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 ....
WiseTrader Toolbox
#1 Selling Amibroker Plugin featuring:
Advanced Adaptive Indicators
Advanced Pattern Exploration
Neural Networks
And Much More ....
BoH Risk Aversion Indicator for Amibroker (AFL)
Rating:
4 / 5 (Votes 4)
Tags:
oscillator, amibroker
Betting on Harmonics replicated RGE’s Risk Aversion Indicator which is a macro approach for measuring investors’ risk appetite. The indicator is computed by taking the correlation between rank of returns and volatility in the market over the past 21 days. Being a correlation, the indicator oscillates between -1 and 1.
This is an excellent addition to one’s tool box for gauging risk appetite using market volatility.
http://genkumag.wordpress.com/
Screenshots
Similar Indicators / Formulas
Febo RSI ..real indicator
Submitted
by abhinavsingh about 13 years ago
Trading Volume Statistic
Submitted
by tuanstock1 over 10 years ago
Ergodic Oscillator
Submitted
by dljtrader about 14 years ago
3 Days Track
Submitted
by janet0211 over 14 years ago
Chande Momentum Oscillator
Submitted
by klimpek about 14 years ago
Inverse Fisher Transform Stochastic Oscillator
Submitted
by northstar about 13 years ago
Indicator / Formula
Copy & Paste Friendly
_SECTION_BEGIN( "BoH Risk Aversion Indicator" );
//MyPercentRank Function as Coded by Ramon Cummins
function MyPercentRank( Data, Periods )
{
Count = 0;
for( i = 1; i < Periods + 1 ; i++ )
{
Count = Count + IIf( Ref( Data, 0 ) > Ref( Data, -i ), 1, 0 );
}
return 100 * Count / Periods;
}
function RAI( Length )
{
PCHG = ( C / Ref( C, -1 ) );
xRR = MyPercentRank( PCHG, 252 );
Vol = StDev( PCHG, 252 ) * 3.1;
xRAI = Correlation( xRR, Vol, Length );
return xRAI;
}
//RAI Plot
Length = Param( "Correlation Period", 21, 1, 300, 1 );
xRAI = RAI( Length );
Plot( xRAI, "", colorGreen, styleThick );
Plot( 0, "", colorDarkRed, styleThick | styleNoLabel );
Plot( 0.2, "", colorDarkRed, styleDashed | styleNoLabel );
Plot( -0.2, "", colorDarkRed, styleDashed | styleNoLabel );
_SECTION_END();6 comments
Leave Comment
Please login here to leave a comment.
Back
Values above 0.20 correspond to RISK TAKING
Values below -0.20 correspond to RISK AVERSE
Values between -0.20 and 0.20 correspond to RISK NEUTRAL
Get error unless change name of PercentRank() which is a built-in function but it is not needed as it is exactly the same result as the built-in.
AFL NOT WORKING IN 5.40 VERSION OF AMIBROKER.
@admin
dear sir, can you please correct the code…it ain’t working sir.
i’ll be very grateful of you .
thanks.
Try it now. I have renamed the rank function from ‘PercentRank’ to ‘MyPercentRank’. If your Amibroker version is not ancient you can remove the function altogether and use the built in version.
@admin
thanks sir. it worked and was really helpful.