Statistics question

Discussion in 'Trading' started by bozwood, Oct 27, 2005.

  1. I've done this recently... I'll see if I can find the sheet for you tonight.

    - The New Guy
     
    #11     Oct 27, 2005
  2. kilbasa2

    kilbasa2

    Calculate the slope in absolute units then divide by the ATR (average true range) or a similar measure of volatility.
     
    #12     Oct 27, 2005
  3. (Linear Regression Slope) gives you points per day.

    100*((Linear Regression Slope) / (today's close)) gives you percent per day. Probably this is what you want if you are comparing two stocks.

    (Linear Regression Slope) / (5 day EMA of True Range) gives you ATR's per day. Probably this is what you want if you are comparing two commodities, especially when using backadjusted continuous contracts.
     
    #13     Oct 27, 2005
  4. Bsulli

    Bsulli

    This is fairly close to what your looking for.
    http://gummy-stuff.org/raff-regression.htm

    or look around is site, tons of stuff. Gummy Rules!

    http://gummy-stuff.org/

    all spreadsheets can be downloaded for free.


    :)
     
    #14     Oct 27, 2005
  5. #15     Oct 28, 2005
  6. Use the log of the price series rather than the price series itself.

    That way the slope of the linear regression equals (Δprice/price)/Δtime rather than Δprice/Δtime.
     
    #16     Oct 28, 2005
  7. bozwood

    bozwood

    Thanks everyone for the suggestions.
     
    #17     Nov 2, 2005