Hi
I'm not sure if one is more correct than the other, but I'm having funky issues with R squared code.
Using the code below and applying it to Russell 1000 Historical constituents data from Premium Data, the final variable normVolAdjMomentum, which I want to display a numerical range value from 0-100, occasionally far exceeds that value. Can anybody point out why, please?
Filter = 1;
regSlope = LinRegSlope( C, 90 );
exRegSlope = exp( regSlope );
AddColumn( regSlope, "regSlope" );
AddColumn( exRegSlope, "exRegSlope" );
rSquared = Correlation( BarIndex(), C, 90 ) ^ 2;
//rSquared = Correlation( Cum( 1 ), C, 90 ) ^ 2;
volAdjMomentum = exRegSlope * rSquared;
AddColumn( rSquared, "rSquared" );
AddColumn( volAdjMomentum, "volAdjMomentum" );
normVolAdjMomentum = volAdjMomentum * 100;
AddColumn( normVolAdjMomentum, "normVolAdjMo" );
Posted by: sladbrook@hotmail.com
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