Построение и анализ эффективности инвестиционных стратегий для финансовых рынков на основе простой регрессионной модели, страница 9

Ref( Mov(C, Periods,S)-Bcoef*Mov(Ref(C,-1),Periods,S)- Ccoef*Mov(Ref(C,-2),Periods,S) + Bcoef*C + Ccoef* Ref(C,-1),-1)

Индикаторыоценоккоэффициентовавторегрессии

Acoef

Periods:= Input("periods=",12, 120, 24);

Cor01:=Correl(C, Ref(C, -1), Periods, 0);

Cor02:=Correl(C, Ref(C, -2), Periods, 0);

Cor12:=Correl(Ref(C, -1), Ref(C, -2), Periods, 0);

S2:=Power(Stdev(Ref(C,-2),Periods),0.5);

S1:=Power(Stdev(Ref(C,-1),Periods),0.5);

S0:=Power(Stdev(C,Periods),0.5);

Ccoef:=S0*(Cor02- Cor01* Cor12)/(S2*(1-Cor12* Cor12));

Mov(C, Periods,S)-((Cor01* S0-Ccoef*Cor12*S2) / S1)*Mov(Ref(C,-1),Periods,S)- Ccoef*Mov(Ref(C,-2),Periods,S)

Bcoef

Periods:= Input("periods=",12, 120, 24);

Cor01:=Correl(C, Ref(C, -1), Periods, 0);

Cor02:=Correl(C, Ref(C, -2), Periods, 0);

Cor12:=Correl(Ref(C, -1), Ref(C, -2), Periods, 0);

S2:=Power(Stdev(Ref(C,-2),Periods),0.5);

S1:=Power(Stdev(Ref(C,-1),Periods),0.5);

S0:=Power(Stdev(C,Periods),0.5);

(Cor01* S0-( S0*(Cor02- Cor01* Cor12)/(S2*(1-Cor12* Cor12)) )*Cor12*S2) / S1

Ccoef

Periods:= Input("periods=",12, 120, 24);

Cor01:=Correl(C, Ref(C, -1), Periods, 0);

Cor02:=Correl(C, Ref(C, -2), Periods, 0);

Cor12:=Correl(Ref(C, -1), Ref(C, -2), Periods, 0);

S2:=Power(Stdev(Ref(C,-2),Periods),0.5);

S1:=Power(Stdev(Ref(C,-1),Periods),0.5);

S0:=Power(Stdev(C,Periods),0.5);

S0*(Cor02- Cor01* Cor12)/(S2*(1-Cor12* Cor12))

CBcoef

Periods:= Input("periods=",12, 120, 24);

Cor01:=Correl(C, Ref(C, -1), Periods, 0);

Cor02:=Correl(C, Ref(C, -2), Periods, 0);

Cor12:=Correl(Ref(C, -1), Ref(C, -2), Periods, 0);

S2:=Power(Stdev(Ref(C,-2),Periods),0.5);

S1:=Power(Stdev(Ref(C,-1),Periods),0.5);

S0:=Power(Stdev(C,Periods),0.5);

S0*(Cor02- Cor01* Cor12)/(S2*(1-Cor12* Cor12)) ;

(Cor01* S0-S0*(Cor02-Cor01* Cor12)/(S2*(1-Cor12* Cor12)) *Cor12*S2)/S1

CBcoef_ma

Periods:= Input("AR periods=",12, 120, 24);

par:= Input("MA periods=",1, 120, 5);

Cor01:=Correl(C, Ref(C, -1), Periods, 0);

Cor02:=Correl(C, Ref(C, -2), Periods, 0);

Cor12:=Correl(Ref(C, -1), Ref(C, -2), Periods, 0);

S2:=Power(Stdev(Ref(C,-2),Periods),0.5);

S1:=Power(Stdev(Ref(C,-1),Periods),0.5);

S0:=Power(Stdev(C,Periods),0.5);

Mov(S0*(Cor02- Cor01* Cor12)/(S2*(1-Cor12* Cor12)), par, S);

Mov( (Cor01* S0-S0*(Cor02-Cor01* Cor12)/(S2*(1-Cor12* Cor12)) *Cor12*S2)/S1, par, S)

CBcoef CorIndictr

{Корреляция коэффициентов}

Periods:= Input("periods=",12, 120, 24);

Cor01:=Correl(C, Ref(C, -1), Periods, 0);

Cor02:=Correl(C, Ref(C, -2), Periods, 0);

Cor12:=Correl(Ref(C, -1), Ref(C, -2), Periods, 0);

S2:=Power(Stdev(Ref(C,-2),Periods),0.5);

S1:=Power(Stdev(Ref(C,-1),Periods),0.5);

S0:=Power(Stdev(C,Periods),0.5);

Ccoef:=S0*(Cor02- Cor01* Cor12)/(S2*(1-Cor12* Cor12));

Bcoef:=(Cor01* S0-Ccoef*Cor12*S2) / S1;

Correl(Ccoef,Bcoef, Periods,0)

Индикатор ошибки прогноза

fcstAR2_error

Periods:= Input("periods=",12, 120, 24);

Cor01:=Correl(C, Ref(C, -1), Periods, 0);

Cor02:=Correl(C, Ref(C, -2), Periods, 0);

Cor12:=Correl(Ref(C, -1), Ref(C, -2), Periods, 0);

S2:=Power(Stdev(Ref(C,-2),Periods),0.5);

S1:=Power(Stdev(Ref(C,-1),Periods),0.5);

S0:=Power(Stdev(C,Periods),0.5);

Ccoef:=S0*(Cor02- Cor01* Cor12)/(S2*(1-Cor12* Cor12));

Bcoef:=(Cor01* S0-Ccoef*Cor12*S2) / S1;

Ref( Mov(C, Periods,S)-Bcoef*Mov(Ref(C,-1),Periods,S)- Ccoef*Mov(Ref(C,-2),Periods,S) + Bcoef*C + Ccoef* Ref(C,-1),-1)-C

Индикатор относительной ошибки прогноза

Periods:= Input("periods=",12, 120, 24);

Cor01:=Correl(C, Ref(C, -1), Periods, 0);

Cor02:=Correl(C, Ref(C, -2), Periods, 0);

Cor12:=Correl(Ref(C, -1), Ref(C, -2), Periods, 0);

S2:=Power(Stdev(Ref(C,-2),Periods),0.5);

S1:=Power(Stdev(Ref(C,-1),Periods),0.5);

S0:=Power(Stdev(C,Periods),0.5);

Ccoef:=S0*(Cor02- Cor01* Cor12)/(S2*(1-Cor12* Cor12));

Bcoef:=(Cor01* S0-Ccoef*Cor12*S2) / S1;

F:=Ref( Mov(C, Periods,S)-Bcoef*Mov(Ref(C,-1),Periods,S)- Ccoef*Mov(Ref(C,-2),Periods,S) + Bcoef*C + Ccoef* Ref(C,-1),-1);