Hey guys
I created a study for TOS (expected Rate of Return) - just wondering if someone can help me tweak it.
it is as follows:
declare lower;
input length = 5;
input returnLength = 1;
input index = {default DJUSHC, SPX, "Nasdaq Composite", NDX, Dow30, "Russell 2000"};
Assert(returnLength > 0, "'return length' must be positive: " + returnLength);
def primary = if close[returnLength] == 0 then 0 else (close - close[returnLength]) / close[returnLength] * 100;
def logic;
switch (index) { case SPX: logic = close("SPX");
case "Nasdaq Composite": logic = close("COMP");
case NDX: logic = close("NDX");
case "Dow30": logic = close("$DJI");
case "Russell 2000": logic = close("RUT");
case "DJUSHC": logic = close("$DJUSHC");
}
def secondary = if logic[returnLength] == 0 then 0 else (logic - logic[returnLength]) / logic[returnLength] * 100;
input hiAlert = 0;
input loAlert = 0;
def Beta = Covariance(primary, secondary, length) / Sqr(StDev(secondary, length));
assert(length > 0, "'length' must be positive: " + length);
plot PercentChg = (100 * (logic / logic[length] - 1) * Beta);
PercentChg.DefineColor("HiAlert", GetColor(5));
PercentChg.DefineColor("Normal", GetColor(7));
PercentChg.DefineColor("LoAlert", GetColor(1));
PercentChg.AssignValueColor(if PercentChg > hiAlert then PercentChg.color("HiAlert") else if PercentChg < loAlert then PercentChg.color("LoAlert") else PercentChg.color("Normal"));
I'm pretty sure the Formula is correct however i'm not sure what the Length variable is for
I am plotting it for the Dow Health Care Index
Beta * % change in the index
I have also created a Beta study for the same index