alpha and beta and r_squared indicator.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Alpha and Beta and R_Squared Indicator
//  Author/Uploader: Anthony Faragasso 
//  E-mail:          [e-mail]
//  Date/Time Added: 2002-02-12 13:38:37
//  Origin:          
//  Keywords:        
//  Level:           semi-advanced
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=157
//  Details URL:     http://www.amibroker.com/library/detail.php?id=157
//
//------------------------------------------------------------------------------
//
//  Alpha, Beta and R_Squared, Indicator plots the Alpha and Beta and produces
//  a read
//
//  out of values in the title bar of the Alpha, Beta and R_Squared. If you
//  want to Plot the
//
//  R_Squared remove the slashes // in front of all Graph2 references....
//
//------------------------------------------------------------------------------

///Alpha AND Beta Indicators
//Ver.1.00, 2/10/02
//coded by Anthony Faragasso
//e-mail: [e-mail]

//Insert your Stock_index,Composite_index, S&P,etc.
//as the **Base Market**.

MaxGraph=5;

/***Base Market************/
Mkt="^ndx";//Must be enclosed in "....."Quotations.
P=Foreign(Mkt,"C",1);
/**************************/

Periods=21;//Set the period of Observation 

//****Beta***********************/ 

Beta=(( Periods * Sum(ROC( C,1) * ROC(P,1),Periods )) - (Sum(ROC(C,1),Periods) * Sum(ROC( P,1),Periods))) / ((Periods * Sum((ROC(P,1)^2 ),Periods)) - (Sum(ROC(P,1 ),Periods)^2 ));
/******************************************/

//*****Alpha*********************/ 

Alpha=(Sum(ROC( C,1) ,Periods) - ( Beta ) * Sum( ROC( P,1) ,Periods ) )  / Periods;
/******************************************/

/***R-Squared*****************/
R2=Correlation(P,C,Periods)^2;
/************************************/
Graph0=Beta;
Graph0Style=1;
Graph1=Alpha;
Graph1=(LastValue(Highest(Graph0))/LastValue(Highest(Graph1))) * Graph1;
Graph1Style=1;

/**R_squared graphing*****/
//Graph2=r2;
//Graph2Style=1;
//Graph2Color=2;
/*************************/
Title=Name()+"  "+"ALPHA "+"("+WriteVal(Alpha,format=1.2)+")"+" "+"  BETA "+"("+WriteVal(Beta,format=1.2)+")"+" "+" R_SQUARED "+"("+WriteVal(r2,format=1.2)+")";

/**Notes***/
//You've got to start with r-squared, which is an
//indicator of the validity of the beta AND alpha
//measures. Because the r-squared measures just how 
//closely the Stock OR fund tracks the
//index with which it is being compared.

//An r-squared of 1.0 indicates
//A perfect match. AND, in that case, you can
//trust that the beta AND alpha measures are
//valid, too. But, the lower the r-squared, the less
//reliable beta AND alpha measures are. 

//"[Betas and alphas on] a Stock or  fund with an r-squared that's below //0.50 are completely meaningless.

//Assuming the r-squared is, say, 0.75 OR higher, you can move on to the //beta.