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Spearman Indicator for 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).
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 | // 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 */ |
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NICE AFL ,CAN ANY ONE ADD BUY & SELL
WHEN BLUE LINE CROSSES RED .
THANKS IN ADVANCE.