//------------------------------------------------------------------------------
//
// Formula Name: pattern correlation
// Author/Uploader: Ed Pottasch
// E-mail: pablito@home.nl
// Date/Time Added: 2004-02-13 06:05:56
// Origin:
// Keywords: pattern correlation
// Level: medium
// Flags: exploration
// Formula URL: http://www.amibroker.com/library/formula.php?id=339
// Details URL: http://www.amibroker.com/library/detail.php?id=339
//
//------------------------------------------------------------------------------
//
// 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).
ed2000nl, Feb 2004, pablito@home.nl
*/
// 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;
// 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");
}
