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Al,
Here is Metastocks:
The following is the formula for Metastocks r-squared:
r_squared =Pwr(Corr(Cum(1),C,14,0),2)
AFL Translation:
R_squared=correlation(cum(1),C,14)^2;
********************************************
The formula I posted is from my Alpha and Beta indicators located in the
library.
http://www.amibroker.com/library/formula.php?id=157
//Alpha AND Beta Indicators
//Ver.1.00, 2/10/02
//coded by Anthony Faragasso
//e-mail: ajf1111@xxxxxxxx
//Insert your Stock_index,Composite_index, S&P,etc.
//as the **Base Market**.
MaxGraph=5;
/***Base Market************/
Mkt="^ndx";//Must be enclosed in "....."Quotations.
P=Foreign(Mkt,"C",1);
/**************************/
Periods=14;//Set the period of Observation
//****Beta***********************/
Beta=(( Periods * Sum(ROC( C,1) * ROC(P,1),Periods )) -
(Sum(ROC(C,1),Periods) * Sum(ROC( P,1),Periods))) / ((Periods *
Sum((ROC(P,1)^2 ),Periods)) - (Sum(ROC(P,1 ),Periods)^2 ));
/******************************************/
//*****Alpha*********************/
Alpha=(Sum(ROC( C,1) ,Periods) - ( Beta ) * Sum( ROC( P,1) ,Periods ) )
/ Periods;
/******************************************/
/***R-Squared*****************/
R2=Correlation(P,C,Periods)^2;
/************************************/
Graph0=Beta;
Graph0Style=1;
Graph1=Alpha;
//Graph1=(LastValue(Highest(Graph0))/LastValue(Highest(Graph1))) *
Graph1;
Graph1Style=1;
/**R_squared graphing*****/
Graph2=r2;
Graph2Style=1;
Graph2Color=7;
/*************************/
Title=Name()+" "+"ALPHA
"+EncodeColor(colorBlue)+"("+WriteVal(Alpha,format=1.2)+")"+"
"+EncodeColor(colorBlack)+" BETA
"+EncodeColor(colorRed)+"("+WriteVal(Beta,format=1.2)+")"+"
"+EncodeColor(colorBlack)+" R_SQUARED
"+EncodeColor(colorYellow)+"("+WriteVal(r2,format=1.2)+")";
/**Notes***/
//You've got to start with r-squared, which is an
//indicator of the validity of the beta AND alpha
//measures. Because the r-squared measures just how
//closely the Stock OR fund tracks the
//index with which it is being compared.
//An r-squared of 1.0 indicates
//A perfect match. AND, in that case, you can
//trust that the beta AND alpha measures are
//valid, too. But, the lower the r-squared, the less
//reliable beta AND alpha measures are.
//"[Betas and alphas on] a Stock or fund with an r-squared that's below
//0.50 are completely meaningless.
//Assuming the r-squared is, say, 0.75 OR higher, you can move on to the
//beta.
Avcinci wrote:
> Anthony, Shouldn't it be: R2 = Correlation(P,
> ref(P,-periods),periods)^2; ? Al V.
>
> ----- Original Message -----
> From: Anthony Faragasso
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, February 14, 2003 8:10 PM
> Subject: Re: [amibroker] r-squared and regression analysis
> /***Base Market************/
> Mkt="^ndx";//Must be enclosed in "....."Quotations.
> P=Foreign(Mkt,"C",1);//Base market
>
> Periods=14;//Set the period of Observation
>
> /***R-Squared*****************/
> R2=Correlation(P,C,Periods)^2;
>
>
>
> "sidleysh " wrote:
>
> > Does anyone know how to construct r-squared in AB? There
> is an r-
> > squared function in MetaStock, and I desperately need it
> to construct
> > and adaptive MA based on the AT3 from T&A
> >
> >
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