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Imothep  
#1 Posted : Saturday, October 8, 2005 11:57:58 AM(UTC)
Imothep

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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:
StorkBite  
#2 Posted : Saturday, October 8, 2005 3:58:29 PM(UTC)
StorkBite

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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!
Imothep  
#3 Posted : Saturday, October 8, 2005 8:49:02 PM(UTC)
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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:
StorkBite  
#4 Posted : Saturday, October 8, 2005 9:18:27 PM(UTC)
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What is inaccurate about it? Inaccuarate compared to what?
Imothep  
#5 Posted : Saturday, October 8, 2005 9:43:55 PM(UTC)
Imothep

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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))
Imothep  
#6 Posted : Sunday, October 9, 2005 10:50:57 AM(UTC)
Imothep

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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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