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My doubt occurred for the fact of that through presented
formulas I obtained two types of different indicator... This
made me to think that was differente formulates...
Thank you for your atention...
Skill
> I am not sure I understand you corretly, but there is a
> standard formula for kurtosis, which is the 'exact' one I
> gave. The 'approx' is a lot easier to use in practise and
> can go back much further (longer period). You can not
> implement the 'exact' in that way in MS as far as I know,
> after about 20 periods you get some funny error, so that
> is why there is an approx in the first place.
>
> I *think* dusant's formula measures the same thing, ie has
> the same idea in it, but it is not the official kurtosis
> formula, if there is such as an official formula.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://tsatsaeod.ferra4models.com
> http://www.ferra4models.com
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "cardiop"
> > <cardiop@xxxx> wrote:
> > 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@xxxx
> > > 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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