Cointegration Map

gistfile1.txt

//Bug with the code Amibroker Crashes 
//Unhandled exception
//Type:	COleException
//Out of present range.

//Code for Simple Co-Integration map can be found here http://www.marketcalls.in/amibroker/how-to-compute-cointegration-using-amibroker-and-python.html
//written by Rajandran R

_SECTION_BEGIN("Cointegration");
SetChartOptions(0,chartShowArrows | chartShowDates);
MyObj=CreateObject("PyCoint");  // link to python com server

Title = "";

WLNum = Param("WatchList Number",0,0,64,1);
list = GetCategorySymbols( categoryWatchlist, WLNum);
SetOption("NoDefaultColumns",True);
Filter = Status("LastBarInTest");

symbol1 = ParamStr("Symbol1", "NIFTY-I");    //Enter Symbol1 can be control from External Parameters
symbol2 = ParamStr("Symbol2", "BANKNIFTY-I");//Enter Symbol1 can be control from External Parameters
Color1 =  ParamColor("Color1",colorGreen);
Color2 =  ParamColor("Color2",coloryellow);

SetSortColumns( 1 );
AddTextColumn(Name(),"Correlation",1.0);
Ticker1 = Name();



for( Col=0; (Ticker2=StrExtract( List, Col))!= ""; Col++)
{

//Get the Foreign Price values



SetForeign(Ticker2);
symC2 = Close;
RestorePriceArrays( True );

// COM object interface cannot deal with null value, set to zero to be sure

symC1 = c;
symC2 = Nz(symC2);

 // use Cointegration method in com server to calculate smoothed value

coint = MyObj.COINT(symC1,symC2);

Color = IIf(coint<0.1, colorBrightGreen, IIf(coint>0.5, colorRed,colorWhite));
Color = IIf(Ticker1==Ticker2, 1, Color);
AddColumn( coint, Ticker2, 1.3, 1, Color);
}

//Plot Correlation and CoIntegration in a Dashboard

GfxSetBkMode( 0 );
GfxSelectFont( "Tahoma", 13, 100 );
GfxSetTextColor( colorWhite );


GfxSelectPen( colorGreen, 2 ); 
GfxSelectSolidBrush( colorgreen ); 
GfxRectangle( 10, 10, 200, 100 );
 
GfxTextOut( "Cointegration : " + NumToStr(coint,1.2,separator=false),13,13); 
GfxTextOut( "Correlation : " + NumToStr(Correlation(symC1,SymC2,22)),13,43);

Plot(symC1,"Symbol1",Color1,styleLine|styleownscale);
Plot(symC2,"Symbol2",Color2,styleLine|styleownscale);


_SECTION_END();