Re: [Komunitas AmiBroker] Tanya Alpha & Beta

Khan ada tulisan di bawah :

Kalau rsquarednya 1 atau mendekati 1 artinya trendnya kuat. Kalau trendnya turun dan r2 mendekati 1 maka trend turunnya valid.

Sedangkan alpha adalah :

alpha is the significance level used to compute the confidence level, e.g. an alpha of 0.05 indicates a 95 percent confidence level.

Beta adalah :

Tingkat volatilitas suatu saham terhadap index. Bila beta saham terhadap index 2, artinya bila index +3% maka saham tsb naik 6%.

Kalau R-squared saya selalu padukan dengan critical value, jadi dalam suatu kondisi trend up dan  R2 dalam  periode tsb lebih besar dari crit valuenya, maka bisa dikatakan trend up tsb valid!

Rgds

H1

On Fri, Dec 17, 2010 at 11:43 AM, Christopher Tahir <chris_tahir@ymail.com> wrote:

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:
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