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Re: [amibroker] Tick charts / AFL TimeFrame Set



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Jayson,
 
I should also add that perhaps the cycle period 
length determination that Chuck and Ara were talking about might also be a 
useful adjunct in setting the period for the current values.
 
Peter
<BLOCKQUOTE dir=ltr 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=pcwinch@xxxxxxxxxxxxxxx 
  href="">pcwinch 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Saturday, February 07, 2004 8:34 
  AM
  Subject: Re: [amibroker] Calculating 
  critical R squared value
  
  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: 
    <A title=jcasavant@xxxxxxxxxxx 
    href="">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 
    face=Arial>14; 
    <FONT face=Arial 
    color=#0000ff>/*for automatic adjustments to the r2 critical value line use 
    one of the periods listed above*/<FONT color=#282828 
    size=2>
    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 
    face=Arial>LinRegSlope<FONT 
    size=2>(C<FONT color=#282828 
    size=2>,r2pds);
    Crit=<FONT 
    face=Arial>IIf<FONT 
    size=2>(R2PDS==5,.77,<FONT 
    size=2>IIf(R2PDS==10<FONT 
    size=2>,.40,IIf(R2PDS==<FONT 
    size=2>14,.27,IIf<FONT 
    size=2>(R2PDS==20,.20,<FONT 
    size=2>IIf(R2PDS==25<FONT 
    size=2>,.16,IIf(R2PDS==<FONT 
    size=2>30,.13,IIf<FONT 
    size=2>(R2PDS==50,.08,<FONT 
    size=2>IIf(R2PDS==60<FONT 
    size=2>,.06,IIf(R2PDS==<FONT 
    size=2>120,.03,<FONT 
    size=2>0<FONT face=Arial 
    color=#0000ff>)))))))));
    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<<FONT color=#ff00ff 
    size=2>0,<FONT color=#ff00ff 
    size=2>4,<FONT color=#ff00ff 
    size=2>5),<FONT color=#ff00ff 
    size=2>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 
    face=Arial>=<FONT 
    size=2>WriteIf(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><FONT 
    size=2>0,"\n Slope is 
    Positive","\n Slope is 
    Negative"<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 
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