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Anthony,
What I was doing was simply citing what the help file gave as an
example of using the correlation function to establish a trend of closing prices
over a period of time.
Your explanation probably reflects my poor understanding of the cum(1)
function. When you write R2 = Correlation(cum(1),C,14)^2, does this mean
you are correlating all the closing prices over the last 14 days (in other
words, closing price as a function of time)? If so, how does this statement
differ from R2 = Correlation(C,ref(C,-pds),pds)^2?
In your next R2 statement, you wrote R2 = (P, C, periods)^2, where P
had been assigned to the closing price of the NDX index. So, it looks
like you are correlating the price of the index with the closing price of
something else. I don't know what all the other stuff about alpha and beta have
to do with that. I guess I'm having difficulty understanding your second R2
statement. Can you enlighten me a bit? Thanks a lot.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Anthony Faragasso
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, February 14, 2003 8:49
PM
Subject: Re: [amibroker] r-squared and
regression analysis
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
thelibrary.<A
href="">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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