TOS - Expected Rate of Return - Just Needs a Bit of Tweaking

[tradernicky 10]

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