sector tracking.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Sector Tracking
//  Author/Uploader: Ara Kaloustian 
//  E-mail:          [e-mail]
//  Date/Time Added: 2002-04-07 14:40:40
//  Origin:          Written by Ara Kaloustian, 3/31/02
//  Keywords:        Sectors
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=184
//  Details URL:     http://www.amibroker.com/library/detail.php?id=184
//
//------------------------------------------------------------------------------
//
//  Tracks normalized relative performance of the most heavily traded sectors 4
//  sectors (XLE, XLK, XLB, XLF).
//
//  Performance is tracked by comparing the daily performance of the sector to
//  the daily performance of the S&P500, then a 13 day exp moving average
//  and finally the sum of 9 days to smooth out the data.
//
//  CAUTION: You may need to edit the symbol for S&P 500 index if different
//  for your data source than what I have used (SP-500).
//
//------------------------------------------------------------------------------

// Look for relative strength of sectors wrt their S&P
// Plot the 13 week EMA of incremental differences
// This is useful for finding strengthening sectors / industries
// Normalize data


Title = "TC2k-Sector vs. S&P-500: Energy - Technology - Finance - Materials";

Sum_Filter = 9;
Index_Value = Foreign("SP-500","close");

Energy_Ratio      = Foreign("XLE","Close",fixup=1) / Index_Value;
Tech_Ratio        = Foreign("XLK","Close",fixup=1) / Index_Value;
Finance_Ratio     = Foreign("XLF","Close",fixup=1) / Index_Value;
Materials_Ratio   = Foreign("XLB","Close",fixup=1) / Index_Value;

Energy_Perf       = EMA(Energy_Ratio      - Ref(Energy_Ratio,-1),13) * 10000;
Tech_Perf         = EMA(Tech_Ratio        - Ref(Tech_Ratio,-1),13) * 10000;
Finance_Perf      = EMA(Finance_Ratio     - Ref(Finance_Ratio,-1),13) * 10000;
Materials_Perf    = EMA(Materials_Ratio   - Ref(Materials_Ratio,-1),13) * 10000;

N_Energy_Perf    = (Energy_Perf)    / Foreign("XLE","Close",fixup=1);
N_Tech_Perf      = (Tech_Perf)      / Foreign("XLK","Close",fixup=1);
N_Finance_Perf   = (Finance_Perf)   / Foreign("XLF","Close",fixup=1);
N_Materials_Perf = (Materials_Perf) / Foreign("XLB","Close",fixup=1);

Energy_Sum        = Sum(N_Energy_Perf,Sum_Filter);
Tech_Sum          = Sum(N_Tech_Perf,Sum_Filter);
Finance_Sum       = Sum(N_Finance_Perf,Sum_Filter);
Materials_Sum     = Sum(N_Materials_Perf,Sum_Filter);


/*
Backtest performance by selectig top sector to buy
Buy when rel performance above 0 and slope maximum
Sell when slope decreass relative to another sector
Always be in the market
*/



Filter = Close > 0;
NumColumns = 4;
Column0Name = "Energy";
Column0     = Energy_Sum;
Column1Name = "Tech";
Column1     = Tech_Sum;
Column2Name = "Finance";
Column2     = Finance_Sum;
Column3Name = "Materials";
Column3     = MAterials_Sum;




MaxGraph = 4;
Graph0 = Energy_Sum;
Graph0Color = 1;      //Black - Energy
Graph1 = Tech_Sum;    
Graph1Color = 2;      //White - Tech
Graph2 = Finance_Sum;
Graph2Color = 4;      //Red - Finance
Graph3 = Materials_Sum;
Graph3Color = 5;      //Green - Mater.
Graph0Style = 4;
Graph1Style = 4;
Graph2Style = 4;
Graph3Style = 4;