crbeta.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:    crBeta
//  Author/Uploader: Chuck Rademacher 
//  E-mail:          [e-mail]
//  Date/Time Added: 2003-05-21 05:14:07
//  Origin:          
//  Keywords:        beta
//  Level:           semi-advanced
//  Flags:           system,exploration,indicator,function
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=281
//  Details URL:     http://www.amibroker.com/library/detail.php?id=281
//
//------------------------------------------------------------------------------
//
//  This function calculates beta for any stock against an index or another
//  stock. Caution... beta calculations typically have long lookback periods.
//  This could eat a lot of your data prior to generating any values. Most data
//  providers use a five year lookback (1225 days). I think you can have
//  meaningful beta figures using 125 to 250 days, particularly in the current
//  market conditions.
//
//  Beta calculations usually take "risk-free returns" into consideration. This
//  function does not, as most AmiBroker users probably do not have access to
//  the relevant data. If there are enough people interested, I will release
//  the version that does use risk-free returns as part of the formula.
//
//  The following is an example of calculating beta against the S&P500
//  index for 125 days:
//
//  ForeignClose = Foreign(".SPX","Close",Fixup=1);
//
//  Beta = crBeta(ForeignClose,Close,125);
//
//------------------------------------------------------------------------------

function crBeta (Market,Stock, LB) {
   MarketReturn = (Market-Ref(Market,-1)) / Ref(Market,-1);
   StockReturn = (Stock-Ref(Stock,-1)) / Ref(Stock,-1);
   MarketSquared = MarketReturn*MarketReturn;
   StockSquared = StockReturn*StockReturn;
   MS = MarketReturn * StockReturn;
   AvgMarketDelta = Sum(MarketReturn,LB) / LB;
   AvgStockDelta = Sum(StockReturn,LB) / LB;
   SumOfMarketSquared = Sum(MarketSquared,LB);
   SumofStockSquared = Sum(StockSquared,LB);
   SumOfMS = Sum(MS,LB);
   return (SumOfMS - (LB*AvgMarketDelta*AvgStockDelta)) / 
                     SumOfMarketSquared - (LB*(AvgMarketDelta * AvgMarketDelta));
}