Calculate boundries within which $r$ remains above a critical value given correlation coefficient $(x,f(x)) =...
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I'm experimenting with a trading indicator based on the correlation of the closing price of a day and the simple moving average of P periods. When the correlation is above certain threshold, I need to determine at what closing price the correlation of this day will be go below that threshold.
Example:
y, is the simple moving average of 5 periods, starting at t4.
r, is calculated with previous 5 periods.
t0: x0=1, y0=(1)/1
t1: x1=2, y1=(1+2)/2
t2: x2=3, y2=(1+2+3)/3
t3: x3=4, y3=(1+2+3+4)/4
t4: x4=5, y4=(1+2+3+4+5)/5 ,r4=1
t5: x5=7, y5=(2+3+4+5+7)/5 ,r5= 0.9974
t6: x6=6, y6=(3+4+5+7+6)/5 ,r6=0.8826
t7: x7=8, y7=(4+5+7+6+8)/5 ,r7= 0.906
t8: x8=9, y8=(5+7+6+8+9)/5 ,r8= 0.917
Q: t9: x9=?, y9=(7+6+8+9+x9)/5, r9=0.9
How do I get x9 (nearest to x8) for r9=0.9.
I'd like to know if there's a general solution so that f(x) may not necessarily be the simple moving average but another linear function.
Thanks in advance.
Update:
Excel Worksheet
In the previous example, y12 is calculated based on x12 and y11. So, in this case I just need to know x12 to calculate r12. But What I want is the value of x13 at which r13 crosses certain limit which is closer to x12 (I'm thinking that in this example that value should be higher than x12).
For now I'm just using a loop to determine that value calculating r in each loop untill I get an approximated value that crosses the limit but I don't like it.
correlation
asked Nov 16 at 5:54
Pedro S.
11
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show 1 more comment
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I'm experimenting with a trading indicator based on the correlation of the closing price of a day and the simple moving average of P periods. When the correlation is above certain threshold, I need to determine at what closing price the correlation of this day will be go below that threshold.
Example:
y, is the simple moving average of 5 periods, starting at t4.
r, is calculated with previous 5 periods.
t0: x0=1, y0=(1)/1
t1: x1=2, y1=(1+2)/2
t2: x2=3, y2=(1+2+3)/3
t3: x3=4, y3=(1+2+3+4)/4
t4: x4=5, y4=(1+2+3+4+5)/5 ,r4=1
t5: x5=7, y5=(2+3+4+5+7)/5 ,r5= 0.9974
t6: x6=6, y6=(3+4+5+7+6)/5 ,r6=0.8826
t7: x7=8, y7=(4+5+7+6+8)/5 ,r7= 0.906
t8: x8=9, y8=(5+7+6+8+9)/5 ,r8= 0.917
Q: t9: x9=?, y9=(7+6+8+9+x9)/5, r9=0.9
How do I get x9 (nearest to x8) for r9=0.9.
I'd like to know if there's a general solution so that f(x) may not necessarily be the simple moving average but another linear function.
Thanks in advance.
Update:
Excel Worksheet
In the previous example, y12 is calculated based on x12 and y11. So, in this case I just need to know x12 to calculate r12. But What I want is the value of x13 at which r13 crosses certain limit which is closer to x12 (I'm thinking that in this example that value should be higher than x12).
For now I'm just using a loop to determine that value calculating r in each loop untill I get an approximated value that crosses the limit but I don't like it.
correlation
asked Nov 16 at 5:54
Pedro S.
11
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
Nov 16 at 6:16
Just added an example. Thanks.
– Pedro S.
Nov 16 at 11:30
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
Nov 16 at 12:23
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
Nov 16 at 13:09
I don't have a solution for you, but maybe someone else does? So, I'll try to put your question in symbols: Given a series X=$[x_1, x_2, ... x_n, ...]$ and a function $y_k = f(x, k) = f_k(x_{k-i+1}, x_{k-i+2},..., x_{k})$, you want to know if it possible to find the range of $x_{n+1}$ given $x_1$ to $x_n$, such that $y_{n+1} le r$. Am I correct, or did I miss something?
– tpb261
Nov 19 at 12:07
|
show 1 more comment
up vote
0
down vote
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up vote
0
down vote
favorite
I'm experimenting with a trading indicator based on the correlation of the closing price of a day and the simple moving average of P periods. When the correlation is above certain threshold, I need to determine at what closing price the correlation of this day will be go below that threshold.
Example:
y, is the simple moving average of 5 periods, starting at t4.
r, is calculated with previous 5 periods.
t0: x0=1, y0=(1)/1
t1: x1=2, y1=(1+2)/2
t2: x2=3, y2=(1+2+3)/3
t3: x3=4, y3=(1+2+3+4)/4
t4: x4=5, y4=(1+2+3+4+5)/5 ,r4=1
t5: x5=7, y5=(2+3+4+5+7)/5 ,r5= 0.9974
t6: x6=6, y6=(3+4+5+7+6)/5 ,r6=0.8826
t7: x7=8, y7=(4+5+7+6+8)/5 ,r7= 0.906
t8: x8=9, y8=(5+7+6+8+9)/5 ,r8= 0.917
Q: t9: x9=?, y9=(7+6+8+9+x9)/5, r9=0.9
How do I get x9 (nearest to x8) for r9=0.9.
I'd like to know if there's a general solution so that f(x) may not necessarily be the simple moving average but another linear function.
Thanks in advance.
Update:
Excel Worksheet
In the previous example, y12 is calculated based on x12 and y11. So, in this case I just need to know x12 to calculate r12. But What I want is the value of x13 at which r13 crosses certain limit which is closer to x12 (I'm thinking that in this example that value should be higher than x12).
For now I'm just using a loop to determine that value calculating r in each loop untill I get an approximated value that crosses the limit but I don't like it.
correlation
asked Nov 16 at 5:54
Pedro S.
11
I'm experimenting with a trading indicator based on the correlation of the closing price of a day and the simple moving average of P periods. When the correlation is above certain threshold, I need to determine at what closing price the correlation of this day will be go below that threshold.
Example:
y, is the simple moving average of 5 periods, starting at t4.
r, is calculated with previous 5 periods.
t0: x0=1, y0=(1)/1
t1: x1=2, y1=(1+2)/2
t2: x2=3, y2=(1+2+3)/3
t3: x3=4, y3=(1+2+3+4)/4
t4: x4=5, y4=(1+2+3+4+5)/5 ,r4=1
t5: x5=7, y5=(2+3+4+5+7)/5 ,r5= 0.9974
t6: x6=6, y6=(3+4+5+7+6)/5 ,r6=0.8826
t7: x7=8, y7=(4+5+7+6+8)/5 ,r7= 0.906
t8: x8=9, y8=(5+7+6+8+9)/5 ,r8= 0.917
Q: t9: x9=?, y9=(7+6+8+9+x9)/5, r9=0.9
How do I get x9 (nearest to x8) for r9=0.9.
I'd like to know if there's a general solution so that f(x) may not necessarily be the simple moving average but another linear function.
Thanks in advance.
Update:
Excel Worksheet
In the previous example, y12 is calculated based on x12 and y11. So, in this case I just need to know x12 to calculate r12. But What I want is the value of x13 at which r13 crosses certain limit which is closer to x12 (I'm thinking that in this example that value should be higher than x12).
For now I'm just using a loop to determine that value calculating r in each loop untill I get an approximated value that crosses the limit but I don't like it.
correlation
correlation
asked Nov 16 at 5:54
Pedro S.
11
asked Nov 16 at 5:54
Pedro S.
11
edited Nov 19 at 14:31
asked Nov 16 at 5:54
Pedro S.
11
asked Nov 16 at 5:54
Pedro S.
11
asked Nov 16 at 5:54
Pedro S.
11
11
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
Nov 16 at 6:16
Just added an example. Thanks.
– Pedro S.
Nov 16 at 11:30
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
Nov 16 at 12:23
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
Nov 16 at 13:09
I don't have a solution for you, but maybe someone else does? So, I'll try to put your question in symbols: Given a series X=$[x_1, x_2, ... x_n, ...]$ and a function $y_k = f(x, k) = f_k(x_{k-i+1}, x_{k-i+2},..., x_{k})$, you want to know if it possible to find the range of $x_{n+1}$ given $x_1$ to $x_n$, such that $y_{n+1} le r$. Am I correct, or did I miss something?
– tpb261
Nov 19 at 12:07
|
show 1 more comment
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
Nov 16 at 6:16
Just added an example. Thanks.
– Pedro S.
Nov 16 at 11:30
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
Nov 16 at 12:23
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
Nov 16 at 13:09
I don't have a solution for you, but maybe someone else does? So, I'll try to put your question in symbols: Given a series X=$[x_1, x_2, ... x_n, ...]$ and a function $y_k = f(x, k) = f_k(x_{k-i+1}, x_{k-i+2},..., x_{k})$, you want to know if it possible to find the range of $x_{n+1}$ given $x_1$ to $x_n$, such that $y_{n+1} le r$. Am I correct, or did I miss something?
– tpb261
Nov 19 at 12:07
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
Nov 16 at 6:16
I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
Nov 16 at 6:16
Just added an example. Thanks.
– Pedro S.
Nov 16 at 11:30
Just added an example. Thanks.
– Pedro S.
Nov 16 at 11:30
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
Nov 16 at 12:23
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
Nov 16 at 12:23
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
Nov 16 at 13:09
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
Nov 16 at 13:09
I don't have a solution for you, but maybe someone else does? So, I'll try to put your question in symbols: Given a series X=$[x_1, x_2, ... x_n, ...]$ and a function $y_k = f(x, k) = f_k(x_{k-i+1}, x_{k-i+2},..., x_{k})$, you want to know if it possible to find the range of $x_{n+1}$ given $x_1$ to $x_n$, such that $y_{n+1} le r$. Am I correct, or did I miss something?
– tpb261
Nov 19 at 12:07
I don't have a solution for you, but maybe someone else does? So, I'll try to put your question in symbols: Given a series X=$[x_1, x_2, ... x_n, ...]$ and a function $y_k = f(x, k) = f_k(x_{k-i+1}, x_{k-i+2},..., x_{k})$, you want to know if it possible to find the range of $x_{n+1}$ given $x_1$ to $x_n$, such that $y_{n+1} le r$. Am I correct, or did I miss something?
– tpb261
Nov 19 at 12:07
|
show 1 more comment
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I'm not sure I understand your problem. Can you give a small example and update the question?
– tpb261
Nov 16 at 6:16
Just added an example. Thanks.
– Pedro S.
Nov 16 at 11:30
I think this example might be not enough to understand the problem. At least for me.
– Jaroslaw Matlak
Nov 16 at 12:23
@Jaroslaw Matlak , I changed the example, I hope it's clearer.
– Pedro S.
Nov 16 at 13:09
I don't have a solution for you, but maybe someone else does? So, I'll try to put your question in symbols: Given a series X=$[x_1, x_2, ... x_n, ...]$ and a function $y_k = f(x, k) = f_k(x_{k-i+1}, x_{k-i+2},..., x_{k})$, you want to know if it possible to find the range of $x_{n+1}$ given $x_1$ to $x_n$, such that $y_{n+1} le r$. Am I correct, or did I miss something?
– tpb261
Nov 19 at 12:07