|
Hello,
R-squared is calculated straightforward from correlation.
Constant period Correlation is built-in in AB.
Variable period correlation can be easily coded as well as
variable period
R-squared. The slope can is just LinRegSlope - built in
function that supports variable periods already.
Not a single loop required.
// variable-period
Correlation
function CorrV( x, y, range )
{
avX =
MA( x, range );
avY = MA( y,
range );
avXY = MA( x * y, range );
ssqrX = Sum( x * x, range );
ssqrY =
Sum( y * y, range );
VarX = Max( ssqrx/range - avX * avX,
0 );
VarY = Max( ssqry/range - avY * avY,
0 );
return ( avXY - avX *
avY ) / sqrt( VarX * VarY );
}
// variable-period R
squared
function RSquaredV( array, range )
{
return CorrV( BarIndex()+1, array, range ) ^ 2;
}
Graph0 = RSquaredV( C, 10 );
Best
regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Friday, September 05, 2008 9:03
PM
Subject: Re: [amibroker] Re: How to
calculate a slope % with Rsquared without a loop?
Hi, Ok I will try to look at this (or maybe someone else
can help?) but how to do this without a loop. To what would such a code
look like? Thanks, Louis
2008/9/5 sidhartha70 <sidhartha70@xxxxxxxxx>
Louis,
I have no experience of doing this in AFL. Perhaps others
can guide.
But LinRegSlope() looks like it will do the trick.
Look
at this...
http://www.amibroker.com/library/detail.php?id=233&hilite=LINREGSLOPE
> Hi,
>
> How would you write this in AFL?
I mean: Let's say I want a gradient at
> about 10 degrees... How would
you do that? And how to measure the
> dispersion along this line? Can
Rsquared be used?
>
> Thanks,
>
> Louis
>
> 2008/9/5 sidhartha70 <sidhartha70@xxx>
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker% 40yahoogroups.com>, "Louis P." > >
<rockprog80@> wrote: > > > > > > Hmm.. I am
not sure... But I want the data to be as close to > > possible to
a > > > straight line and the slope to be not too steep but
enough... > > > > > > 2008/9/5 sidhartha70
<sidhartha70@> > > > > > > > Louis, >
> > > > > > > you mean you want the 'gradient' of
the slope...?? Straight lines > > > > can't be 'smooth' or
otherwise. > > > > > > > > > > >
> --- In amibroker@xxxxxxxxxxxxxxx<amibroker% 40yahoogroups.com><amibroker%
> > 40yahoogroups.com>, > > > > "Louis
P." > > > > <rockprog80@> wrote: > > > >
> > > > > > Hi, > > > > > >
> > > > @Joe Landry: Thanks for the tips. I'm not sure how
the K-ratio can > > > > help on > > > >
> this, but if it can help... > > > > > > >
> > > @Ara: I'm sorry if what I said was not clear. What I want to
do > > is to > > > > > calculate a % pullback
from a HHV of a stock but I want the > > slope to be > >
> > > "smooth", that is, I am not happy to see a 5 or 10% pullback
but > > > > would like > > > > > to see a 5
or 10% pullback with a particular slope inclination. > > > >
That is: > > > > > if the stock dropped 10% in a day is
not the same as if it quietly > > > > lost 0.5% >
> > > > for 20 days (would not be exactly 10%, but this is
an image). You > > > > > understand what I mean? I want
the slope to be as smooth as > > > > possible with a >
> > > > particular inclation %. Is this possible? > >
> > > > > > > > Thanks, > > > >
> > > > > > Louis > > > > > >
> > > > > > > > > > > > > >
2008/9/5 Ara Kaloustian <ara1@> > > > > > >
> > > > > Louis, > > > > > > >
> > > > > I am not quite sure what you mean by "a smooth
slope". > > > > > > > > > > > > Do
you want to have a plot of prices that are smoothed ... as you >
> > > would gt > > > > > > with a
filter?? > > > > > > > > > > > >
OR do you want a computed value of slope at some particular
point? > > > > ... if > > > > > > so at
what point ... or do you want a plot of the slope ... etc > >
> > > > > > > > > > If you can be moe
specific that would be halpful! > > > > > > >
> > > > > A > > > > > > > >
> > > > ** > > > > > > > > >
> > > > > > > > > ----- Original Message
----- > > > > > > *From:* Louis P.
<rockprog80@> > > > > > > *To:* amibroker@xxxxxxxxxxxxxxx
<amibroker% 40yahoogroups.com><amibroker% > > 40yahoogroups.com> > > > > > >
*Sent:* Friday, September 05, 2008 8:41 AM > > > > > >
*Subject:* Re: [amibroker] How to calculate a slope % with > >
Rsquared > > > > > > without a loop? > > >
> > > > > > > > > Hi, > > > >
> > > > > > > > Linear function is my big
problem. I'm so weak using that. What > > > > is
the > > > > > > difference between using this and doing
it the other way? > > > > > > > > > >
> > BTW, how would you set the number of bars in the current: >
> > > > > > > > > > >
HHVBars(Var,period); // Find number of bars - distance from HHV
to > > > > current > > > > > >
bar > > > > > > %slope = ((Highest high - currentclose)
/ Highest high) / number > > > > of bars * > >
> > > > 100; > > > > > > > > >
> > > Thanks, > > > > > > > > >
> > > Louis > > > > > > > > > >
> > > > > > > > 2008/9/4 Ara Kaloustian
<ara1@> > > > > > > > > > > >
>> You can also use linearray to draw a stright line from HHV
to > > > > current > > > > > >>
point. > > > > > >> > > > > >
>> Look up LinearReg function > > > > >
>> > > > > > >> ----- Original Message
----- > > > > > >> *From:* Ara Kaloustian
<ara1@> > > > > > >> *To:* amibroker@xxxxxxxxxxxxxxx
<amibroker% 40yahoogroups.com><amibroker% > > 40yahoogroups.com> > > > > > >>
*Sent:* Thursday, September 04, 2008 10:37 AM > > > > >
>> *Subject:* Re: [amibroker] How to calculate a slope % with >
> Rsquared > > > > > >> without a loop? >
> > > > >> > > > > > >> Try
this: > > > > > >> > > > > >
>> HHV(Var,period); // find value of highest high > > >
> > >> HHVBars(Var,period); // Find number of bars -
distance from HHV > > > > to current > > >
> > >> bar > > > > > >> %slope =
((Highest high - currentclose) / Highest high) / number > > >
> of bars * > > > > > >> 100; > > >
> > >> > > > > > >> You may choose to
define slope in a different way, but this is > > > > the
basic > > > > > >> structure > > > >
> >> > > > > > >> A > > > >
> >> > > > > > >> ----- Original Message
----- > > > > > >> *From:* Louis P.
<rockprog80@> > > > > > >> *To:* amibroker@xxxxxxxxxxxxxxx
<amibroker% 40yahoogroups.com><amibroker% > > 40yahoogroups.com> > > > > > >>
*Sent:* Thursday, September 04, 2008 9:34 AM > > > > >
>> *Subject:* Re: [amibroker] How to calculate a slope % with >
> Rsquared > > > > > >> without a loop? >
> > > > >> > > > > > >>
Hi, > > > > > >> > > > > >
>> Thanks for your response. I should have said I want
to calculate > > > > a slope > > > > >
>> from a high point; I'd like to get a smooth slope from
a HHV... > > > > How would > > > > >
>> you do that? > > > > > >> > > >
> > >> Thanks a lot! > > > > > >>
Louis > > > > > >> > > > > >
>> 2008/9/4 Ara Kaloustian <ara1@> > > > > >
>> > > > > > >>> %slope = (variable -
Ref(Variable,-x) ) / Ref(Variable,-x) * > > 100; > > >
> > >>> > > > > > >>> -----
Original Message ----- > > > > > >>> *From:*
Louis P. <rockprog80@> > > > > > >>> *To:*
amibroker@xxxxxxxxxxxxxxx
<amibroker% 40yahoogroups.com><amibroker% > > 40yahoogroups.com> > > > > >
>>> *Sent:* Thursday, September 04, 2008 9:20 AM > > >
> > >>> *Subject:* [amibroker] How to calculate a slope %
with Rsquared > > > > without > > > > >
>>> a loop? > > > > > >>> > >
> > > >>> Hi, > > > > >
>>> > > > > > >>> I was wondering how to
calculate the % of a slope without > > doing any > > >
> > >>> loop. Anybody has any idea? > > > >
> >>> > > > > > >>> Thanks, >
> > > > >>> > > > > > >>>
Louis > > > > > >>> > > > > >
>>> > > > > > >> > > > >
> > > > > > > > > > > >
> > > > > > > > > > > >
> > > > > > > > >
> >
__._,_.___
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:
http://www.amibroker.com/support.html
![]()
__,_._,___
|