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Pattern Correlation for Amibroker (AFL)

Rating:
5 / 5 (Votes 1)
Tags:
exploration, amibroker

Formula Name: pattern correlation
Author/Uploader: Ed Pottasch
E-mail: pablito@home.nl
Date/Time Added: 2004-02-13 06:05:56

Finds pattern similar as the pattern defined by using the Amibroker
markers. Just click a pattern using the mouse and run the program. This
program can be used for scanning purposes. The pattern that you want to
look for can be marked anywhere in the active chart. The resulting pattern
is looked for only at the current date. Also see header program for a description.

Program searches for a pattern within a predefined list of symbols.
The pattern searched for is marked with the AB markers anywhere
inside the active chart.

1) Put this code in the Automatic Analysis window.
2) Display a chart of a certain symbol.
3) Select a piece of this chart using AB markers.
4) Explore a predefined list of symbols (“use filter”)
use from: to: (last date available), or use “n last
days”, where n = 1
5) Sort the sum by clicking on “sum” in the AA window
(smallest Sum is best correlation)

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Indicator / Formula

Copy & Paste Friendly
// select the symbol from the active chart
EnableScript("jscript");
<%
AB = new ActiveXObject("Broker.Application");
AFL("symb")=AB.ActiveDocument.Name;
%>

// select the variables of the stock you want to correlate
xo=Foreign(symb,"Open");
xh=Foreign(symb,"High");
xl=Foreign(symb,"Low");
xc=Foreign(symb,"Close");
xv=Foreign(symb,"Volume");

// define help arrays in which to store the data you want to fit
xoh = xo; xoh = 100000;
xhh = xh; xhh = 100000;
xlh = xl; xlh = 100000;
xch = xc; xch = 100000;
xvh = xv; xvh = 100000;

// extract the period from the graph selected by using the markers
period = EndValue( BarIndex() ) - BeginValue( BarIndex() );

// store the piece of array selected by using the markers 
cnt = 0;
for( i = BeginValue( BarIndex() ); i < BeginValue( BarIndex() ) + period + 1; i++ ) {

	xoh[cnt] = xo[i];
	xhh[cnt] = xh[i];
	xlh[cnt] = xl[i];
	xch[cnt] = xc[i];
	xvh[cnt] = xv[i];
	cnt = cnt + 1;			
		
}

// define a storage array to store the fit
st = C; st = 100000;
scl = 0;

// test to avoid that marked period is out of range of the available data. 
if (period > 0 AND BeginValue( BarIndex() ) != 0 AND EndValue( BarIndex() ) != BarCount) {

	// correlate this selected piece of data with the last 
	// "period" data for each symbol in a given list
	for( i = BarCount - 1; i < BarCount; i++) {

		// calculate scale factor
		scl = xch[0] / C[i-period];

		hsum = 0;
		for( j = 0; j < period + 1; j++) {
			
			// the fit or correlation procedure
			hsum = hsum +
				((xoh[j] - O[i-period+j]*scl)/xoh[j])^2 +
				((xhh[j] - H[i-period+j]*scl)/xhh[j])^2 +
				((xlh[j] - L[i-period+j]*scl)/xlh[j])^2 +
				((xch[j] - C[i-period+j]*scl)/xch[j])^2;
				
				//AddColumn(C[i-period+j],"Clp");
				//AddColumn(xch[j],"Cfit");

		}
	
		st[i] = hsum/(period+1);

	}
}
Filter=1;
AddColumn(st,"Sum",format = 1.6);
AddColumn(period,"Period Fitted");
AddColumn(scl,"Scale Factor");
AddTextColumn(symb,"Symbol Fitted");
AddColumn(BarCount,"BarCount");

3 comments

1. empottasch

I want to note that I did not submit this code on Wisestocktrader. I coded this when I just started programming in Amibroker. Before that I used another vector based language and I tried to translate that into Amibroker. This code I already removed from the Amibroker library. Not sure if this code is any good, would have to dig into it again.

2. analystbank

Ln 75, Col 32 : Error 30, Syntax Error

How to resolve?

3. administrator

I fixed the error but did not test further.

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