Beta coefficient

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04/03/2017 at 7:28 AM #30777 quote

Rohan
Participant

Junior

Good morning guys,

Hope you are well. I see some investors use a beta coefficient [Beta = correlation(STD of market/STD of index)], where the correlation and standard deviation is based on returns (close – close[1])/close[1]. I am interested in testing beta in a trading strategy but I need a correlation function with an index.

Can someone help me build a beta indicator?

Kind regards

04/03/2017 at 7:59 PM #30885 quote

Derek
Participant

Veteran

Hi Rohan!

I don’t think this is possible. You can add another market or index to your chart visually but there is no way to make calculations with the second set of data.

Nicolas thanked this post

04/04/2017 at 7:41 AM #30909 quote

Rohan
Participant

Junior

Thanks Derek. Hmmm, too bad. I hoped that the new 10.3’s correlation coefficient might allowed it.

Would really like to test that since some portfolio management also uses beta a lot.

Thanks anyway 🙂

04/04/2017 at 6:43 PM #31028 quote

Derek
Participant

Veteran

My PRT go-to solution is to create an indicator containing all values from the second index/indicator.

If opendate=04042017 then

Index=100

Elsif opendate=…

If you have enough patience it can help.
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Beta coefficient

ProBuilder: Indicators & Custom Tools

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Rohan @rohanposthumus Participant

Summary

This topic contains 3 replies,
has 2 voices, and was last updated by Derek
8 years, 11 months ago.

Topic Details

Forum:	ProBuilder: Indicators & Custom Tools
Language:	English
Started:	04/03/2017
Status:	Active
Attachments:	No files

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