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<SPAN
class=629595917-27022003>Correlation can offer some interesting insight. Here is
a study that compares a stock to its sector. The sector data is derived using
the composite approach I posted a couple of days ago, which allows you to scroll
through a group of stocks while automatically comparing the correct sector
index. The High and low thresh holds are set to a default of .50 and -.50 but
both are adjustable via Param(). The indicator also includes a
commentary...
<SPAN
class=629595917-27022003>
<SPAN
class=629595917-27022003>enjoy
Jayson
<FONT
face=Arial>
pds=Param(<FONT
size=2>"Correlation Periods",<FONT
size=2>14,5<FONT
size=2>,20<FONT color=#282828
size=2>);<FONT
face=Arial>
Highthresh=Param(<FONT
size=2>"High Thresh hold"<FONT
color=#0000ff face=Arial>,.50,.10,.90,.05);<FONT
color=#0000ff>
Lowthresh=Param(<FONT
size=2>"Low Thresh hold"<FONT
color=#0000ff face=Arial>, -.50,-.75,-.10,.05);<FONT
color=#0000ff>
symbol="~i"+<FONT
size=2>SectorID(<FONT
size=2>1<FONT color=#0000ff
face=Arial>);
si=Foreign(symbol,<FONT
size=2>"C"<FONT color=#0000ff
face=Arial>);
x=Correlation(si,<FONT
size=2>C<FONT color=#0000ff
face=Arial>,pds);
indexzone1=IIf(x<=Highthresh
AND<FONT
face=Arial> x>0<FONT
size=2>,x,IIf(x>=lowthresh
AND<FONT
face=Arial> x<0<FONT
size=2>,x,IIf<FONT
size=2>(x>highthresh,highthresh,IIf<FONT
size=2>(x<Lowthresh,Lowthresh,0<FONT
color=#282828 size=2>))));<FONT
color=#0000ff>
zone1col= IIf(x > <FONT
size=2>0, <FONT
size=2>colorSeaGreen<FONT
color=#0000ff face=Arial>,<FONT
face=Arial>colorRed<FONT color=#282828
size=2>);
Plot(indexzone1,<FONT
color=#ff00ff size=2>"",zone1col,<FONT
color=#ff00ff size=2>2<FONT
face=Arial>);
Plot(x,<FONT color=#ff00ff
size=2>"",<FONT color=#0000ff
size=2>IIf(x><FONT color=#ff00ff
size=2>0,<FONT color=#000000
size=2>colorBrightGreen<FONT color=#282828
size=2>,<FONT color=#000000
size=2>colorLightOrange<FONT color=#282828
size=2>),2<FONT color=#282828
size=2>);<FONT color=#0000ff
size=2>
Plot(si,<FONT color=#ff00ff
size=2>"Index",<FONT color=#000000
size=2>colorYellow<FONT color=#282828
size=2>,1<FONT color=#282828
size=2>|<FONT color=#000000
size=2>styleOwnScale<FONT
face=Arial>);
Plot(<FONT color=#000000
size=2>C<FONT color=#282828
size=2>,"Stock"<FONT color=#282828
size=2>,colorWhite<FONT
face=Arial>,<FONT color=#ff00ff
size=2>1|<FONT color=#000000
size=2>styleThick<FONT color=#282828
size=2>|<FONT color=#000000
size=2>styleOwnScale<FONT
face=Arial>);
index=ROC<FONT color=#282828
size=2>(si,pds);<FONT
color=#0000ff>
stock=ROC(<FONT
size=2>C<FONT color=#0000ff
face=Arial>,pds);
Islope=LinRegSlope<FONT
size=2>(index,20<FONT color=#282828
size=2>);<FONT
face=Arial>
sslope=LinRegSlope<FONT
size=2>(stock,20<FONT color=#282828
size=2>);
<FONT
color=#0000ff>
Title=WriteIf<FONT
size=2>(stock>index,"\n This Stock is currently
out-performing it's Sector" ,"\n This
Stock is currently under performing it's Sector"<FONT
size=2>)+WriteIf(x>Highthresh,
"\n The Stock has A Positive Correlation to the
Index",WriteIf<FONT
size=2>(x<Lowthresh,"\n The Stock has A Negative
Correlation to the Index","\n The Stock
has little OR no Correlation"<FONT color=#282828
size=2>));
WriteIf(x>Highthresh, <FONT
color=#ff00ff size=2>" suggesting a High probability that the Price of the Stock
will follow the Index",<FONT
color=#0000ff size=2>WriteIf(x<Lowthresh,
" which suggests a High probability that Price
will NOT follow the Index",<FONT
color=#ff00ff size=2>" to the index"<FONT color=#282828
size=2>));
WriteIf(islope><FONT
color=#ff00ff size=2>0 <FONT
color=#000000 size=2>AND<FONT color=#282828
size=2> sslope>0<FONT color=#282828
size=2>,"\n Currently both the index and the
Stock are Rising",<FONT color=#0000ff
size=2>WriteIf(islope<<FONT
color=#ff00ff size=2>0 <FONT
color=#000000 size=2>AND<FONT color=#282828
size=2> sslope<0<FONT color=#282828
size=2>,"\n Currently both the Index and the
Stock are falling",<FONT color=#ff00ff
size=2>"\n Currently the Index and Stock are moving in Opposite
directions"))+<FONT color=#ff00ff
size=2>"\n Price Slope"+<FONT
color=#0000ff size=2>WriteVal<FONT color=#282828
size=2>(sslope)+" Index Slope"<FONT
color=#282828 size=2>+WriteVal<FONT
color=#282828 size=2>(islope);
<FONT face=Tahoma
size=2>-----Original Message-----From: goldfreaz
<goldfreaz@xxxxxxxxx> [mailto:goldfreaz@xxxxxxxxx]Sent:
Thursday, February 27, 2003 8:39 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Correlation between
sector and stocks within sectorAnyone looking at the
correltation function?Something
like:Chan=AMA((c-Ref(c,-1))/c,0.62);Schan=AMA(Foreign(sector,"C",1)/Foreign(sector,"V",1),0.62);Corr=AMA(Correlation(Chan,schan,32),0.38);
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