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BoH Risk Aversion Indicator for Amibroker (AFL)

genkumag over 14 years ago 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

Indicator / Formula

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_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

1. genkumag
over 14 years ago

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

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2. ole
over 14 years ago

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.

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4. chetan ninganiya
over 8 years ago

@admin

dear sir, can you please correct the code…it ain’t working sir.

i’ll be very grateful of you .

thanks.

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5. administrator
over 8 years ago

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.

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