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have you tried exponential smoothing of a shorter correlation.
y= ema(Correlation(Nasup,C,32),8);
--- In amibroker@xxxxxxxxxxxxxxx, Jason Hart <jhart_1972@xxxx> wrote:
> Jayson,
>
> I figured that part out, where I'm stuck is how to treat the
cumulative results. If day 1 is true then what value is given to day
one....then day 2 then day 3, etc? What I'm trying to do is
construct two separate correlation studies - one compares the base
stock to days when the Nasdaq is up and the other compares the base
stock to the Nasdaq when the Nasdaq is down. I suspect they will be
pretty jagged because there will be day when they do not budge
because of false results - perhaps I'll have to use a MA on them.
>
> The rationale behind this applies to sector/market laggards.
They'll demonstrate a low correlation to the up days, since they are
lagging, and if they have a high correlation to the Nasdaq on the
Nasdaq down days that's a red flag - perhaps a sign to short the weak
stocks
>
> Thanks for the reply
> Jason
>
> Jayson <jcasavant@xxxx> wrote:
> Jason,
> nasup and nasdown return either a true or false result. If x>=ref
(x,-1) then nasup returns 1 if not it returns 0. The same is true for
nasdown.so in your code....
>
> y= the correlation of the close of !comp and 1.
>
> I assume what you are after is trying to find stocks that are
highly correlated with the index. You could do this with a simple
correlation study as an exploration
>
>
> x=Foreign("!comp","Close");
> Filter=1;
> AddColumn(Correlation(x,C,21),"Correlation");//measures the
correlation over the last 21 bars, adjust as needed
>
> Run the exploration for n=1 bar then click the correlation header
to sort. This will show you how well the individual stock correlates
to the index. You could plot the same data by adding
>
> x=Foreign("!comp","Close");
> Plot(Correlation(x,C,21),"",4,1);
> GraphXSpace=10;
>
>
>
> Regards,
> Jayson
> -----Original Message-----
> From: Jason Hart [mailto:jhart_1972@x...]
> Sent: Wednesday, January 21, 2004 3:23 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Correlation Studies
>
>
> I was wondering if anyone has experimented with correlation studies
of a stock relative to an index on a day when the index is up and
when the index is down. Since I trade mostly Nasdaq stocks I'm
trying to put together an indicator that shows the correlation of a
stock when the Nasdaq is up and when the Nasdaq is down. I'm having
quite a bit of trouble since I haven't really used the IIF function
and I'm not sure if I need to create composites. I put this together
so far but it is way off base (I'm afraid it's too simplistic!) -
what happens is both studies are the complete inverse of each other.
>
>
> x=Foreign("!comp","Close");
>
> Nasup = x >= Ref(x,-1);
>
> Nasdown = x < Ref(x,-1);
>
> IIf(x> Ref(x,-1),Nasup,Nasdown);
>
> y= Correlation(Nasup,C,100);
>
> z=Correlation(Nasdown,C,100);
>
> Plot(y,"Nasdaq Up Correl",3,1,1,1);
>
> Plot(z,"Nasdaq Down Correl",4,1,1,1);
>
>
>
>
>
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