Rank: Advanced Member
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Joined: 1/25/2010(UTC)
Posts: 44
Location: Rome, IT
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Hi Everybody,
below the Risk Metrics code for Metastock by JP Morgan:
lambda:=Input("Lambda factor",0.01,0.8,0.10);
returns:= 100*Log(C/Ref(C,-1));
avgreturns:= PREV*(1-lambda )+ returns*lambda;
vola:=Sqr(Power(PREV,2)*(1-lambda)+lambda*Power(returns-avgreturns,2));
vola;
Is it possible obtain the same or similar result without PREV function?
Thanks
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 7/25/2005(UTC)
Posts: 1,042
Was thanked: 57 time(s) in 54 post(s)
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Hi Leverage
For the "avgreturns" variable substitute this:
periods:=2*(1/lambda)-1;
avgreturns:=Mov(",returns,periods,E);
or this.
periods:=2*(1/lambda)-1;
avgreturns:=ExtFml("MSTT.EMA",returns,Periods);
The standard Mov() function cannot handle fractional "period" values whereas the MSTT.EMA DLL function can.
For "vola" I have no idea.
Roy Edited by user Wednesday, January 14, 2015 12:03:55 AM(UTC)
| Reason: spelt word wrongly
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