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Chuck : Correlation Coefficient . Precalculus book is where I found
the formula and typed it in myself . Look up Correlation Coefficient .
Good luck.
--- In equismetastock@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Keara...
>
> Do you have any idea where your code came from? I'm working my
way through
> it, but not quite sure how to apply it. I have it working, but not
sure how
> much information the result contains. About where you left it, I
guess.
> Anything more you can tell me?
>
> Thanks
> -----Original Message-----
> From: keara33903 [mailto:keara33903@x...]
> Sent: Wednesday, May 07, 2003 7:04 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Re: Cointegration?
>
>
> fmlvar I never got it got much out of it .Good concept though.
> If you get it right fix and repost Donald
> pds:=.3;
> l1:={FmlVar("xvss","Vv")}C;
> y1:= {(Trough(1,L1,pds))}l1;
> y2:= (Trough(1,L1,pds));
> y3:= (Trough(2,L1,pds));
>
> x1:= {(TroughBars(1,L1,pds))}1;
> x2:= (TroughBars(1,L1,pds));
> x3:= (TroughBars(2,L1,pds));
>
> ex:=x1+x2+x3;
> ey:=y1+y2+y3;
> exy:=(x1*y1)+(x2*y2)+(x3*y3);
> xsqrt:=(x1*x1)+(x2*x2)+(x3*x3);
> ysqrt:=(y1*y1)+(y2*y2)+(y3*y3);
> Vv:=((3*exy)-(ex*ey))/(Sqrt((3*xsqrt)-(ex*ex))*
> Sqrt((3*ysqrt)-(ey*ey)))*-1;Vv;
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > Has anyone written any MS or AB code to solve for cointegration?
> >
> > If not, does anyone have the forumula in English so that I could
> try to code
> > it to be shared by all?
> >
> > I'm trying to improve on my "pairs" trading systems that are
> currently just
> > using correlation coefficients.
>
>
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