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<SPAN
class=439214003-03092003>thanks for the ideas chuck. I agree that what matters
is how it works for me, not whether it matches someones else's version. still, I
thought I'd see how the industry standard measures worked before taking off on
my own. I'm actually more interested in alpha than anything else, but as I
said, having beta not line up made me question the alpha readout
too.
<SPAN
class=439214003-03092003>
<SPAN
class=439214003-03092003>dave
<BLOCKQUOTE
>
<FONT face=Arial color=#0000ff
size=2>Generally speaking, most data vendors and institutions use the S&P
500 to calculate beta and they tend to use a 5-year lookback
period. IMO, current conditions dictate that we should be using a
much shorter lookback period. Personally, I use six
months.
<FONT face=Arial color=#0000ff
size=2>
IMO,
one should also apply the risk-free interest rate when calculating beta and
many people/date vendors do not. The AFL you found in the library
does not take the risk-free interest rate into
consideration.
<FONT face=Arial color=#0000ff
size=2>
Like
many things that we do when developing trading systems, I don't think the
objective is to exactly match values with another source so much as have
values that work for us.
<BLOCKQUOTE
>
there's an AFL indicator set in the
library that computes Alpha, Beta andR-Squared. looking at relatively
high profile NASDAQ stocks, the beta valuesit generates don't line up
with Beta info from QuotesPlus. that makes mewonder about Alpha and
R-Squared too.there are only two parameters you can set for the AFL
version: the indexyou'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 trieda number of others too.- my understanding
is that the standard period, if there is such a thing, is36 months. I
took that to mean 3 years, or 256*3 trading days.any ideas? (full
formula below for reference.)Dave
Merrill
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