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Jayson,
Very nice. What is also nice is if the
following is addded to the Title
+WriteIf<FONT
size=1>(r2pds>0<FONT
size=1>,"Number of Periods"<FONT
size=1>, "Problem as Number of Periods is set
to zero.")+<FONT color=#0000ff
size=1>WriteVal(r2pds);
and if R2PDS is made a parameter
R2PDS = Param("Number of Periods",14,1,100);
In fact I make every constant a parameter in every
formula....
Peter
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, February 07, 2004 3:09
AM
Subject: RE: [amibroker] Calculating
critical R squared value
<FONT face=Arial color=#0000ff
size=2>Jeremy,
<FONT face=Arial color=#0000ff
size=2>
I
put this in the library some time ago. Hope it helps or at least gets you
started...
Regards,
Jayson
<FONT
color=#008000>
/*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<SPAN
class=216030717-06022004> 0.77
10 <SPAN
class=216030717-06022004> 0.40
14 <SPAN
class=216030717-06022004> 0.27
20 <SPAN
class=216030717-06022004> 0.20
25 <SPAN
class=216030717-06022004> 0.16
30 <SPAN
class=216030717-06022004> 0.13
50 <SPAN
class=216030717-06022004> 0.08
60 <SPAN
class=216030717-06022004> 0.06
120 <SPAN
class=216030717-06022004> 0.03
*/<FONT color=#282828
size=2>
R2PDS=<FONT
color=#0000ff>14; <FONT
color=#008000 size=2>/*for automatic
adjustments to the r2 critical value line use one of the periods listed
above*/
R2=(<FONT
color=#0000ff>Correlation(<FONT
size=2>Cum( 1
),C<FONT
color=#0000ff>,r2pds))^<FONT
size=2>2<FONT face=Arial
color=#0000ff>;
slope=<FONT
color=#0000ff>LinRegSlope(<FONT
size=2>C<FONT face=Arial
color=#0000ff>,r2pds);
Crit=<FONT
color=#0000ff>IIf(R2PDS==<FONT
size=2>5,.77,IIf<FONT
size=2>(R2PDS==10,.40,<FONT
size=2>IIf(R2PDS==14<FONT
size=2>,.27,IIf(R2PDS==<FONT
size=2>20,.20,IIf<FONT
size=2>(R2PDS==25,.16,<FONT
size=2>IIf(R2PDS==30<FONT
size=2>,.13,IIf(R2PDS==<FONT
size=2>50,.08,IIf<FONT
size=2>(R2PDS==60,.06,<FONT
size=2>IIf(R2PDS==120<FONT
size=2>,.03,0<FONT color=#282828
size=2>)))))))));<FONT
color=#0000ff size=2>
Plot<FONT color=#282828
size=2>(r2,"R Squared"<FONT
color=#282828 size=2>,<FONT
size=2>colorYellow<FONT color=#282828
size=2>,1<FONT color=#282828
size=2>);
<FONT face=Arial
color=#0000ff>//Plot(MA(r2,5),"Trigger",colorYellow,1);<FONT
color=#0000ff size=2>
Plot<FONT color=#282828
size=2>(slope,"Slope"<FONT
color=#282828 size=2>,IIf<FONT
color=#282828 size=2>(slope<0<FONT
color=#282828 size=2>,4<FONT
color=#282828 size=2>,5<FONT
color=#282828 size=2>),2<FONT
color=#282828 size=2>|<FONT
size=2>styleOwnScale<FONT
face=Arial>);
Plot<FONT color=#282828
size=2>(Crit,""<FONT color=#282828
size=2>,7<FONT color=#282828
size=2>,1<FONT color=#282828
size=2>);
Title<FONT
color=#0000ff>=WriteIf<FONT
size=2>(R2>Crit,"R2 Values indicate a Trend is in
place","R2 Values Indicate a
Trendliess Market")+<FONT
size=2>WriteVal(r2)+<FONT
size=2>WriteIf(slope>0<FONT
size=2>,"\n Slope is Positive"<FONT
size=2>,"\n Slope is Negative"<FONT
color=#282828 size=2><FONT face=Arial
color=#0000ff>);
"\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)"<FONT face=Arial
color=#0000ff>+
"\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"
+<FONT face=Arial
color=#0000ff size=2>"\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"<FONT face=Arial
color=#0000ff>;
<FONT face=Tahoma
size=2>-----Original Message-----From: jeremy_berkovits
[mailto:jberkovits1@xxxxxxxxxx]Sent: Friday, February 06, 2004
12:00 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Calculating critical R squared valueDoes
anyone know how to calculate the critical value for an X periodr
squared?Regards,Jeremy berkovits Send
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