simple formulas to Amibroker. It's been a steep > > learning curve, but here is my problem. An example: > > > > When I take a simple strategy, such as a MA crossover system and run it > > with a mutual fund, say a Latin America fund, I'll get profit up 300% in 7 > > years, as an example. I'll then take a very similar ETF, that has a 99% > > correlation to the mutual fund and has the nearly identical buy & hold > > return as the mutual fund, but the performance for the ETF may be half or > > even only 1/3 of what the mutual fund was. > > > > I use Yahoo Finance's EOD data, so could that be the problem? Maybe the > > stops I have set up are based on more than EOD close. I've tried changing > > the buy price settings every way possible (Open+1, Close+1, > > Average+1...etc.), but I can't get good numbers. The only change I can > > make gets great results, but is unrealistic: Open+0. Amibroker support > > says that isn't right for EOD data anyway. > > > > I'm hoping my settings are off or some formulas (like stochastics) are > > based on more than close and that could be my problem. However, even the > > formulas that are 100% based on close are showing poor results. > > > > Any advice? Aren't ETFs going to perform better due to intraday trading? > > > > Thanks! > > > > > > > > ------------------------------------ > > > > **** IMPORTANT PLEASE READ **** > > This group is for the discussion between users only. > > This is *NOT* technical support channel. > > > > TO GET TECHNICAL SUPPORT send an e-mail directly to > > SUPPORT {at} amibroker.com > > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > > http://www.amibroker.com/feedback/ > > (submissions sent via other channels won't be considered) > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > Yahoo! Groups Links > > >