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Hi,
Would anyone be able to code in MSFL the covariance formula ?
Here is the equation (excerpt from Excel) :
Any help would be greatly appreciated,
Thanks in advance :wink:
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Rank: Advanced Member
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Hey Imothep-
Post what you have so far and let's see if we can help you figure this out. Are you trying to compare 2 securities or 2 folders of securities? What data are you comparing? OHLCV or comething else? Your request is vague.
Peruse the posting guidelines to get the most out of your requests.
Thanks!
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Rank: Member
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Oh sorry g_stockman :oops:
Actually, I am trying to calculate the Bêta. I know the formula is given in the "Indicator QuickList" but it is inaccurate.
Thanks for your help :wink:
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Rank: Advanced Member
Groups: Registered, Registered Users
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What is inaccurate about it? Inaccuarate compared to what?
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Rank: Member
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g_stockman wrote:What is inaccurate about it? Inaccuarate compared to what?
Hi g_stockman,
I meant the formula provided by Metastock (see below) to calculate the Bêta is wrong.
Thanks for your help
(( 21 * Sum( ROC( CLOSE,1,%) * ROC( INDICATOR,1,%),21))-
( Sum( ROC( CLOSE,1,%),21) * Sum( ROC( INDICATOR,1,%), 21)))
/
(( 21 * Sum( Pwr( ROC( INDICATOR,1,%),2),21)) -
Pwr( Sum( ROC( INDICATOR,1,%),21),2))
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Rank: Member
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Joined: 8/28/2005(UTC)
Posts: 25
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Hi g_stockman,
I am really very sorry but in fact the Bêta formula provided by Mestastock is correct ! My fault :oops: :oops: :oops:
(( 21 * Sum( ROC( CLOSE,1,%) * ROC( INDICATOR,1,%),21))-
( Sum( ROC( CLOSE,1,%),21) * Sum( ROC( INDICATOR,1,%), 21)))
/
(( 21 * Sum( Pwr( ROC( INDICATOR,1,%),2),21)) -
Pwr( Sum( ROC( INDICATOR,1,%),21),2))
You have to replace the variable "INDICATOR" by the index (i.e. Nasdaq Composite).
Sorry for my mistake :oops:
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