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<SPAN
class=796002418-27022003>HB,
<SPAN
class=796002418-27022003>
yes,
if you have built those composites this new code will reference them as well...
It is handy since some stocks tend to correlate very strongly with their Sector
index while others seem to care less. If you see the index turning up but the
stock has yet to follow, looking at the correlation can sometimes
offer insight into the stocks next potential move......
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: hmab1
<hossamb@xxxxxxxxxxxx> [mailto:hossamb@xxxxxxxxxxxx]Sent:
Thursday, February 27, 2003 1:21 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Correlation between
sector and stocks within sectorJayson, are you
referring to the RSC code ?HB--- In amibroker@xxxxxxxxxxxxxxx,
"Jayson" <jcasavant@xxxx> wrote:> 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...> > enjoy> > Jayson> >
> > pds=Param("Correlation Periods",14,5,20);>
Highthresh=Param("High Thresh hold",.50,.10,.90,.05);>
Lowthresh=Param("Low Thresh hold", -.50,-.75,-.10,.05);>
symbol="~i"+SectorID(1);> si=Foreign(symbol,"C");>
x=Correlation(si,C,pds);> indexzone1=IIf(x<=Highthresh AND
x>0,x,IIf(x>=lowthresh AND>
x<0,x,IIf(x>highthresh,highthresh,IIf(x<Lowthresh,Lowthresh,0))));>
zone1col= IIf(x > 0, colorSeaGreen,colorRed);> >
Plot(indexzone1,"",zone1col,2);>
Plot(x,"",IIf(x>0,colorBrightGreen,colorLightOrange),2);>
Plot(si,"Index",colorYellow,1|styleOwnScale);>
Plot(C,"Stock",colorWhite,1|styleThick|styleOwnScale);>
index=ROC(si,pds);> stock=ROC(C,pds);>
Islope=LinRegSlope(index,20);> sslope=LinRegSlope(stock,20);>
> Title=WriteIf(stock>index,"\n This Stock is currently
out-performing it's> Sector" ,"\n This Stock is currently under
performing it's> Sector")+WriteIf(x>Highthresh, "\n The Stock has A
Positive Correlation to> the Index",WriteIf(x<Lowthresh,"\n The
Stock has A Negative Correlation to> the Index","\n The Stock has
little OR no Correlation"));> > WriteIf(x>Highthresh, "
suggesting a High probability that the Price of the> Stock will
follow the Index",WriteIf(x<Lowthresh, " which suggests a High>
probability that Price will NOT follow the Index"," to the index"));>
> WriteIf(islope>0 AND sslope>0,"\n Currently both the index and
the Stock are> Rising",WriteIf(islope<0 AND sslope<0,"\n
Currently both the Index and the> Stock are falling","\n Currently
the Index and Stock are moving in Opposite> directions"))+"\n Price
Slope"+WriteVal(sslope)+" Index> Slope"+WriteVal(islope);>
> -----Original Message-----> From: goldfreaz
<goldfreaz@xxxx> [mailto:goldfreaz@xxxx]> Sent: Thursday, February
27, 2003 8:39 AM> To: amibroker@xxxxxxxxxxxxxxx> Subject:
[amibroker] Correlation between sector and stocks within sector>
> > Anyone 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);> >
> Yahoo! Groups
Sponsor>
ADVERTISEMENT> > > > > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to suggest@xxxx>
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