|
PureBytes Links
Trading Reference Links
|
I'll give your message to the people responsible for the web design,
but I must say I don't understand this message? Must I not reply to
messages unless I have a PhD plus more? How many people would then
be able to participate here? I think, sans PhD, that I helped a guy
who, according to him, spent a lot of time on this and could not code
it. So I coded it, explained it, posted it, and am sure I, sans PhD,
helped him quite a bit.
Some people here say I am too academic, you think I am not academic
enough? Please, if anything I said related to skewness or kurtosis
is wrong, let me hear about it, and, really, it does not have much to
do with the company's website. Funny thing, we've been using these
formulas, together with some other stuff, for years, based on some
very academic papers by some of the most academic of people out
there.....coupled with some tricks we had to figure out to actually
implement it..... Anyhow, I really look forward to your reply.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://tsatsaeod.ferra4models.com
http://www.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "KUREKCI" <kurekci@xxxx> wrote:
> dear ferreira,
> I have just checked your website. even your website design does not
support
> the expectation you create in your messages...
>
> I must say I am a little disappointed. the statistical jargon you
have been
> using attracted my attention, and I can see that you are trying hard
to use
> your statistical knowledge in trading but I am sorry that as far as
I can
> notice the depth of knowledge you are referring to when making your
> inferences is not deep enough support the reasoning.
>
> though, I still think making research and using statistics is very
> interesting and maybe useful in technical analysis framework. and
improve
> the frontiers of the market. but what you are doing isnot an
extensive use
> of statistics. it would require post PhD level study to well implement
> statistical knowledge in technical analysis. otherwise it would
result in
> total loss, if not a number of poor designs which not worth the
investment
> of effort.
>
> I understand that you have studied statistics more than an average
person
> but still if you spend some more time in the academia you would
understand
> that there is inconsistency between the tools you are using and
results you
> expect.
>
> I will not take more time of anybody and end with a passage that I like,
> simply from karate kid: if you don't know karate then your walking
on the
> right side of the road, if you know karate you are walking on the
left side
> of the road, but if you know the karate so-so then you are walking
right in
> the middle of the traffic. it is dangerous...
>
> regards,
>
>
>
>
> -----Original Message-----
> From: MG Ferreira [mailto:quant@x...]
> Sent: Friday, March 04, 2005 10:08 AM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Skewness or biasedness and kurtosis
>
>
>
> Herewith code for the skewness and kurtosis of a series (somebody
> requested this, so don't jump to conclusions - specifically, don't
> test this as a trading model - caveat emptor - This is often useful
> when trading options and we used these things to devise option
> strategies, such as building indicators that tell you if you should
> be buying/writing puts or calls, in or out the money etc - but -
> don't be mislead by this statement as these are the basic building
> blocks of such a system, not the system itself - and given upon
> request...)
>
> It is a bit troublesome to do this in Metastock due to the way in
> which its time series processor works. You have to manually add up
> the history to get the exact version, but you can easily build a
> good approximation. The exact version quickly causes Metastock to
> give an error message, and we limit it to 20 days, which really is
> too little for this indicator. We also give an approximate version
> which is very easy to code and use, and here you can go much higher
> than the 20 day limit of the exact system. The exact system also
> shows how you can use boolean algebra in stead of lots of if
> statements. Typically you should have a highish value for these,
> say 50 and above.
>
> OK, so there are four formulas in total, exact and approximate ones
> for the skewness or bias and the kurtosis. Note that we calculate,
> as you should, these figures in the return series, not the series
> itself.
>
> How do you interpret these? Just a brief summary.
>
> Skewness: If this is positive, then the market has a positive
> news impact curve. Up movements are generally higher than down
> movements. If this value is negative, then vice versa. Here is
> an example of movements in a positive skew market:
>
> +2 -1 +5 -3 +3 -1 +3 -1 +2
>
> Note that, if the market rises, it generally rises more than if it
> falls.
>
> Kurtosis: If this value is positive, it means the returns are
> leptokurtic. A negative value indicates a platykurtic distribution.
> Leptokurtic technically means there are more outliers than in a normal
> distribution, in practise it is indicative of a risky market. The
> higher this value, the more risky the market is, with 0 sort of
> meaning it is a normal market. A low value means that you have a
> low risk market. Here is an example of a leptokurtic market:
>
> +1 -1 +1 -1 +10 -1 +1 -1 +12 -2 +1 -1 +2 -1
>
> Note that the market's return is quite concentrated around zero but
> every now and again you have a HUGE outlier - this is leptokurtosis.
>
> Code follows below, note it is in four sections.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://tsatsaeod.ferra4models.com
> http://www.ferra4models.com
>
> ----------8<-----------------------------------------------------
> {Bias Exact Metastock code
> -------------------------
> MG Ferreira
> http://www.ferra4models.com
> For personal use only}
>
> xx := INDICATOR;
> ll := Input("Bias length:",1,20,20);
> yy := ROC(xx,1,%);
> mm := Mov(yy,ll,S);
> ss := Power(yy-mm,3)+
> Power((Ref(yy,-1)-mm)*(ll>1),3)+
> Power((Ref(yy,-2)-mm)*(ll>2),3)+
> Power((Ref(yy,-3)-mm)*(ll>3),3)+
> Power((Ref(yy,-4)-mm)*(ll>4),3)+
> Power((Ref(yy,-5)-mm)*(ll>5),3)+
> Power((Ref(yy,-6)-mm)*(ll>6),3)+
> Power((Ref(yy,-7)-mm)*(ll>7),3)+
> Power((Ref(yy,-8)-mm)*(ll>8),3)+
> Power((Ref(yy,-9)-mm)*(ll>9),3)+
> Power((Ref(yy,-10)-mm)*(ll>10),3)+
> Power((Ref(yy,-11)-mm)*(ll>11),3)+
> Power((Ref(yy,-12)-mm)*(ll>12),3)+
> Power((Ref(yy,-13)-mm)*(ll>13),3)+
> Power((Ref(yy,-14)-mm)*(ll>14),3)+
> Power((Ref(yy,-15)-mm)*(ll>15),3)+
> Power((Ref(yy,-16)-mm)*(ll>16),3)+
> Power((Ref(yy,-17)-mm)*(ll>17),3)+
> Power((Ref(yy,-18)-mm)*(ll>18),3)+
> Power((Ref(yy,-19)-mm)*(ll>19),3);
> ll*ss/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),3)*(ll-1)*(ll-2))
> ----------8<-----------------------------------------------------
> {Bias Approx Metastock code
> --------------------------
> MG Ferreira
> http://www.ferra4models.com
> For personal use only}
>
> xx := INDICATOR;
> ll := Input("Bias length:",1,9999,50);
> yy := ROC(xx,1,%);
> mm := Mov(yy,ll,S);
> dd := yy-mm;
>
ll*Sum(Power(dd,3),ll)/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),3)*(ll-1)*(ll-2))
> ----------8<-----------------------------------------------------
> {Kurtosis Exact Metastock code
> -----------------------------
> MG Ferreira
> http://www.ferra4models.com
> For personal use only}
>
> xx := INDICATOR;
> ll := Input("Kurtosis length:",1,20,20);
> yy := ROC(xx,1,%);
> mm := Mov(yy,ll,S);
> ss := Power(yy-mm,4)+
> Power((Ref(yy,-1)-mm)*(ll>1),4)+
> Power((Ref(yy,-2)-mm)*(ll>2),4)+
> Power((Ref(yy,-3)-mm)*(ll>3),4)+
> Power((Ref(yy,-4)-mm)*(ll>4),4)+
> Power((Ref(yy,-5)-mm)*(ll>5),4)+
> Power((Ref(yy,-6)-mm)*(ll>6),4)+
> Power((Ref(yy,-7)-mm)*(ll>7),4)+
> Power((Ref(yy,-8)-mm)*(ll>8),4)+
> Power((Ref(yy,-9)-mm)*(ll>9),4)+
> Power((Ref(yy,-10)-mm)*(ll>10),4)+
> Power((Ref(yy,-11)-mm)*(ll>11),4)+
> Power((Ref(yy,-12)-mm)*(ll>12),4)+
> Power((Ref(yy,-13)-mm)*(ll>13),4)+
> Power((Ref(yy,-14)-mm)*(ll>14),4)+
> Power((Ref(yy,-15)-mm)*(ll>15),4)+
> Power((Ref(yy,-16)-mm)*(ll>16),4)+
> Power((Ref(yy,-17)-mm)*(ll>17),4)+
> Power((Ref(yy,-18)-mm)*(ll>18),4)+
> Power((Ref(yy,-19)-mm)*(ll>19),4);
>
ll*(ll+1)*ss/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),4)*(ll-1)*(ll-2)*(ll-3))-3*
> (ll-1)*(ll-1)/((ll-2)*(ll-3))
> ----------8<-----------------------------------------------------
> {Kurtosis Approx Metastock code
> ------------------------------
> MG Ferreira
> http://www.ferra4models.com
> For personal use only}
>
> xx := INDICATOR;
> ll := Input("Kurtosis length:",1,9999,50);
> yy := ROC(xx,1,%);
> mm := Mov(yy,ll,S);
> dd := yy - mm;
>
ll*(ll+1)*Sum(Power(dd,4),ll)/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),4)*(ll-1)*
> (ll-2)*(ll-3))-3*(ll-1)*(ll-1)/((ll-2)*(ll-3))
> ----------8<-----------------------------------------------------
>
>
>
>
>
> Yahoo! Groups Sponsor
>
> ADVERTISEMENT
>
>
<http://us.ard.yahoo.com/SIG=129mhf1ta/M=298184.6018725.7038619.3001176/D=gr
>
oups/S=1705375617:HM/EXP=1110039285/A=2593423/R=0/SIG=11el9gslf/*http://www.
> netflix.com/Default?mqso=60190075> click here
>
>
<http://us.adserver.yahoo.com/l?M=298184.6018725.7038619.3001176/D=groups/S=
> :HM/A=2593423/rand=861394949>
>
>
> _____
>
> Yahoo! Groups Links
>
>
> * To visit your group on the web, go to:
> http://groups.yahoo.com/group/equismetastock/
>
>
> * To unsubscribe from this group, send an email to:
> equismetastock-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:equismetastock-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service
> <http://docs.yahoo.com/info/terms/> .
------------------------ Yahoo! Groups Sponsor --------------------~-->
In low income neighborhoods, 84% do not own computers.
At Network for Good, help bridge the Digital Divide!
http://us.click.yahoo.com/EpW3eD/3MnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|