It is possible to code the beta(cov(x,,y)/var(y))? variance and covariance

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  • 12/08/2020 at 7:08 PM #152990 quote
    babula
    Participant
    New

    I can´t how to create the beta indicator cause within the indicator i don´t know how to get  the var of the marekt  and also how to get the cov (stock,market).

     

    Thx

    12/09/2020 at 2:23 PM #153090 quote
    Nicolas
    Keymaster
    Master

    You are talking about Covariance and Variance of a data serie:

    length = 10
srca = open
srcb = close
a = ((srca-srca[1])/srca[1]*100)
b = ((srcb-srcb[1])/srcb[1]*100)
aavg = average[length](a)
bavg = average[length](b)
sum = 0
for i = length downto 0 do 
 sum=sum+((a[i]-aavg)*(b[i]-bavg))
next 

covariance = sum/(length-1)

return covariance
    12/09/2020 at 2:33 PM #153092 quote
    Nicolas
    Keymaster
    Master

    Variance indicator formula:

    t   = 10 //Lookback
k   = 2 //Single VRT Sampling Period
src = customclose

x = log(src/src[1])
xk = log(src/src[k])
mean = average[t](x)
sum = 0
for i = 0 to t-1-k do 
sum=sum+(square(xk[i]-mean*k))
next
m = k * (t - k + 1) * (1 - (k/t))
variance = sum/m

return variance
    08/19/2023 at 3:12 PM #219339 quote
    LucasBest
    Participant
    Average

    How is it possible to translate this instruction from Pine script, as there is only one period (length) and not 2 like in the above script for Variance ?

    "ta.variance(source,length)"

Also, as standard deviation equal the square root of the variance.
Is it possible to calculate more quickly and simply the Variance with std squared ?

Variance(src,length)=STD[length](src)*STD[length](src)

Thanks
    08/19/2023 at 3:18 PM #219340 quote
    LucasBest
    Participant
    Average

    standard deviation is simply obtained by calculating the square root of the variance, is it possible to calculate more quickly and simply the Variance with std squared

    Thanks

    08/19/2023 at 3:21 PM #219342 quote
    LucasBest
    Participant
    Average

    Sorry, i don”t understand why my reply appears like they did…

    As STD is simply obtained by calculating the square root of the variance, is it possible to calculate more quickly and simply the Variance with std squared ?

    08/19/2023 at 4:22 PM #219344 quote
    JS
    Participant
    Senior

    Hi,

    That’s right, the variance can be found by squaring the standard deviation…

    Variance= Square(Std[x](Close))

    LucasBest thanked this post
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It is possible to code the beta(cov(x,,y)/var(y))? variance and covariance


ProBuilder: Indicators & Custom Tools

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babula @babula Participant
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This topic contains 6 replies,
has 4 voices, and was last updated by JS
2 years, 5 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 12/08/2020
Status: Active
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