[amibroker] To Correlate or Not to Correlate, that is the quuestion !

["Louw-Roux Coetzer" <louwcoetzer@xxxxxxxxxxxxx>]

<P 
><SPAN 
class=328345413-23112003>Hi there all !
<P 
><SPAN 
class=328345413-23112003> 
<P 
><SPAN 
class=328345413-23112003>I have tried to think of various 
methods to find a matching Non-Correlating match for a particular 
shareA ...I thought of doing this by adding the close for 
shareA  to the shareB and dividing it by 
2 to get an average price...I would then use some form of standard deviation to 
find out how much shareB is deviating from the average - the 
share that deviates the most would then be the most likely candidate - now I am 
convinced this would not work as it only suggests that shareB 
is more volatile than anything else...
<P 
><SPAN 
class=328345413-23112003> 
<P 
><SPAN 
class=328345413-23112003>What I am trying to do is to scan a 
short watch list and to find say 2 or 3 pairs ( 2shares/pair).  The 2 
shares in each pair must be non-correlating to a certain extent in order to 
lessen risk if both are purchased ( almost like what Gary was talking briefly 
about in his presentation ).  Obviously the shares in the pair can not be 
100% opposing as then no money would be made...My mind is still a bit baffled 
about this and any suggestions and guidance in the right direction would be 
greatly appreciated...  I am not asking for an AFL Super Formula on a 
platter...only to be pointed into the right line appoach...I will try to create 
the code myself ( the only way to learn I believe ) and if stuck will ask for a 
little push...
<P 
><SPAN 
class=328345413-23112003> 
<P 
><SPAN 
class=328345413-23112003>Kind regards
<P 
><SPAN 
class=328345413-23112003> 
<P 
><SPAN 
class=328345413-23112003> 
<P 
><SPAN 
class=328345413-23112003>Louw Coetzer
<P 
> 
<P 
> 
<P 
> 



  
  
    
      Louw-Roux Coetzer  -  
      louwcoetzer@xxxxxxxxxxxxx

  
  
    
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