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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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