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PureBytes Links
Trading Reference Links
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The Correlation function might be useful.
http://www.amibroker.com/guide/afl/afl_view.php?name=CORRELATION
/JS
--- In amibroker@xxxxxxxxxxxxxxx, "Louw-Roux Coetzer"
<louwcoetzer@xxxx> wrote:
> ECM StationaryHi there all !
>
>
>
> 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...
>
>
>
> 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...
>
>
>
> Kind regards
>
>
>
>
>
> Louw Coetzer
>
>
>
>
>
>
>
>
> -------------------------------------------------------------------
---------
> ----
> Louw-Roux Coetzer - louwcoetzer@xxxx
>
> This e-mail message and all documents which accompany it are
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> only for the use of the individual or entity to which addressed,
and may
> contain privileged or confidential information. Any unauthorized
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> or distribution of this e-mail message is prohibited.
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