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there's an AFL indicator set in the library that computes Alpha, Beta and
R-Squared. looking at relatively high profile NASDAQ stocks, the beta values
it generates don't line up with Beta info from QuotesPlus. that makes me
wonder about Alpha and R-Squared too.
there are only two parameters you can set for the AFL version: the index
you're comparing to, and the number of periods.
- the index I'd think was most likely would be !SPX, the S&P 500. I've tried
a number of others too.
- my understanding is that the standard period, if there is such a thing, is
36 months. I took that to mean 3 years, or 256*3 trading days.
any ideas? (full formula below for reference.)
Dave Merrill
FORMULA:
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Mkt = "!SPX";
Periods = 256*3;
P = Foreign(Mkt,"C",1);
Beta2 = (( 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 = (Sum(ROC( C,1) ,Periods) - ( Beta2 ) * Sum( ROC( P,1) ,Periods ) )
/ Periods;
R2 = Correlation(P,C,Periods)^2;
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