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Hi Bill
> What does a fixup value of -1 mean?
It means I haven't done my home work... and that IT shouldn't be
there!
So thanks for the help there. What I wanted was a correlation
with a one day difference so that yesterday close value of the
foreign security correlates with todays close of my main security.
So if that was the case the -1 was in the wrong place and it
should be?
Corr = Correlation( C, Foreign( sym, "C")-1, 30 );
Or ?
Corr = Correlation( C, ref(Foreign( sym, "C")-1) , 30 );
I'll play around and see if I can get something to work.
thanks for your eyes:)
kj
mytakeismine
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@xxx>
wrote:
>
> 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 -----
> From: "mytakeismine" <mytakeismine@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> 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@> 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@> 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
> >>
> >
> >
> >
> > ------------------------------------
> >
> > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
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> >
> >
> >
> >
> >
> > --
> > No virus found in this incoming message.
> > Checked by AVG.
> > Version: 7.5.519 / Virus Database: 269.21.7/1333 - Release Date:
3/18/2008 8:10 AM
> >
> >
>
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