[amibroker] Re: How to add "Alpha" to an exploration column?

["personal592002" <personal592002@xxxxxxxxx>]

Joe - Thank you.   Your code was very helpful and seems to work fine.  I
tried to add two lines at the end but cant get them to work.   New user
trying to learn...

function Alpha(C, MktSymbol,Periods)

{

P=Foreign(MktSymbol,"C",1);

//****Beta***********************/

Beta=(( Periods * Sum(ROC( C,1) * ROC(P,1),Periods )) -
(Sum(ROC(C,1),Periods) * Sum(ROC( P,1),Periods))) / ((Periods *
Sum((ROC(P,1)^2 ),Periods)) - (Sum(ROC(P,1 ),Periods)^2 ));

//*****Alpha*********************/

//return (Sum(ROC( C,1) ,Periods) - ( Beta ) * Sum( ROC( P,1) ,Periods )
)/Periods;
return (Sum(ROC( C,1) ,Periods) - ( Beta ) * Sum( ROC( P,1) ,Periods )
);

}

MktSymbol ="SPY"; //Must be enclosed in "....."Quotations.

Filter = 1;

AddColumn(Close,"Close",1.2);
AddColumn(Volume,"Volume",1.0);
AddColumn( ROC( Close, 15 ), "ROC(15)", 1.1 );
AddColumn(C/HHV( High, 240 ), "% 52 week high", 1.2);
AddColumn(StochK(5,1), "Stochastic 5day Fast",1.1);
AddColumn(Alpha(C,MktSymbol,240),"Alpha", 1.2);
//AddColumn(Correlation()^2,"Rsquared", 1.2);
//AddColumn(Beta(C,MktSymbol,240), "Beta",1.2)




--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxx> wrote:
>
> Hello - I cut and pasted Anthony's code and made a function for your
use. I
> did not check the accuracy of the algo for beta and alpha.  Note that
Alpha is
> calculated relative to a symbol representing the market, here it QP's
symbol for NASDAQ 100
> !NDX.  Anthony used ^NDX
>
> Hope this helps.
>
> JOE
>
>
>
> function Alpha(C, MktSymbol,Periods)
>
> {
>
> P=Foreign(MktSymbol,"C",1);
>
> //****Beta***********************/
>
> Beta=(( Periods * Sum(ROC( C,1) * ROC(P,1),Periods )) -
> (Sum(ROC(C,1),Periods) * Sum(ROC( P,1),Periods))) / ((Periods *
> Sum((ROC(P,1)^2 ),Periods)) - (Sum(ROC(P,1 ),Periods)^2 ));
>
> //*****Alpha*********************/
>
> return (Sum(ROC( C,1) ,Periods) - ( Beta ) * Sum( ROC( P,1) ,Periods )
)/
> Periods;
>
> }
>
> MktSymbol ="!ndx"; //Must be enclosed in "....."Quotations.
>
> Filter = 1;
>
> AddColumn(Close,"Close",1.2);
>
> AddColumn(Volume,"Volume",1.0);
>
> AddColumn( ROC( Close, 15 ), "ROC(15)", 1.1 );
>
> AddColumn(C/HHV( High, 240 ), "% 52 week high", 1.2);
>
> AddColumn(StochK(5,1), "5 Day Position",1.1);
>
> AddColumn(Alpha(C,MktSymbol,240),"Alpha", 1.2);
>
> ----- Original Message -----
> From: "personal592002" personal592002@xxx
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, June 25, 2006 5:59 PM
> Subject: [amibroker] How to add "Alpha" to an exploration column?
>
>
> > How to add "Alpha" to an exploration column?  "Alpha" as defined buy
> > this entry in the AFL library.
> >
> >
http://www.amibroker.com/library/detail.php?id=157&hilite=Correlation
> >
> > For this exploration how do I get the last line working?
> >
> > Filter = 1;
> >
> > AddColumn(Close,"Close",1.2);
> > AddColumn(Volume,"Volume",1.0);
> > AddColumn( ROC( Close, 15 ), "ROC(15)", 1.1 );
> > AddColumn(C/HHV( High, 240 ), "% 52 week high", 1.2);
> > AddColumn(StochK(5,1), "5 Day Position",1.1);
> > //AddColumn(Alpha(C,240)"Alpha", 1.2);
> >
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
>