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TIA
Sid
PS: As you might have guessed, I am looking for some code to run
autocorrelation tests on the market.
/* AUTOCORRELATION FUNCTION */
// Logarithmic return
X = log(C/Ref(C,-1));
// Mean
MX = LastValue(Cum(X)/Cum(1));
// Variance
ACF0 = LastValue(Cum((X-MX)*(X-MX))/Cum(1));
// Autocorrelation from lag 1 to 40, normalised to variance
ACF1 = LastValue(Cum((X-MX)*(Ref(X,-1)-MX))/(ACF0*Cum(1)));
ACF2 = LastValue(Cum((X-MX)*(Ref(X,-2)-MX))/(ACF0*Cum(1)));
ACF3 = LastValue(Cum((X-MX)*(Ref(X,-3)-MX))/(ACF0*Cum(1)));
.
.
.
ACF38 = LastValue(Cum((X-MX)*(Ref(X,-38)-MX))/(ACF0*Cum(1)));
ACF39 = LastValue(Cum((X-MX)*(Ref(X,-39)-MX))/(ACF0*Cum(1)));
ACF40 = LastValue(Cum((X-MX)*(Ref(X,-40)-MX))/(ACF0*Cum(1)));
// Store autocorrelation function in the last 40 bars
ACF = 0;
ACF = IIf(Cum(1)==LastValue(Cum(1)),ACF1,ACF);
ACF = IIf(Cum(1)==LastValue(Cum(1))-1,ACF2,ACF);
.
.
ACF = IIf(Cum(1)==LastValue(Cum(1))-37,ACF38,ACF);
ACF = IIf(Cum(1)==LastValue(Cum(1))-38,ACF39,ACF);
ACF = IIf(Cum(1)==LastValue(Cum(1))-39,ACF40,ACF);
ACF = 100*ACF;
// Significance bands
Sigma = 100*LastValue(Cum(1))^(-0.5);
GraphXSpace=5;
Graph0=ACF;Graph0Style=2+4;Graph0Color=3;
Graph1=2*Sigma; Graph1Style=1; Graph1Color=2;
Graph2=-2*Sigma; Graph2Style=1; Graph2Color=2;
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