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Hi Graham, vlanschot and the waveman
I should have posted the original rather than the correlation
example out of the book. What I am using in the AA window was
this.
Corr = Correlation( C, Foreign( sym, "C",-1 ), 30 );
Out of that I recieved mult stocks, 2 of which produced .97 and they
are AXTI as the ticker WNWG.OB as the corelating stock
However the problem is that I obtained the .97 correlation and then
manually checking (going through day by day) wether one stock
was up or down... I am not getting the same percentage
of "correctness".
The 30 day period I was using was from 4/1/2007 through 5/1/2007.
Thanks for your help
ps can a setting scew performance?
kj
mytakeismine
vlanschot thanks for your help I have to run to work but I will readup
on it when I get home
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxx> wrote:
>
> You are comparing one stock to itself. ie the chosen arrays C &
> ref(C,-5) over the period defined (5)
> to find correlation between to stocks you would need to have one as
> foreign symbol array
> eg
> a = Correlation( C, Foreign('ABCDE","C"), 5);
>
>
> --
> Cheers
> Graham Kav
> AFL Writing Service
> http://www.aflwriting.com
>
>
>
> On 19/03/2008, mytakeismine <mytakeismine@xxx> wrote:
> > oops:( correction: run the period
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "mytakeismine" <mytakeismine@>
> > wrote:
> >
> > >
> > > 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@>
> > > 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@>
> > > > 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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