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Anthony,
Being very busy working on new update I have no time to look at it yet, sorry.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Anthony Faragasso" <ajf1111@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, June 20, 2002 4:49 PM
Subject: Re: [amibroker] Trends, random series, CHI Square
> Stephane,
>
> I posted a description for a Price distribution Function, several days
> ago, Do you think this is something you may be able to write as a .dll
> or in Script ?
>
> Anthony
>
> nenapacwanfr wrote:
>
> > Hello,
> >
> > here is an implementation of chi square according to Cliford J
> > Sherrey,
> > the theory is if the chisquare is above the critical value the time
> > serie is dependant ( not random)
> > observed is positive price change
> > expected is negative price change
> >
> > My conclusion is :
> > I don't find it usefull.
> >
> > stephane
> >
> >
> > df=(C-Ref(C,-1))/Ref(C,-1);
> > bin1=IIf(df>=0 AND df<0.01,1,0);
> > bin2=IIf(df>=0.01 AND df<0.02,1,0);
> > bin3=IIf(df>=0.02 AND df<0.03,1,0);
> > bin4=IIf(df>=0.03 AND df<0.04,1,0);
> > bin5=IIf(df>=0.04 ,1,0);
> >
> > bin11=IIf(df<0 AND df>-0.01,1,0);
> > bin12=IIf(df<=-0.01 AND df>-0.02,1,0);
> > bin13=IIf(df<=-0.02 AND df>-0.03,1,0);
> > bin14=IIf(df<=-0.03 AND df>-0.04,1,0);
> > bin15=IIf(df<=-0.04 ,1,0);
> >
> > period=200;
> > bin1= Sum(bin1,period);
> > bin2= Sum(bin2,period);
> > bin3= Sum(bin3,period);
> > bin4= Sum(bin4,period);
> > bin5= Sum(bin5,period);
> > bin11= Sum(bin11,period);
> > bin12= Sum(bin12,period);
> > bin13= Sum(bin13,period);
> > bin14= Sum(bin14,period);
> > bin15= Sum(bin15,period);
> >
> > //Plot(Sum(bin1,200),"",2,1);
> > //Plot(Sum(bin2,200),"",4,1);
> >
> > q1=((bin1-bin11)^2)/ bin11;
> > q2=((bin2-bin12)^2)/ bin12;
> > q3=((bin3-bin13)^2)/ bin13;
> > q4=((bin4-bin14)^2)/ bin14;
> > q5=((bin5-bin15)^2)/ bin15;
> >
> > Chi=q1+q2+q3+q4+q5;
> > Criticalval=16.92;//p=0.05
> > Plot(Chi,"",4,1);
> > Plot(Criticalval,"",2,1);
> >
> >
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