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jayson,
Thanks for the info. I am trying to figure out what the critical
value for a 200 period would be. Do you know how the table below was
generated?
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Jeremy,
>
> I put this in the library some time ago. Hope it helps or at least
gets you
> started...
>
> Regards,
> Jayson
>
> /*To determine if the trend is statistically significant for a given
> x-period linear regression line, Plot the r-squared indicator and
refer to
> the following table. This table shows the values of r-squared
required for A
> 95% confidence level at various time periods. If the r-squared
value is less
> than the critical values shown, you should assume that prices show
no
> statistically significant trend.
> Number of Periods r-squared Critical Value(95%confidence)
> 5 0.77
> 10 0.40
> 14 0.27
> 20 0.20
> 25 0.16
> 30 0.13
> 50 0.08
> 60 0.06
> 120 0.03
> */
> R2PDS=14; /*for automatic adjustments to the r2 critical value line
use one
> of the periods listed above*/
> R2=(Correlation(Cum( 1 ),C,r2pds))^2;
> slope=LinRegSlope(C,r2pds);
> Crit=IIf(R2PDS==5,.77,IIf(R2PDS==10,.40,IIf(R2PDS==14,.27,IIf
(R2PDS==20,.20,
> IIf(R2PDS==25,.16,IIf(R2PDS==30,.13,IIf(R2PDS==50,.08,IIf
(R2PDS==60,.06,IIf(
> R2PDS==120,.03,0)))))))));
> Plot(r2,"R Squared",colorYellow,1);
> //Plot(MA(r2,5),"Trigger",colorYellow,1);
> Plot(slope,"Slope",IIf(slope<0,4,5),2|styleOwnScale);
> Plot(Crit,"",7,1);
> Title=WriteIf(R2>Crit,"R2 Values indicate a Trend is in place","R2
Values
> Indicate a Trendliess Market")+WriteVal(r2)+WriteIf(slope>0,"\n
Slope is
> Positive","\n Slope is Negative");
> "\n \n Interpretation \n r-squared values show the percentage of
movement
> that can be explained by linear regression. For example, if the r-
squared
> value over 20 days is at 70%, this means that 70% of the movement
of the
> security is explained by linear regression. The other 30% is
unexplained
> Random noise.\n While R2 values are interesting on their own they
are easier
> to interpret when used in conjunction with Slope. When R2 exceeds
its
> critical Value this indicates the market is Trending, when the
indicator
> falls below its threshold then a trend less condition may be in
place. \n
> This table shows the values of r-squared required for A 95%
confidence level
> at various time periods. If the r-squared value is less than the
critical
> values shown, you should assume that prices show no statistically
> significant trend. \n \n R-2 Pds Critical Value(95%confidence)"+
> "\n \n 5 0.77\n 10 0.40\n 14 0.27\n 20 0.20\n 25 0.16\n 30 0.13\n
50 0.08 \n
> 60 0.06 \n 120 0.03"
> +"\n \n You may even consider opening a Short-term position
opposite the
> prevailing trend when you observe r-squared rounding off at extreme
levels.
> For example, if the slope is positive AND r-squared is above 0.80
then
> begins to turn down, you may consider selling or opening A Short
position.
> There are numerous ways to use the linear regression outputs of r-
squared
> and Slope in trading systems. For more detailed coverage, refer to
the book
> The New Technical Trader by Tushar Chande and Stanley Kroll";
>
>
>
>
>
>
>
> -----Original Message-----
> From: jeremy_berkovits [mailto:jberkovits1@x...]
> Sent: Friday, February 06, 2004 12:00 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Calculating critical R squared value
>
>
> Does anyone know how to calculate the critical value for an X period
> r squared?
>
> Regards,
>
> Jeremy berkovits
>
>
>
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