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What does a fixup value of -1 mean?
Also, what exactly are you doing when you say that you check day by day
over a 30 day period? Are you sure that you are manually calculating r
correctly for a 30 day period and that Correlation() is
wrong?
Bill
----- Original Message -----
Sent: Wednesday, March 19, 2008 9:49
AM
Subject: [amibroker] Re:
Correlation
> 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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