| PBorden |
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Member, TeleChart
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| Registered User |
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| Unsure |
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| Monday, April 30, 2007 |
| Tuesday, September 25, 2007 11:04:32 AM |
5
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Is there a correlation function in blocks? That plots the correlation coefficient?
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Currently I have created a backscan where, for buys,
stocks are ranked versus their industry for one month and purchased if in the top decile. Sells are based on a one-month hold time. Therefore, a one-month formation period is followed by a one-month hold.
However, if the stock in question continues to rank highly during the hold period, it will be purchased again once the hold closes out. Thus, buy signals seem to cascade one after another in certain names.
I'd like to institute a period of time following an entry where the name in question cannot be purchased for another, say, 6 months or so. Is this possible?
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I'd like an answer to this as well:
Regarding backscan entry signals:
On the day of the entry signal, what is the soonest I can get delivery of those entry signals? Is it at 10am, once day-of delayed data becomes available? Or can I see these entries the night before? Or even at, say, 6am the day of?
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I'm looking for a way to display the logarithmic returns of a name in blocks player. Specifically, as defined by
St = ln(Pt/P(t-1))
where St = log return @ time t
Pt = price at time t
Any suggestions?
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