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MG Ferreira and Dusant...
Friends...
You presented two formulate for Kurtosis... formulate Them
different and take the different graphs. What she would be
formulates it exata?
Thank you
Skill
> Do we need such a complex code for Kurtosis?
>
> Mov( Mov( Mo( 4) - Ref( Mo( 4), -1), 50, E), 10, S)
>
> should do ... or substitute the 4, 50, 10 for any values
> which you feel is good.
>
> Dusant
> ----- Original Message -----
> From: MG Ferreira
> To: equismetastock@xxxxxxxxxxxxxxxx
> Sent: Friday, March 04, 2005 9:37 PM
> 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<----------------------------------------------
> -------
>
>
>
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