|
PureBytes Links
Trading Reference Links
|
<FONT face=Verdana color=#800000
size=2>Great idea !
To
get mean and standard deviation for 100 stocks, try:
<FONT face=Verdana color=#800000
size=2>
<FONT face=Verdana color=#800000
size=2>Eq = Foreign("Equity","Open");
N =
100; //Number of stocks
<FONT face=Verdana color=#800000
size=2>Average = lastvalue(sum(Eq,N)/N); //Average return per
stock
Stdv
= lastvalue((sum((Eq-Average)^2),N)/N)^0.5);//Standard deviation of return per
stock
<FONT face=Verdana color=#800000
size=2>Title = "Equity barchart for N100 stockx - Average = " +writeval(Average)
+"Standard deviation= " + writeval(Stdv);
<FONT face=Verdana color=#800000
size=2>
<FONT face=Verdana color=#800000
size=2>Sorry, I have no time to test it today. Hope it
works.
<FONT face=Verdana color=#800000
size=2>
<FONT face=Verdana color=#800000
size=2>Waz
<FONT face=Verdana color=#800000
size=2>
<FONT face=Verdana color=#800000
size=2>
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxx]Sent: mardi 30 avril 2002
16:50To: AmiBrokerSubject: [amibroker] A different type
of Equity analysisA while back there was talk about
rating trading systems. I have always beenof the opinion that if a system
works on many stocks this is a measure ofrobustness. Not everybody agrees
with this and I agree that greater profitscan be made by optimizing
systems for particular stocks however I believethat this extra gain is
paid for with extra risk.While discussions centered around the
analysis of composite equities I don'trecall anybody talking about
analyzing the equity distribution forindividual stocks for a certain
category. As a first step in doing this youcan save the individual
equities in a composite array for later recall andanalysis. Or to display
a bar chart of the individual equities (See attachedexample ran on the
N100 stocks). You can use this Scan to save the"individual" equities in a
composite:// =======Scan to save Equities in
array===========//// place your Buy/Sell rules
here...//V1 = LastValue(Equity());Addr =
LastValue(Cum(1))-Status("StockNum");V2 = IIf(Addr ==
Cum(1),V1,0);AddToComposite(V2,"_Equity","X",3);To display a
barchart for this data use this indicator:// =====Indicator to display
Equities============Plot(Foreign("_Equity","Open"),"",4,2+4);Title = "
Equity Bar Chart for N100 stocks ";GraphXSpace = 5;Note that this
chart is located at the most recent part of the X-axis. Sinceit covers
only 100 bars (for the N100) you may have to zoom in to see thechart.Also
note that equities are displayed in order of their StockNum;StockNum "1"
is in the most recent bar.Perhaps somebody with stats expertise can
suggest a way to calculate theMean, StDev, etc. for the equities. This
could be used as a measure ofrobustness.Best
regards,Herman.Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|