Rank: Newbie
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Joined: 5/8/2012(UTC)
Views messages in topic : 3
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Hello,
I basically want to run a correlation between two stocks ONLY on periods where the return of the first stock is positive- that is, if I have the data set:
Period Return_1
1 -2
2 8
3 -4
4 3
I would correlate Return_1 with another return using only periods 2 and 4.
I'm new to Metastock but I can't find any information on this... the "filter" tab only seems to be for filtering out securities, not filtering out periods. Can this be done in metastock?
Thanks!
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users
Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
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Huh? If you want to create a data array containing only the positive values, this cannot be in MS, you'd have to do the correlation externally. If you just want to replace any negative values with zero and correlate the two arrays: Code:
prd:=20;
shift:=0;
indep:=roc(c,1,%);
dep:=security(wherever,roc(c,1,%));
indep:=(indep>0)*indep;
dep:=(dep>0)*dep;
{plot}
correl(indep,dep,prd,shift);
RTFM and do the exercises in the free Equis formula primer; you'll learn what the explorer is, what the filter does and how to use them with code you write yourself. wabbit [:D]
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