Re: [Komunitas AmiBroker] Tanya Alpha & Beta

Fungsinya utk apa yah Pak H1?
Maff byk tanya...

 

Best Regards,
Christopher Tahir
Blog: http://ez-stock.blogspot.com
MSN: chris_tahir@hotmail.com
YM: chris_tahir@ymail.com

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From: Hok1 <limhok1@gmail.com>
To: amibroker-4-bei@yahoogroups.com
Sent: Fri, December 17, 2010 11:39:51 AM
Subject: Re: [Komunitas AmiBroker] Tanya Alpha & Beta

 

Ini bisa menjawab nggak ?

Rgds

H1

///Alpha AND Beta Indicators
//Ver.1.00, 2/10/02
//coded by Anthony Faragasso
//e-mail: ajf1111@epix.net  //Insert your Stock_index,Composite_index, S&P,etc. //as the **Base Market**.  MaxGraph=5;  /***Base Market************/ Mkt="^ndx";//Must be enclosed in "....."Quotations. P=Foreign(Mkt,"C",1); /**************************/  Periods=21;//Set the period of Observation   //****Beta***********************/   Beta=(( Periods * Sum(ROC( C,1) * ROC(P,1),Periods )) - (Sum(ROC(C,1),Periods) * Sum(ROC( P,1),Periods))) / ((Periods * Sum((ROC(P,1)^2 ),Periods)) - (Sum(ROC(P,1 ),Periods)^2 )); /******************************************/  //*****Alpha*********************/   Alpha=(Sum(ROC( C,1) ,Periods) - ( Beta ) * Sum( ROC( P,1) ,Periods ) )  / Periods; /******************************************/  /***R-Squared*****************/ R2=Correlation(P,C,Periods)^2; /************************************/ Graph0=Beta; Graph0Style=1; Graph1=Alpha; Graph1=(LastValue(Highest(Graph0))/LastValue(Highest(Graph1))) * Graph1; Graph1Style=1;  /**R_squared graphing*****/ //Graph2=r2; //Graph2Style=1; //Graph2Color=2; /*************************/ Title=Name()+"  "+"ALPHA "+"("+WriteVal(Alpha,format=1.2)+")"+" "+"  BETA "+"("+WriteVal(Beta,format=1.2)+")"+" "+" R_SQUARED "+"("+WriteVal(r2,format=1.2)+")";  /**Notes***/ //You've got to start with r-squared, which is an //indicator of the validity of the beta AND alpha //measures. Because the r-squared measures just how  //closely the Stock OR fund tracks the //index with which it is being compared.  //An r-squared of 1.0 indicates //A perfect match. AND, in that case, you can //trust that the beta AND alpha measures are //valid, too. But, the lower the r-squared, the less //reliable beta AND alpha measures are.   //"[Betas and alphas on] a Stock or  fund with an r-squared that's below //0.50 are completely meaningless.  //Assuming the r-squared is, say, 0.75 OR higher, you can move on to the //beta.

2010/12/17 Christopher Tahir <chris_tahir@ymail.com>

Suhu2, Suheng2, master2....
Numpang tanya nih....
Nubie ga ngerti soal Alpha & Beta + R-Squared nya mereka, ada yg bs bantu nubie??
Thanks sebelumnya...

 

Best Regards,
Christopher Tahir
Blog: http://ez-stock.blogspot.com
MSN: chris_tahir@hotmail.com
YM: chris_tahir@ymail.com

Mail to my Y!Group:
ez-stock-subscribe@yahoogroups.com

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