Indicators

Indicators

Correlation of Strategies

Today’s post is a follow up of my previous post Looking at Correlation. In the first post I looked at correlation of the 7 ETFs that are used in the WTAA strategy that is one of the featured strategies of this blog.  I provided Amibroker code to create a correlation table and code to create a correlation indicator.
In this post I will be exploring the correlation between the 3 strategies described in the blog: WTAA, MEOM and DVI strategy.

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Looking at Correlation

Recently I started to look a bit more closely at correlation. From any book/article on Modern Portfolio Theory, one can learn that diversification improves the return/risk ratio. Through adding assets the overall return/risk ratio of the total portfolio improves as it moves towards the efficient frontier.  The main driver of this improvement is the diversification that is brought by (less) correlated assets. Triggered by this thought I started to look at correlation of assets and correlation of strategies

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DV2 Indicator for Amibroker

Following my post on the DVI system, a reader asked me to post the DV2 indicator code for Amibroker. As the  code is available over at MarketSci in MS Excel sheet, I felt I can share my Amibroker translation. So here it is (the bounded version): function DV2(Length) { d1= ( C  /  ((H+L)/2) ) … Read more

DVI Indicator for Amibroker

In view of the series by Michael Stokes on the DVI indicator developed by David Varadi I have translated the code  into an Amibroker indicator. Have fun with it! // —- Functions Used by the indicator — function PercentRank( Data, Periods ) { Count = 0;    for ( i = 1; i < Periods … Read more