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AB doesn't have a built in "Stat Pack", but the language is certainly
capable of calculating most anything you would want. I have coded
various curve fitting functions other than the linear one included in AB.
As an example, I've included the correlation coefficient I coded as a
'function'. I got the formula from the book "Standard Math Tables"
published by CRC.
The X param is a custom time array.
The Stk is a custom stock price array.
The Pers param is the length.
>>>>>>>>>>>>>>>>>>>>>>>>>>
function Correl( Stk, X, Pers )
{ // Start of Correlation function;
// Define global variables to be returned from function;
global CorrelVal;
global X;
global Stk;
global Pers;
//Initialize variables;
SUMX = 0.00; SUMY = 0.00; SUMXY = 0.00; SUMX2 = 0.00;
SUMY2 = 0.00;
//Calculate array values for X SUMS;
for ( i = 0 ; i < Pers; i++ )
{
SUMX = SUMX + X[i];
SUMX2 = SUMX2 + X[i] * X[i];
}
// Calculate values for Y, XY Sums;
for ( i = 0; i < Pers; i++ )
{
SUMY = SUMY + Stk[i];
SUMY2 = SUMY2 + Stk[i] * Stk[i];
SUMXY = SUMXY + Stk[i] * X[i];
}
// Calculate more terms;
TERM1 = Pers * SUMXY;
TERM2 = SUMX * SUMY;
TERM3 = Pers * SUMX2 - SUMX * SUMX;
TERM4 = Pers * SUMY2 - SUMY * SUMY;
// Calculate the correlation coefficient;
CorrelVal = (Term1 - Term2) / (TERM3 * TERM4)^0.5;
} // **** END OF FUNCTION **** ;
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "bilbo0211" <bilbod@> wrote:
> >
> >
> > I will give some examples of what I would like to be able to do.
> >
> > 1. http://www.topgunsoftware.com/ has some interesting trading
> tools.
> > One thing it does is make statistical range projections (i,e., next
> > bar's high and low with confidence levels). I would like to do
> > something similar with Amibroker.
> >
>
> I have had a quick look at that site and yes, there are one or two
> interesting things there e.g. the idea that buyers/sellers taking the
> offer are agressive, cf passive traders who set a limit, and
> therefore they are influencing the market in a way that allows
> prediction is one of them. It's beyond the capabilities of most
> traders to test that type of thing though - you have to be able to
> acquire, manage and analyse vast amounts of data 'on the fly' (unless
> you are willing to test their idea out with real money).
>
> (Now that I have said that someone will probably jump up and say that
> you can do it in AB).
>
> I use a lot of basic stats in my work so I am interested in your
> comments - I describe myself as a naive mathematician though.
>
> Re statistical ranges with assigned probability levels (like a
> probability cone?).
>
> I think you need to be absolutely clear what it is you are asking for
> before you can consider if it can be done e.g. they talk about
> something called "statistical range projections" and somewhere else
> the "average bar range and vol" (they don't say how many bars the
> average is calculated over) - are they related to each other or
> separate?
>
> Whether or not you can model your ideas depends on how complex the
> model is that you envisage.
> My model might be entirely different to yours so wouldn't we first
> have to agree on the model?
>
> Anyway AB definitely doesn't do frequency distributions and/or plot
> them.
>
>
> > 2. I would like to do a statistical analysis of how often Pivot
> Point
> > S/R levels hold and see if there is any correlation to ATR.
> >
>
> I guess by Pivots that you mean the (H+L+C)/3 version?
> Once again you would need to clarify exactly what you want to do.
> Possibly you are mixing two ideas together there.
>
> In Howard's book,Quantitative Trading Systems, he uses a 'hold for x
> days' stategy to benchmark entries, which is a fair enough method.
> Volatility band crosses e.g. ATR bands is another method that I have
> used.
>
> Pivot S/R lines I would consider more as an exit method so I would
> test the efficiency of them as an exit strategy (stop loss and profit
> stop) in a different way (from memory Howard also gives example
> methods for doing that).
>
> I have done similar things using very simple, albeit rather tedious
> methods, within AB (it is a good place to do it because I get the
> visuals with the charts and also the Reports from Explorer to back up
> the study). I start with the simplist logic that I can boil it all
> down to and then see if I can do it in AB - if I can't, and it is
> important, then it is time to go to another program - so far I
> haven't found the need to use Matlab or similar.
>
> Not to dissuade you though - often our own ideas (hunches) lead us to
> the best outcomes, or 'learnings', when we follow them - I am just
> suggesting you power up the ideas.
>
> > 3. I would like to do a statistical analysis to see if there is any
> > bias as to when (time of day) the high and low occur.
> >
>
> Kaufman provides a nice intro to this type of analysis in his
> book "New Trading Systems and Methods" e.g. for S&P futures the H/L
> near the opening or close are significant.
>
> Pretty easy in AB if you have the data and the patience.
>
> > Does Amibroker have any built in functionality that makes these kind
> > of calculations easy?
> >
> > Bill
> >
>
> Apparently it does!
>
> So far I seldom use any of the stats functions and I have done
> everything I wanted to do using simple methods.
> I do work a lot in my head though - so that the 'lab tests' are well
> organised,, and meaningful, by the time I get to do them (I analyse
> to prove, or disprove, the hypothesis not to find one).
>
> I do use Excel a lot because I am familiar with it (at an average
> level of competency) - why scratch around trying to do stats analysis
> in AB, or another maths program, when I can have the job over and
> done in Excel - it is actually only two clicks away from AB (from the
> users point of view what difference would it make if YTomasz built-in
> stats analysis - it would still be two clicks away at any given time -
> I doubt if Tomasz will ever build the functionality of Excel into AB
> anyway- after all Excel is a powerhouse in its own right so why
> reinvent the wheel - it's just as easy to export to a specialist
> maths/stats/graph program if you need it.
>
> FYI
>
> I did spend 100's or 1000's of hours in Excel studying the 'null
> hypothesis' - the 'random walk' - otherwise known as an RNG (not a
> super-dooper one I know but good enough for my purposes).
>
> "Sometimes the best way find out 'what is' is to get a handle
> on 'what isn't', especially if the little bugger is proving a bit
> slippery to get a hold on.
>
> Here's to lots more stats fun in the future!
>
> brian_z
>
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