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Thanks JS -
forgot about that one OOPS !
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff>Cheers
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff>Louw
<FONT face=Tahoma
size=2>-----Original Message-----From: johanskatt
[mailto:johanskatt@xxxxxxxx]Sent: 23 November 2003 04:29
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
To Correlate or Not to Correlate, that is the quuestion
!The Correlation function might be useful.<A
href="">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> >
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