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tradernicky
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Everything posted by tradernicky
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Hey guys I created a study for TOS (expected Rate of Return) - just wondering if someone can help me tweak it. it is as follows: declare lower; input length = 5; input returnLength = 1; input index = {default DJUSHC, SPX, "Nasdaq Composite", NDX, Dow30, "Russell 2000"}; Assert(returnLength > 0, "'return length' must be positive: " + returnLength); def primary = if close[returnLength] == 0 then 0 else (close - close[returnLength]) / close[returnLength] * 100; def logic; switch (index) { case SPX: logic = close("SPX"); case "Nasdaq Composite": logic = close("COMP"); case NDX: logic = close("NDX"); case "Dow30": logic = close("$DJI"); case "Russell 2000": logic = close("RUT"); case "DJUSHC": logic = close("$DJUSHC"); } def secondary = if logic[returnLength] == 0 then 0 else (logic - logic[returnLength]) / logic[returnLength] * 100; input hiAlert = 0; input loAlert = 0; def Beta = Covariance(primary, secondary, length) / Sqr(StDev(secondary, length)); assert(length > 0, "'length' must be positive: " + length); plot PercentChg = (100 * (logic / logic[length] - 1) * Beta); PercentChg.DefineColor("HiAlert", GetColor(5)); PercentChg.DefineColor("Normal", GetColor(7)); PercentChg.DefineColor("LoAlert", GetColor(1)); PercentChg.AssignValueColor(if PercentChg > hiAlert then PercentChg.color("HiAlert") else if PercentChg < loAlert then PercentChg.color("LoAlert") else PercentChg.color("Normal")); I'm pretty sure the Formula is correct however i'm not sure what the Length variable is for I am plotting it for the Dow Health Care Index Beta * % change in the index I have also created a Beta study for the same index
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Hey guys I created a study for TOS (expected Rate of Return) - just wondering if someone can help me tweak it. it is as follows: declare lower; input length = 5; input returnLength = 1; input index = {default DJUSHC, SPX, "Nasdaq Composite", NDX, Dow30, "Russell 2000"}; Assert(returnLength > 0, "'return length' must be positive: " + returnLength); def primary = if close[returnLength] == 0 then 0 else (close - close[returnLength]) / close[returnLength] * 100; def logic; switch (index) { case SPX: logic = close("SPX"); case "Nasdaq Composite": logic = close("COMP"); case NDX: logic = close("NDX"); case "Dow30": logic = close("$DJI"); case "Russell 2000": logic = close("RUT"); case "DJUSHC": logic = close("$DJUSHC"); } def secondary = if logic[returnLength] == 0 then 0 else (logic - logic[returnLength]) / logic[returnLength] * 100; input hiAlert = 0; input loAlert = 0; def Beta = Covariance(primary, secondary, length) / Sqr(StDev(secondary, length)); assert(length > 0, "'length' must be positive: " + length); plot PercentChg = (100 * (logic / logic[length] - 1) * Beta); PercentChg.DefineColor("HiAlert", GetColor(5)); PercentChg.DefineColor("Normal", GetColor(7)); PercentChg.DefineColor("LoAlert", GetColor(1)); PercentChg.AssignValueColor(if PercentChg > hiAlert then PercentChg.color("HiAlert") else if PercentChg < loAlert then PercentChg.color("LoAlert") else PercentChg.color("Normal")); I'm pretty sure the Formula is correct however i'm not sure what the Length variable is for I am plotting it for the Dow Health Care Index Beta * % change in the index I have also created a Beta study for the same index
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Hey guys I created a study for TOS (expected Rate of Return) - just wondering if someone can help me tweak it. it is as follows: declare lower; input length = 5; input returnLength = 1; input index = {default DJUSHC, SPX, "Nasdaq Composite", NDX, Dow30, "Russell 2000"}; Assert(returnLength > 0, "'return length' must be positive: " + returnLength); def primary = if close[returnLength] == 0 then 0 else (close - close[returnLength]) / close[returnLength] * 100; def logic; switch (index) { case SPX: logic = close("SPX"); case "Nasdaq Composite": logic = close("COMP"); case NDX: logic = close("NDX"); case "Dow30": logic = close("$DJI"); case "Russell 2000": logic = close("RUT"); case "DJUSHC": logic = close("$DJUSHC"); } def secondary = if logic[returnLength] == 0 then 0 else (logic - logic[returnLength]) / logic[returnLength] * 100; input hiAlert = 0; input loAlert = 0; def Beta = Covariance(primary, secondary, length) / Sqr(StDev(secondary, length)); assert(length > 0, "'length' must be positive: " + length); plot PercentChg = (100 * (logic / logic[length] - 1) * Beta); PercentChg.DefineColor("HiAlert", GetColor(5)); PercentChg.DefineColor("Normal", GetColor(7)); PercentChg.DefineColor("LoAlert", GetColor(1)); PercentChg.AssignValueColor(if PercentChg > hiAlert then PercentChg.color("HiAlert") else if PercentChg < loAlert then PercentChg.color("LoAlert") else PercentChg.color("Normal")); I'm pretty sure the Formula is correct however i'm not sure what the Length variable is for I am plotting it for the Dow Health Care Index Beta * % change in the index I have also created a Beta study for the same index