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Ken, Gary - just got back into Houston and have time for a quick
response. There are a couple of reasons for using ROC, but it is
primarily because you care about correlation of percentage returns
not price. This is key to an Alpha, Beta analysis.
Consider the following price series
A B
100 500
110 450
100 500
120 400
100 500
>From a price standpoint, the correlation is -1 and the slope is -5.
Now consider the ROC's
A B
-- --
.1 -.1
-.09 .11
2 -2
-.17 .25
The correlation is -.99 and the slope is -1.2 which makes far more
sense as a beta.
BTW, as the changes get more disproportionate, the correlations will
start to differ more.
--- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
<serkhoshian777@xxxx> wrote:
> Ken,
>
> I have no idea other than that is how FastTrack calculates
correlation.
>
> The ROC calcs are the same (5 period) and the correlation is 1/2
year or 126 market days.
>
> Hope this helps,
> Gary
>
> Ken Close <closeks@xxxx> wrote:
>
> Gary: And why is that please? Second question, why the
differences in the ROC periods? Does it matter if they are the same?
>
>
>
> Thanks for a little more explanation on this point. New to me.
>
>
>
> Ken
>
>
>
> -----Original Message-----
> From: Gary A. Serkhoshian [mailto:serkhoshian777@x...]
> Sent: Saturday, November 15, 2003 6:09 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Two FastTrack related questions -- (Cor
and Refresh)
>
>
>
> Salil,
>
>
>
>
>
> Let me give you a head start so you don't grapple with the same
pain I did. To best emulate FT correlation make sure you use ROC
comparisons, not close.
>
>
>
>
>
> correlation(ROC(somefund,5),ROC(somebenchmarkfund,5),126) or
something like this.
>
>
>
>
>
> GS
>
> Jayson <jcasavant@xxxx> wrote:
>
>
> Salil,
>
>
> from help...
>
>
>
>
> CORRELATION
> - correlation
> Statistical functions
> (AFL 1.4)
>
>
>
> SYNTAX
>
> correlation( ARRAY1, ARRAY2, periods )
>
> RETURNS
>
> ARRAY
>
> FUNCTION
>
> Calculates correlation between ARRAY1 and ARRAY2 using periods
range
>
> EXAMPLE
>
> correlation( close, ref( close, -5 ), 5 ); - this calculates
correlation between close price and and close price 5 days back
>
>
>
>
>
>
>
>
>
>
>
>
> Regards,
>
>
> Jayson
>
>
> -----Original Message-----
> From: salil_gangal [mailto:salil_gangal@x...]
> Sent: Saturday, November 15, 2003 11:56 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Two FastTrack related questions -- (Cor and
Refresh)
>
> Friends,
>
> 1) Is there anything like FT Cor (Co-relation) in AmiBroker ?
>
> 2) Is there any way to *prevent* refreshing the Names of securities
> when refreshing the database using FastTrack data Plug-In ?
>
> Regards,
> - Salil V Gangal
>
>
>
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