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Sorry,
no
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: jeremy_berkovits
[mailto:jberkovits1@xxxxxxxxxx]Sent: Friday, February 06, 2004 12:36
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Calculating critical R squared
valuejayson,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@xxxx]> 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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