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Brian
The function was written by Thomasz and can be
found here:
http://www.traders.com/Documentation/
FEEDbk_docs/Archive/122007/TradersTips/
TradersTips.html#amibroker
function RSquared(array, periods)
{
R = Correlation(BarIndex(), array,
periods );
R2 = R * R;
return R2;
}
R2 = RSquared(C, NoPeriods);
LVR2 = LastValue(R2);
Filter = LVR2 > 0.9;
I have changed it slightly to use R * R instead
of R^2 to speed up the calculation.
The exploration aims to find stocks that are
currently going up or down relatively
smoothly.
All the Best
Ian
--- In amibroker@xxxxxxxxxxxxxxx,
"brian_z111" <brian_z111@xxx> wrote:
>
> Ian Watts,
>
> How can I do that in AFL?
> Have you seen the R-Squared formula at the
AFL library - any comment
> on that?
>
> Any hints greatly appreciated.
>
> Thanks,
>
> brian_z
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ian
Watts" <idw456@> wrote:
> >
> > A method I use is to fit a least squares
line
> > to the last 20 or so bars. Then calculate
R
> > Squared and select the stocks with the
highest
> > values of R Squared.
> >
> > Regards
> >
> > Ian
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx,
> > "safetrading" <safetrading@> wrote:
> > >
> > > With every strategy I have used, I have
> > always noticed that I get
> > > whipsawed out more often with stocks that
> > don't flow smoothly and
> > > therefore have tried to create a filter
that
> > does nothing more than
> > > find stocks which flow smoothly up and
down.
> > >
> > > The best I have come up with is one that
> > simply limits the number of
> > > up and down fractals in a given time
period.
> > While this helps, it
> > > does not really produce what I was hoping
to
> > get.
> > >
> > > Can anyone offer any help or suggestions
with
> > this?
> > >
> > > Thanks,
> > >
> > > Safetrading
> > >
> >
>
------------------------------------
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