Stock Portfolio Organizer

The ultimate porfolio management solution.

Shares, Margin, CFD's, Futures and Forex
EOD and Realtime
Dividends and Trust Distributions
And Much More ....
For Portfolio Manager Click Here

WiseTrader Toolbox

#1 Selling Amibroker Plugin featuring:

Advanced Adaptive Indicators
Advanced Pattern Exploration
Neural Networks
And Much More ....
Find Out More Here

Spearman Indicator for Amibroker (AFL)
konidena
almost 14 years ago
Amibroker (AFL)

Rating:
5 / 5 (Votes 1)
Tags:
oscillator, amibroker

From S& C Mag February 2011

It may be possible to use the Spearman coefficient to determine trend intensity AND turning points. I wrote a program using AmiBroker to calculate this indicator (see below).

Screenshots

Similar Indicators / Formulas

3 Days Track
Submitted by janet0211 over 14 years ago
Trading Volume Statistic
Submitted by tuanstock1 over 10 years ago
Ergodic Oscillator
Submitted by dljtrader almost 14 years ago
BoH Risk Aversion Indicator
Submitted by genkumag almost 13 years ago
Chande Momentum Oscillator
Submitted by klimpek almost 14 years ago
%R ++
Submitted by reb over 14 years ago

Indicator / Formula

Copy & Paste Friendly
// Spearman indicator:
// 
// r1  - time series order
// r11 - price (close)
// r21 - internal sort table
// r22 - order of prices (close)
// This code has been written only to support findings
// described in this article. It can be modified for 
// improved efficency.
// 
/* Number of periods */
n = Param("Periods: ", 10, 5, 200, 1 );

/* Start loop and computations based on Close */

for( k = n; k <= BarCount-1; k++ )

/* Populate internal tables for n elements */

	{
		r1=0; r11 = 0; r2=0; r21=0; r22=0;
///////////////////////////////////////////////////////////////
  		for(i=n; i>=1; i--)

		{
			r1[i]  = i;
			r22[i] = i;

			r11[i] = Close[k-n+i];
			r21[i] = Close[k-n+i];
		}  // for ...
///////////////////////////////////////////////////////////////
/* Sort internal table r21 descending */

		changed = 1;
		while(changed > 0)
		{
			changed = 0;
      		for(i=1; i<=(n-1); i++)
			{
				if(r21[i+1]<r21[i])
				{
					temp = r21[i];
					r21[i] = r21[i+1];
					r21[i+1] = temp;
					changed = 1;
				}
			}   // for ....

		}   //  while ....
///////////////////////////////////////////////////////////////
      	for(i =1; i<=n; i++)

		{	
			found = 0;
			while(found < 1)
			{
				for(j =1; j<=n; j++)
				{
					if(r21[j] == r11[i])

					{
							r22[i] = j;
							found = 1;
					}

				} // for ...
			 }  // while ...

		}   // for ...
///////////////////////////////////////////////////////////////

/* Compute Spearman's rank correlation coeficient for n bars */

		absum=0;

             for(i = 1; i<=n; i++)

		{
			ab   = r1[i] - r22[i];
			ab2 = ab*ab;
			absum = absum+ab2;

		} // for ...

		coefcorr[k] = (1-(6*absum)/(n*(n*n-1))); 

/* coefcorr[k]: Spearman's rank correlation coefficient for current bar k */

	sc[k]=100*coefcorr[k];   // multiplied by 100

///////////////////////////////////////////////////////////////

}  // for k.....

//

/* Plot Spearman's rank correlation coefficient multiplied by 100 */

Plot(sc, "Spearman indicator", colorBlue, styleLine);

/* Plot 3-bar simple moving average */

Plot(MA(sc,3), "SMA(3)", colorRed, styleLine);

Title = Date()+ " " + Interval(2) +"  "+  Name()  +"  Spearman("+n+") = " + sc;

/*  end */

1 comments

1. smashdude77

NICE AFL ,CAN ANY ONE ADD BUY & SELL
WHEN BLUE LINE CROSSES RED .

THANKS IN ADVANCE.

Leave Comment

Please login here to leave a comment.

Back