On Friday, I showed how easy it is to add alternative symbols to your Amibroker backtest using the SetForeign function.
I showed how to add data from the SPY, but there are many interesting special symbols available to you if you know where to look.
Although you can’t trade these symbols, from your data feed’s perspective, they look and feel exactly like regular symbols.
This makes them very convenient to add to your backtest as a column.
And once you add it as a column, you can easily optimize on it.
Here are the ones in my column library that I include in each backtest as columns (IQFeed symbol in parens):
- TICK (TICK.Z) – The NYSE Tick: number of NYSE‐listed stocks whose last trade was above the previous trade minus the number whose last trade was below the previous trade. In other words, net upticks minus downticks.
- TRIN (TRIN.Z) – Also called the “Arms Index” or “NYSE Trin”. It is a breadth‐oscillator that compares advancing vs declining issues (number of stocks up vs down) relative to their respective volume. Formula is something like (Advancers ÷ Decliners) divided by (Advancing volume ÷ Declining volume).
- VIX (VIX.XO) – The CBOE Volatility Index — often called the “fear index”. It measures the market’s expectation of 30-day forward volatility implied by S&P 500 option prices.
- IINA (IINA.Z) – The number of advancing issues (stocks trading up from prior close) on the NYSE — at a snapshot (often cumulative through the trading day) or repeated interval snapshots.
- IIND (IIND.Z) – The number of declining issues on the NYSE — stocks trading down from their prior close, same framing as IINA.Z.
- IINU (IINU.Z) – The number of unchanged issues on the NYSE — stocks whose price hasn’t changed (from their prior close) at that snapshot.
Your data feed will likely have slightly different symbols for these and other special symbols. Search for “symbology” to find the documentation for your data feed.
Here’s the link to IQFeed’s Market Indices Symbols.
You can bring these symbols up in a chart and get a sense of the range of values to understand what’s normal and extreme.
(I use IQFeed as my real-time data feed for Amibroker.)
-Dave
