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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/
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Indicator / Formula
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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 | _SECTION_BEGIN( "BoH Risk Aversion Indicator" );//MyPercentRank Function as Coded by Ramon Cumminsfunction 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 PlotLength = 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(); |
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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.