StockFetcher Forums · Filter Exchange · Need help with Rsquared filter...<< >>Post Follow-up
37 posts
msg #32235
Ignore siliconhippy
6/2/2004 11:41:59 PM

Hey Folks,

Was trying to write an Rsquared (coefficient of determination)filter as below, but must have had syntax errors (0 matches.)

Rsq values vary between 1 and 0, 1 being a perfect straight line chart.

See legend after filter. Please help !

Rsq>0.90UpVol FILTER
set{avgvalue, sum(close,90)/90}
set{sqdiff, (close - avgvalue)*(close - avgvalue)}
set{SSE, sum(sqdiff, 90)}
set{SST, (90*standard deviation(90)*standard deviation(90))}
set{Rsq, (1- SSE/SST)}
show stocks where Rsq is above 0.90 and average volume is above 100000 and volume is above 125000 and volume has been increasing for 3 days

Where Rsquared= 1 - SSE/SST

SSE = Sum [(Y(i)-avgY(i))**2] over all i=1,...,n, say n= last 90 days SST = Sum[Y(i)**2] - (1/n)* [SumY(i)}**2 avgY(i)= Sum Y(i)/n = SUM(close,90)/90 where n=90

Therefore, SST(n) = n * standard deviation(90)**2 n=90
SF has the above function, as STANDARD DEVIATION(period, avg period) and also SUM(IND, LENGTH)



235 posts
msg #32249
Ignore cegis
6/3/2004 2:35:51 PM


If I'm not mistaken, you can only use one arithmetic operation per set{} command. Therefore, you'll need to break apart lines 2, 4 and 5 into multiple set{}'s. (Eg., for line 2 you'd need set{sd1,close - avgvalue} set{sqdiff, sqd1 * sqd1})

Oh, yeah. There's a rsquared function now, too!



2 posts
msg #32266
Ignore bdfox
6/4/2004 1:36:35 PM

R squared function already exists but the annoucement of it may have gotten corrupted use "R squared(14)" ref for a 14 day period

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