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Hi Bill, yes and yes?
After rereading a few times I think the -5 is in the
Ref(Close, -5) and I think I know what yor saying that the "other" 5
is how long to run the array. Having two 5's in one example is a
little confusing.
When I ran an AA and obtained a correlation factor of .97 between 2
stocks (ref(close,-1) vrs close) over 30 days vrs manually
calculating the same 2 stocks over the same period 1 day apart, I'm
not even close... one stock up, the other should be up the next day,
when one is down the other should be down?
What variable am I missing to not have a better 1 to 1 outcome?
Any help Any One?
Thanks
kj
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@xxx>
wrote:
>
> I believe the answer is yes and yes. Ref() is generating an array
of C that are 5 days back from every C. Correlation(..., ..., 5)
calculates the correlation between C and Ref() over a 5 day period
and returns an array of these values. To keep things straight you
have to keep in mind what arrays are and the meaning and calculation
of correlation values (r).
>
> Bill
>
>
> ----- Original Message -----
> From: "mytakeismine" <mytakeismine@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, March 18, 2008 7:15 PM
> Subject: [amibroker] Correlation
>
>
> > Hi I asked this back a few weeks ago... I am not sure I
understand so
> > if anyone could elaborate.
> >
> > In the user guide it states under Correlation:
> > SYNTAX correlation( ARRAY1, ARRAY2, periods )
> >
> > EXAMPLE // Correlation between Close price AND AND Close price 5
days
> > back
> > Correlation( Close, Ref( Close, -5 ), 5 );
> >
> > In the example it states 5 days back, so is the -5 as in
> > ( Close, -5 ) the 5 days back.
> > Or is the ", 5 );" as in "periods" in the syntax the 5 which
causes
> > the 5 days back?
> >
> > Too many 5's
> >
> > Thanks for your help and explanation!
> > kj
> > mytakeismine
> >
> >
> >
> > ------------------------------------
> >
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> >
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>
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