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Thanks for the reply. You bring up very good points.
Thanks again.
Kev
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
wrote:
> All of these relate to multiple dimensions. You typically have a
> sample, say of gender vs age vs weight, and use this analysis to
see
> if there is some relationship between the lot. This is what I am
> after. What are the dimensions you are working with. Is it RSI
vs MA
> vs Close vs Volume? The image referred to in your other post has
> three dimensions at least - x, y and pixel color and makes a lot of
> sense to use. If you are looking at historical closes, then you do
> not need Hotelling, just standardize it using
>
> z = [ x - mu ] / sigma
>
> in MSFL, something like
>
> X = C / Ref(C,-1) - 1;
> Z = ( X - Mov( X, 50, S ) / StdDev( X, 50 )
>
> may do the trick, although this is OTC (off-the-cuff) and I am
> especially not sure that the StdDev function is correct. You get
what
> you pay for I guess, as super would say, I also guess....
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "formulaprimer"
> <formulaprimer@xxxx> wrote:
> > Also what about the following possiblity
> > Variance-Stabilizing Transformations of the Correlation
Coefficient
> > Description
> > z.transform implements Fisher's (1921) first-order and
Hotelling's
> > (1953) second-order transformations to stabilize the
distribution of
> > the correlation coefficient. After the transformation the data
> > follows approximately a normal distribution with constant
variance
> > (i.e. independent of the mean).
> >
> > Hotelling's transformation requires the specification of the
degree
> > of freedom kappa of the underlying distribution. This depends on
the
> > sample size n used to compute the sample correlation and whether
> > simple ot partial correlation coefficients are considered. If
there
> > are p variables, with p-2 variables eliminated, the degree of
> > freedom is kappa=n-p+1.
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999
<no_reply@xxxx>
> > wrote:
> > > Sorry, I am mixing up two things here, the Hotelling transform
and
> > the
> > > Hotelling T2 statistic. Both are inherently multidimensional,
> > which
> > > is why I am asking the context. I think the Hotelling
transform
> > > entails calculating the eigenvalues - there is this neat way
of
> > doing
> > > that. You just keep on raising whatever matrix you are
working
> > with
> > > to higher powers and the eigenvalues sort of fall out. It is
> > called
> > > the power technique if I remember correctly. I don't think it
is
> > > doable in MS, since, being multidimensional, you need to work
with
> > > matrices and so on. But again, give the context and maybe I
can
> > help
> > > a bit.
> > >
> > > Regards
> > > MG Ferreira
> > > TsaTsa EOD Programmer and trading model builder
> > > http://www.ferra4models.com
> > > http://fun.ferra4models.com
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999
<no_reply@xxxx>
> > wrote:
> > > > Could you give the context of the Hotelling transform? I've
> > never
> > > > seen the Hotelling T2 statistic used in technical analysis.
I
> > could
> > > > assist maybe, if I understand how it is used. The Hotelling
T2
> > stat,
> > > > if this is what you refer to, is usually used in
multivariate
> > analysis
> > > > but there is a much simpler formula that works in one
dimension.
> > > >
> > > > Regards
> > > > MG Ferreira
> > > > TsaTsa EOD Programmer and trading model builder
> > > > http://www.ferra4models.com
> > > > http://fun.ferra4models.com
> > > >
> > > >
> > > > --- In equismetastock@xxxxxxxxxxxxxxx, "formulaprimer"
> > > > <formulaprimer@xxxx> wrote:
> > > > > Does anyone have a code for Hotelling Transformfor small
> > sample sizes
> > > > > (e.g,: short period lengths say n<25)
> > > > >
> > > > > Please do not refer to a pay site for indicators. I am in
a
> > forum
> > > like
> > > > > this to get free source codes.
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