Hi - I want to run an exploration to filter for stocks where there is rising Alpha in past X days. My understanding is that is the linear reg slope is positive then there is a rising trend.
But when I run exploration I am getting all tickers as Negative values in linear reg of Alpha.
So Am not able to identify stocks where there is rising slope of Alpha in past X days.
How Can I fix it please?
Appreciate any help please.
_SECTION_BEGIN("AlphaBeta"); //Alpha, Beta, R2 Formula Ticker = ParamStr("MKT Ticker", "ASIANPAINT"); MKT = Foreign(Ticker,"C",1); AP=Param("Alpha Period",200,100,300,5); //AP=Optimize("Alpha Period",200,100,300,5); Beta=((AP * Sum(ROC( C,1) * ROC(MKT,1),AP)) - (Sum(ROC(C,1),AP) * Sum(ROC( MKT,1),AP))) / ((AP * Sum((ROC(MKT,1)^2 ),AP)) - (Sum(ROC(MKT,1 ),AP)^2 )); Alpha=AP*(Sum(ROC( C,1) ,AP) - (Beta) * Sum( ROC(MKT,1),AP )) / AP; R2=Correlation(MKT,C,AP)^2; //Chart Settings dynamic_color = IIf( ALPHA > 0, colorDarkGreen, colorDarkRed ); Plot(Alpha, "Alpha", dynamic_color, styleHistogram | styleThick ); Lslope = LinRegSlope(Alpha,30) > 0; Filter = Lslope ; AddColumn( Lslope , "Lslope " ); _SECTION_END();